| 向量分整时间序列的协整关系探讨 |
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| 引用本文： | 曹广喜.向量分整时间序列的协整关系探讨[J].河海大学学报(自然科学版),2006,34(4):469-472. |
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| 作者姓名： | 曹广喜 |
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| 作者单位： | 河海大学商学院,江苏,南京,210098 |
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| 基金项目： | 国家自然科学基金资助项目(10371056) |
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| 摘 要： | 针对向量分整时间序列,首先给出几个性质,并利用这几个性质给出向量分整时间序列的线性协整关系存在的条件;然后把整数阶广义协整的概念推广到分数阶情形,并利用广义分整协整得到向量分整时间序列的非线性协整关系存在的一个充分条件,且给出具体的非线性函数形式;最后结合R/S分析,给出一个判断非线性协整关系的实用算法.
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| 关 键 词： | 长记忆性 分整 非线性协整 广义分整协整 |
| 文章编号： | 1000-1980（2006）04-0469-04 |
| 收稿时间： | 2005-11-28 |
| 修稿时间： | 2005-11-28 |
Research on cointegration for vector fractional integration time series |
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| CAO Guang-xi.Research on cointegration for vector fractional integration time series[J].Journal of Hohai University (Natural Sciences ),2006,34(4):469-472. |
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| Authors: | CAO Guang-xi |
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| Institution: | Business School, Hohai University, Nanjing 210098, China |
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| Abstract: | Some properties of cointegration for vector fractional integration time series were presented,and a necessary condition for the linear cointegration was given.Then,the concept of integer-order generalized cointegration was extended to that of fraction-order.Based on the definition of generalized fractional cointegration,a sufficient condition for the existence of nonlinear cointegration for vector fractional integration time series was obtained,and a specific nonlinear function form was derived.Combining with R/S analysis,a practical algorithm for judgment of the nonlinear cointegration was worked out. |
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| Keywords: | long memory fractional integration nonlinear cointegration generalized fractional cointegration |
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