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带有GARCH误差和趋势项的近单位根过程的估计 被引量：1

Estimation of the nearly unit root processes with GARCH errors and a drift.
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摘要 近单位根过程在时间序列理论中占有重要地位.因其处于平稳过程与非平稳过程(单位根过程)的中间地带,研究其统计性质的重要价值在于揭示这个中间地带的特殊属性,及其与平稳过程和单位根过程统计属性的差异.在更新项只有二阶矩存在的条件下,讨论了带有GARCH(p,q)误差项与趋势项的近单位根过程的最小二乘估计.并推导了基于最小二乘估计的Dickey-Fuller检验统计量的渐近分布.该结果在单位根检验中具有一定意义. Nearly unit root processes are very important in time series theory. Due to being in the middle field be- tween stationary processes and nonstationary processes, the significant value of nearly unit root processes is that they may uncover the special properties of this field and the difference between the middle field and the other two fields. Least square estimation for nearly unit root processes with GARCH errors and a drift are discussed only un- der finite variance of innovations. And the asymptotic distributions of Dickey-Fuller tests are derived. This result plays certain significance in unit root test.
作者 袁裕泽
机构地区 闽江学院数学系
出处 《浙江大学学报（理学版）》 CAS CSCD 2014年第2期145-148,共4页 Journal of Zhejiang University（Science Edition）
基金 教育部人文社科研究资助项目(10YJC90011) 福建省自然科学基金资助项目(2013J05012) 福建省教育厅A类项目(JA13261)
关键词 GARCH 近单位根过程 Dickey-Fuller检验 GARCH nearly unit root processes Dickey-Fuller test
分类号 O211.1 [理学—概率论与数理统计]
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参考文献18

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二级参考文献29

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二级引证文献8

浙江大学学报（理学版）
2014年 第2期

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