重尾过程协整检验的Bootstrap逼近
Bootstrap approximation for cointegration tests in heavy-tailed observations
云南民族大学学报:自然科学版,2015,24(6):480-485

秦瑞兵 QRB

摘要


重尾过程的协整检验统计量渐近分布含有不可估计的重尾指数α,针对重尾过程的协整检验运用Bootstrap抽样算法,在不估计重尾指数α的情况下,计算了该检验统计量的临界值,并且证明了该算法在理论上的合理性.MonteCalo模拟说明该方法有效. It is known that the asymptotic distribution of a cointegration test statistic in heavy-tailed observations has the inestimable index parameter . This research uses the Bootstrap method in the cointegration test in heavy-tailed processes, calculates the critical value of the cointegration test without estimating the index parameter , and proves the theoretical validity of this Bootstrap method. MonteCalo simulations demonstrate the efficiency of the proposed method.

参考



全文: PDF      下载: 724      浏览: 170


counter for myspace
云南民族大学学报(自然科学版) 1991—2016 Copyright
地址:云南省昆明市一二.一大街134号 邮编:650031 全国邮发代号:64-47
电话:0871-65132114 传真:0871-65137493 Email:ynmzxyxb@163.com