在全球气候变化和高强度人类活动的共同影响下,许多流域天然水循环过程受到破坏。径流序列呈现明显的非平稳特性,给水资源规划、管理、预测和调控带来一定的挑战。揭示径流序列的非平稳特性可以有效应对全球气候变化下的复杂水问题,对...在全球气候变化和高强度人类活动的共同影响下,许多流域天然水循环过程受到破坏。径流序列呈现明显的非平稳特性,给水资源规划、管理、预测和调控带来一定的挑战。揭示径流序列的非平稳特性可以有效应对全球气候变化下的复杂水问题,对降低水文分析难度和提高径流预测精度具有十分重要的意义。研究以汾河上游兰村站为研究对象,分析该站1958-2016年年径流和月径流序列是否平稳。首先从随机水文学角度,采用Mann-Kendall检验法和小波分析法识别径流序列的趋势、突变和周期特征。在此基础上,从统计水文学角度引入Ng-Perron单位根检验方法。通过Mann-Kendall趋势检验和散点图法选择合适的检验方程,对径流序列进行广义最小二乘法(Generalized Least Squares,GLS)退势,并利用修正的信息准则(Modified information criterion,MIC)计算最优时间滞后阶数,判别径流序列是否具有非平稳性。结果显示,径流序列存在趋势、突变和周期成分,为非平稳径流序列。同时Ng-Perron单位根检验表明,该站年、月径流序列在1%显著性水平上具有非平稳特性。相较传统单位根检验方法,Ng-Perron单位根检验采用更为稳健的修正检验统计量,显著调整小样本情况下水平扭曲的现象,具有更好检验水平和功效,因而可以得到更合理的检验结果。研究成果为径流序列非平稳性检验理论的进一步改进及径流预测模型发展与应用提供参考。展开更多
Choi(2001) proposed the combining p-value tests for panel data.This paper modify the test to allow for the cross-sectional dependence with autoregressive errors and replace Choi’s DF-GLS with ADF when DGP include an ...Choi(2001) proposed the combining p-value tests for panel data.This paper modify the test to allow for the cross-sectional dependence with autoregressive errors and replace Choi’s DF-GLS with ADF when DGP include an intercept or/and linear time trend.The Monte-Carlo simulation shows that the empirical size of the extended tests is very close to the nominal size of the asymptotic distributions,the power of our tests is very high,such simulation results show that our modification is feasible.Appling our tests to Chinese securities market gives the results that dependent panel price indexes of the markets is a panel unit root process,this conclusion implies that the Chinese securities market is general weak efficiency.展开更多
文摘在全球气候变化和高强度人类活动的共同影响下,许多流域天然水循环过程受到破坏。径流序列呈现明显的非平稳特性,给水资源规划、管理、预测和调控带来一定的挑战。揭示径流序列的非平稳特性可以有效应对全球气候变化下的复杂水问题,对降低水文分析难度和提高径流预测精度具有十分重要的意义。研究以汾河上游兰村站为研究对象,分析该站1958-2016年年径流和月径流序列是否平稳。首先从随机水文学角度,采用Mann-Kendall检验法和小波分析法识别径流序列的趋势、突变和周期特征。在此基础上,从统计水文学角度引入Ng-Perron单位根检验方法。通过Mann-Kendall趋势检验和散点图法选择合适的检验方程,对径流序列进行广义最小二乘法(Generalized Least Squares,GLS)退势,并利用修正的信息准则(Modified information criterion,MIC)计算最优时间滞后阶数,判别径流序列是否具有非平稳性。结果显示,径流序列存在趋势、突变和周期成分,为非平稳径流序列。同时Ng-Perron单位根检验表明,该站年、月径流序列在1%显著性水平上具有非平稳特性。相较传统单位根检验方法,Ng-Perron单位根检验采用更为稳健的修正检验统计量,显著调整小样本情况下水平扭曲的现象,具有更好检验水平和功效,因而可以得到更合理的检验结果。研究成果为径流序列非平稳性检验理论的进一步改进及径流预测模型发展与应用提供参考。
文摘Choi(2001) proposed the combining p-value tests for panel data.This paper modify the test to allow for the cross-sectional dependence with autoregressive errors and replace Choi’s DF-GLS with ADF when DGP include an intercept or/and linear time trend.The Monte-Carlo simulation shows that the empirical size of the extended tests is very close to the nominal size of the asymptotic distributions,the power of our tests is very high,such simulation results show that our modification is feasible.Appling our tests to Chinese securities market gives the results that dependent panel price indexes of the markets is a panel unit root process,this conclusion implies that the Chinese securities market is general weak efficiency.
