| 协整系统的贝叶斯推断 |
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| 引用本文： | 张世英,朱辉.协整系统的贝叶斯推断[J].系统工程学报,1997,12(3):23-30. |
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| 作者姓名： | 张世英 朱辉 |
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| 作者单位： | 天津大学管理学院 |
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| 摘 要： | 讨论协整系统的检验问题．提出一种基于协整系统误差校正模型的贝叶斯协整检测方法，并通过模拟实验说明贝叶斯方法的有效性．
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| 关 键 词： | 协整系统，误差校正模型，协整检验 |
BAYESIAN INFERENCE FOR COINTEGRATED SYSTEMS |
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| Zhang Shiying,Zhu Hui,Zhang Xibin.BAYESIAN INFERENCE FOR COINTEGRATED SYSTEMS[J].Journal of Systems Engineering,1997,12(3):23-30. |
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| Authors: | Zhang Shiying Zhu Hui Zhang Xibin |
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| Abstract: | In this paper,the problem of testing of cointegrated systems is discussed.A Bayesian cointegration test based on errior correction representation of cointegrated systems is proposed.The efficiency of the Bayesian method is shown by Monto Carlo experiments. |
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| Keywords: | Cointegration systems error correction model cointegration test |
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