非线性协整关系及其检验方法研究

文献「４」所提出的协整概念描述了向量时间序列中的长期线性均衡关系，从而可以称为“线性协整”。然而，经济系统中的许多时间序列是长记忆的，这些序列本身以及序一是往往存在非线性关系，所以对这些序列进行线性协整分析是不太合适的。

RESEARCH ON NONLINEAR COINTEGRATION AND ITS TESTING METHOD

The concept of cointegration presented by Engle and Granger(1987) describes the long run linear equilibrium in a given vector series.However,many economic time series are long memory and nonlinear,and the relations between them are also nonlinear.Based on the long memory property and nonlinearity of a given vector time series,this paper presents the concept of nonlinear cointegration,and applies the neural network technique to the testing of the existence of nonlinearly cointegrated relationships.Furthermore,we discuss the feasibility of the testing procedure and present its algorithm.In the end the paper illustrates the effectiveness of the testing methods with a simulation study.