利用GMM逼近的协整分析推广

GMM Approach of Cointegration Vectors for Linear Restrictions

将Quintos研究的一类向量误差校整模型,推广到其协整向量满足某种线性限制的情形,并讨论协整向量的收敛性和 极限分布,得到了相应的结论。

This paper considers the generalixed method of moments ( GMM) approach of the cointegration vectors generated by no-gaussion errors, which is linear restrictions and discusses estimation、 asymptotic、 test of the cointeration vectors, and gets good results.