The role of the drift in I(2) systems
The role of the drift in I(2) systems
复制标题
漂移在 I(2) 系统中的作用
DOI：
10.1007/bf02589043
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发表时间：
1994
影响因子：
1
通讯作者：
P. Paruolo
中科院分区：
文献类型：
--
作者：
P. Paruolo
本文讨论了漂移在矢量自回归过程中的作用，允许积分分量高达 2 阶。本文展示了漂移如何生成线性和二次确定性趋势。提出了在存在二次趋势的情况下对系统进行两阶段统计分析。对系统的分析允许对给定顺序集成的公共组件的数量定义一致的测试序列，称为系统的集成指数。相关渐近分布是非标准的，属于极限高斯函数族，并通过模拟制成表格。对于系统中线性趋势和没有确定性趋势的情况，所提出的程序还可以与作者提出的其他程序一致地结合起来。
This paper discussed the role of the drift in vector autoregressive processes allowing for integrated components up to order 2. It is shown how the drift can generate linear and quadratic deterministic trends. A two-stage statistical analysis of the system in the presence of quadratic trends is proposed. The analysis of the system allows to define a consistent sequence of tests on the numbers of common components integrated of a given order, called the integration indices of the system. The relevant asymptotic distributions are non-standard, belong to the Limiting Gaussian Functional family and are tabulated by simulation. The proposed procedure can also be consistently combined with other procedures proposed by the author for the cases of a linear trend and of no deterministic trends in the system.