Bootstrap门限向量误差修正模型中门限同积SupLM检验

对门限向量误差修正模型提出了基于原假设为线性非同积关系的一种门限同积SupLM检验。给出了理论证明的检验门限同积关系存在性的SupLM检验的理论证明,以及相关的bootstrap算法。模拟实验得到比较好的检验水平和功效,进一步将其用于研究几种美国国库券收益率的关系,发现它们之间存在明显的门限同积关系。

Bootstrap SupLM Testing for Threshold Cointegration in Threshold Vector Error-correction Models

A SupLM test is developed for the presence Of threshold cointegration in a threshold vector error - correction model with the linear no cointegration null hypothesis. A SupLM type test is adopted including distribution theorem and present bootstrap approximation and algorithm. Simulation evidence shows that bootstrap inference generates moderate size and power of the test. The method is illustrated, with used U. S. treasury yield curve rates.