向量分整序列的协整研究

Research on the cointegration for vector fractional integration series

Granger关于整数阶向量序列的协整研究是为了揭示序列之间存在的长期均衡关系 ,但该协整定义只适用于向量序列单整阶数全部相同且为整数的情形 .本文给出了 |d|<0 .5情形下单整序列的定义及向量分整序列的协整概念 .文章还就分整序列的线性协整关系进行了初步的讨论 。

The concept of cointegration putforward by Granger implies long run equilibrium among variables.In Granger's theory,the assumption that all variables belong to I (d) is given,where d is an integer. This paper gives the definition of fractional integer (FI) time series where｜d｜<0.5. Furthermore, it also discusses the concept of frational cointegrated theory of multivariate nonstationary time series. Some important results are given.