【作者】 胡进；

【导师】 王少平；

【作者基本信息】 华中科技大学 ， 数量经济学， 2007， 硕士

【摘要】 本文首先在阐述了研究门限协整的意义和研究现状之后,具体介绍了各种门限协整模型的设定、及其估计和检验方法。并对各种设定模型的经济意义和理论含义进行详细的分析。接下来,通过Monte Carlo模拟试验对各种检验方法进行评价和对比,以证实相关的结论。并且,利用门限协整模型来考虑货币流通速度。即考虑货币流通量和经济体中交易的商品和劳务总量之间是否存在门限协整关系。借此能将非线性协整的这一前沿领域引入我国的实证问题。最后,概括了本文的相关结论,并提出了相应的建议和未来发展方向。文章的创新点主要有两处。一是文章通过Monte Carlo模拟来计算各种检验的功效,以评价、对比各种检验方法。这里包括对传统非参数检验方法和新近提出的检验方法的一个比较。特别地,在检验全局协整行为的第一步中,为了得到更全面的传统于新近的方法对比,文章加入了不基于协整残差的非参数协整检验法——Johansen的迹检验。二是文章首次将非线性、非对称调整的协整模型用于研究我国货币流通速度的问题。国外文献虽然已有许多文献做过相关实证,但是没有利用门限协整方法来做货币流通量和经济体中交易的商品和劳务总量之间关系的问题的。国内对门限协整涉及的更少。这样使货币流通速度的研究更贴近于现实世界,能够为后续研究或者政策指定者提供更详细的信息。更多还原

【Abstract】 This dissertation introduces kinds of methods of specification, estimation and test for Threshold Cointegration after explaining the meaning and dynamics of contemporary research on Threshold Cointegration. Then we expound the theoretical implication and economical application of Threshold Cointegration. After that, we use Monte Carlo to compare and evaluate all the tests to approve the relevant conclusions we draw. Besides, we test velocity of currency using Threshold Cointegration Model, that is, to confirm whether the Threshold Cointegration relationship between velocity of currency and gross goods in economic parties exists or not. Through this analysis, we introduce this nonlinear cointegration to Chinese empirical field. Finally, we summarize those conclusions based on our analysis.The main creative work of this dissertation lies on the following two aspects.One lies on that we adopt Monte Carlo to calculate the effectiveness of all the tests to evaluate and compare these tests, which includes a comparison between the traditional non-parametrical tests and the currently proposed tests. In particular, we employ the Non-parametrical Cointegration test which not based on the resid of cointegration------ Johansen rank test to get a more comprehensive understanding of this new method compared with the traditional one in the first step of testing the global cointegration behavior.The other lies on that we initially put asymmetric, nonlinear cointegration model into use on the velocity of currency in China. Although there are relevant empirical works in other countries, nobody has employed Threshold Cointegration on fields like the relationship between velocity of currency and gross goods in economic parties, the much less have they referred to Threshold Cointegration. Our analysis makes research on velocity of currency more close to the real world and it can provide more sufficient and detailed reference for other scholars and policy makers.更多还原