【摘要】 在协整的三角表示形式中,利用Wald检验方法检验协整回归关系中存在的门限非线性.在线性协整的原假设下构造了Wald统计量及其泛函形式,给出了不依赖于门限参数的极限分布.利用模拟计算研究了所提检验的有限样本性质.对不同到期时间的债券利率进行检验,结果表明利率之间具有门限协整关系.更多还原

【Abstract】 The Wald test is proposed for examining the presence of threshold nonlinearity in cointegrating relationship within triangular representation.The null linear asymptotic distributions are derived,and the asymptotic critical values are presented.Numerical simulations show the finite sample performance of the tests.Threshold effect are found in the term structure model of interest rates using the proposed methods.更多还原