协整回归残量平稳性的小波检验

A Wavelets Test for the Cointegration Using Regression Residuals

本文研究基于小波方法的协整回归残量平稳性检验。将文献[6]中的小波方法推广到了协整关系的检验,给出了对线性协整模型OLS回归后得到的残量进行平稳性检验的小波方法,得到了在原假设非协整下检验统计量的渐近分布。模拟实验和实例分析都验证了新方法的有效性。

This paper considers the problem of a wavelet method to test the stationary of cointeggting regression residuals. We show that wavelets approach can be applied to cointegrating regression residuals leading to a residual-based test fbr the null hypothesis of no cointegration. The asymptotic distribution of the test is derived under the null hypothesis. Simulations and empirical applications show that the new test has more moderate size and power.