非线性协整的秩检验方法及其响应面函数研究

Research on Rank Test for Nonlinear Cointegration and its Response Surface Function

本文对非线性协整关系的秩检验方法进行了系统的梳理,运用Monte Carlo模拟给出了不同样本容量的各个秩检验统计量的临界值,并进一步探讨了其响应面函数,给出了各个秩检验统计量临界值的近似计算公式。对中国上证综指与主要发达国家股指关系的秩协整检验表明,与传统线性协整Johansen检验相比,秩协整检验能够检测到更多的线性和非线性协整关系。

This paper summarizes the rank test methods for nonlinear cointegration.Using Monte Carlo Simulations,the critical values of each rank statistic are given.By studying the Response Surface Function of each rank statistic,the formulas for critical values of rank statistic are estimated.Comparing with Johansen tests,rank tests can find out more linear and nonlinear cointegration relationship among Shanghai composite index and international main stock index.