摘要
讨论季节协整系统的检验问题．提出了一种基于季节协整系统误差校正模型的贝叶斯季节协整检测方法，并通过模拟实验说明贝叶斯方法的有效性．
In this paper,the problem of testing of seasonal cointegrated systems is discussed. A Bayesian seasonal cointegration test based on error correction representation of seasonal cointegrated systems is proposed.The efficiency of the Bayesian method is shown by Monto Carlo experiments.
出处
《系统工程学报》
CSCD
1998年第4期30-37,共8页
Journal of Systems Engineering
基金
国家教委博士点基金
关键词
季节协整系统
贝叶斯分析
协整检验
宏观经济
seasonal cointegration,error correction model, cointegration test,Bayesian analysis
