Residual-based tests for cointegration with three-regime TAR adjustment
Residual-based tests for cointegration with three-regime TAR adjustment
复制标题
基于残差的三项 TAR 调整协整检验
DOI：
10.1007/s00181-014-0822-x
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发表时间：
2015
影响因子：
3.2
通讯作者：
S.
中科院分区：
文献类型：
--
作者：
Maki;D.;Kitasaka;S.
本文提出了基于残差的协整检验与三区门限自回归（TAR）调整。我们提出了Wald型和Wald型检验，具有线性非协整的零假设和三体制TAR调整的协整的替代，并推导出渐近分布。Monte Carlo模拟结果表明，在三机制TAR调整的协整条件下，本文提出的协整检验方法优于Engle-Granger协整检验和Enders and Siklos（J Bus Econ Stat 19：166-176，2001）提出的两机制TAR模型中的协整检验方法，特别是当阈值和样本量增加时。当我们将这些测试应用于美国的货币需求时，所提出的检验拒绝了无协整的空值，而其他检验则没有。
This paper proposes residual-based tests for cointegration with three-regime threshold autoregressive (TAR) adjustment. We propose Wald-type and-type tests that have the null hypothesis of linear no cointegration and the alternative of cointegration with three-regime TAR adjustment and also derive the asymptotic distributions. Monte Carlo simulations show that the proposed tests perform better than the Engle–Granger cointegration test and the cointegration test in a two-regime TAR model introduced by Enders and Siklos (J Bus Econ Stat 19:166–176, 2001), under cointegration with three-regime TAR adjustment, particularly when the threshold and sample size increase. When we apply these tests to the money demand of the U.S., the proposed tests reject the null of no cointegration whereas other tests do not.