小样本协整系统的检验

Cointegration test in small sample

采用 Monte Carlo模拟方法 ,给出了小样本容量下协整检验临界值的响应面 (responsesurface)方程 .结果表明小样本协整检验的临界值不仅与样本容量有关 ,还依赖于协整检验中的滞后阶数 .

In this paper, we develop the response surface equations for the critical value for cointegration test in small sample using Monte Carlo simulation. The simulation results indicate that the critical values are related with the number of the sample data as well as the lagged order for cointegration test. We also present an empirical analysis for the food consumption of the Chinese residents in cities and towns.