An alternative procedure to test for cointegration in STAR models
An alternative procedure to test for cointegration in STAR models
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DOI：
10.1016/j.matcom.2009.12.003
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发表时间：
2010
期刊：
影响因子：
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通讯作者：
Daiki Maki
中科院分区：
文献类型：
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作者：
Daiki Maki
本文提出了一种新的方法来检验平滑过渡自回归（星星）模型中的协整性。我们考虑了指数星星（E星星）和双Logistic星星（D-L星星）模型。建议的检验是t检验，无协整的零假设和协整的替代假设与星星调整。本文介绍的程序采用网格搜索来计算检验统计量。Monte Carlo模拟表明，与其他测试相比，所提出的方法具有更好的权力时，持久性的过程向平衡和样本容量的增加。
This paper proposes an alternative procedure to test for cointegration in smooth transition autoregressive (STAR) models. We consider the exponential STAR (ESTAR) and double logistic STAR (D-LSTAR) models. The proposed tests are t-tests with a null hypothesis of no cointegration and an alternative hypothesis of cointegration with STAR adjustment. The procedure introduced in this paper employs a grid search to compute a test statistic. Monte Carlo simulations demonstrate that as compared to other tests, the proposed approach has better power when the persistence of the process toward equilibrium and the sample size increase.