| 基于协整理论的协同持续研究 |
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| 引用本文： | 刘丹红,张世英. 基于协整理论的协同持续研究[J]. 系统工程学报, 2007, 22(1): 15-19 |
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| 作者姓名： | 刘丹红 张世英 |
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| 作者单位： | 1. 天津大学理学院,天津,300072
2. 天津大学管理学院,天津,300072 |
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| 基金项目： | 国家自然科学基金;中国博士后科学基金;天津市科技发展基金 |
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| 摘 要： | 首先介绍了持续性与协同持续概念,对于文献中已给出的两个协同持续定义,证明了它们之间存在内在联系,进一步建立了协整与协同持续的关系,给出了向量GARCH过程具有协同持续的条件,在矩意义下将协整与协同持续统一起来,并给出了估计和检验方法.初步将时间序列一阶矩的理论和方法在二阶矩中得以应用,有助于研究经济领域中的波动过程的协同持续性问题.
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| 关 键 词： | 单整 协整 持续性 协同持续 |
| 文章编号： | 1000-5781（2007）01-0015-05 |
| 收稿时间： | 2005-10-17 |
| 修稿时间： | 2005-10-172006-10-25 |
Copersistence study based on integration theory |
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| LIU Dan-hong,ZHANG Shi-ying. Copersistence study based on integration theory[J]. Journal of Systems Engineering, 2007, 22(1): 15-19 |
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| Authors: | LIU Dan-hong ZHANG Shi-ying |
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| Affiliation: | 1. School of Science, Tianjin University, Tianjin 300072, China; 2. School of Management, Tianjin University, Tianjin 300072, China |
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| Abstract: | The paper firstly introduces the signification of persistence and copersistence,proves internal relationship for two given copersistence in documents,further establishes the relationship between cointegration and copersistence,gives the condition of the vector GARCH process about copersistence,and combines cointegration and copersistence based on the moment and gives estimation and test means.This paper begins applying theory and method of the first rank moment to the second rank moment about time series,and helps to study volatility process copersistence problem in economic field. |
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| Keywords: | integration cointegration persistence copersistence |
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