A recursive Monte Carlo study of structural-break sensitivity of adjustment coefficients in cointegrated VAR systems
A recursive Monte Carlo study of structural-break sensitivity of adjustment coefficients in cointegrated VAR systems
复制标题
协整 VAR 系统调整系数结构破坏敏感性的递归蒙特卡罗研究
DOI：
10.1007/s40953-019-00162-2
复制
发表时间：
2019
影响因子：
0.7
通讯作者：
T.
中科院分区：
文献类型：
--
作者：
Kurita;T.
本文研究了协整矢量自回归系统中调整系数对各种结构断裂的敏感性。以递归方式进行了蒙特卡罗模拟研究，以检查系数的有限样本估计的波动。研究揭示了断裂对估计的广泛影响，这可能导致对虚假时变调整系数的推断，尽管潜在的真实系数是稳定和时不变的。因此，在分析受结构断裂影响的时间序列数据时，建议谨慎对待看似时变的调整系数。
This paper studies the sensitivity of adjustment coefficients to various structural breaks in a cointegrated vector autoregressive system. A Monte Carlo simulation study is conducted in a recursive manner to examine fluctuations of finite-sample estimates of the coefficients. The study reveals the wide-ranging influences of breaks on the estimates, which can give rise to inference for spurious time-varying adjustment coefficients, although the underlying true coefficients are stable and time-invariant. It is thus advisable to be cautious about seemingly time-varying adjustment coefficients when analyzing time series data subject to structural breaks.