一阶闭环TAR模型的应用及其系数估计的渐近性质

The Application of the First Order Close Cycle TAR Model with Asymptotic Properties of Coefficient Estimations

应用一维一阶闭环TAR模型拟合中国的消费与积累关系。并对二维一阶自激TAR模型,研究了它的系数估计,获得了估计的强相容性和渐近正态性的一个充分条件。

We used the first order close cycle TAR model (with one-dimension) to fit the data of consumption and investment in China. By converting the model in-to the first order SETAR model (with two-dimension), we studied the estimations of the coefficients and obtained a sufficient condition for the strong consistency and asymptotic normality of the coefficien estimators.