【作者】 杨政；

【导师】 田铮；

【作者基本信息】 西北工业大学 ， 统计学， 2005， 硕士

【摘要】 门限同积模型是金融时间序列分析和计量经济学中的一类重要非线性时间序列模型,对该模型理论问题和应用问题的研究是当前宏观经济领域中研究的热点问题之一,引起国内外众多学者的关注。 本文在前人研究成果的基础上,主要研究三类门限同积模型的参数估计和门限检验问题,这三类门限同积模型是:门限误差修正模型、水平门限误差修正模型和广义门限误差修正模型;进而研究了中国进出口贸易额之间的同积关系。得到如下研究成果: 1.首次提出水平门限误差修正模型和广义门限误差修正模型,对门限同积模型的参数估计给出一种用优化算法与极大似然估计相结合的方法,数值模拟计算结果表明,遗传模拟退火算法与极大似然估计相结合的方法能取得比较好的估计结果。 2.对门限同积模型的调节矩阵、同积向量以及二者同时包含的门限效应进行假设检验,构造了Sup-LM统计量,并在原假设下证明了统计量的渐近分布是标准Brown运动的泛函。 3.以实例计算和验证了1998年1月至2004年9月内中国进出口贸易之间的同积关系,建立了误差修正模型,并分析了其Granger因果性。更多还原

【Abstract】 The analysis of threshold cointegration model in nonlinear time series has been regarded as one of the core areas of research in statistics and econometrics. Recently, numerous studies related to threshold cointegration model have been appear in theory and application.This paper studies parameter estimation and hypothesis testing for threshold effect of threshold cointegration model, and researches the relationship between China’ imports and exports. We obtain several results as follows:In chapter 2, we propose two new cointegration models, level threshold vector error correction model and general threshold vector error correction model. Optimal algorithm and maximum likelihood estimation combine to estimate the parameters of threshold cointegration model. The simulated experiment shows genetic simulated annealing algorithm works quite well.Chapter 3 tests for threshold effect of the cointegrating vector and the adjustment vector in the vector error correction model with an unknown threshold. We adopt a Sup-LM statistics for the presence of a threshold, which asymptotic distribution under null hypothesis is derived to be the function of a standard Brownian.In chapter 4, we test the long-run equilibrium between China’ import and export according to the relevant data 1998.1-2004.9. Import is the Granger causality of export in cointegrating systems.更多还原