Properties of cointegration tests in misspecified nonlinear models

错误指定的非线性模型中协整检验的属性

• 批准号: 20730146
• 负责人: MAKI Daiki
• 金额: $ 0.83万
• 依托单位: University of the Ryukyus
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Young Scientists (B)
• 财政年份: 2008
• 资助国家: 日本
• 起止时间: 2008 至 2009
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-20730146/
• 关键词: 共和分; 非線形; モデル特定化; 閾値自己回帰; 構造変化; 単位根

This research investigated properties of cointegration tests in misspecified nonlinear models. In addition, this study provided evidence that which cointegration tests were useful when cointegration models were unknown a priori.

研究了错定非线性模型中协整检验的性质。此外，本研究提供了证据，哪些协整检验是有用的，当协整模型是未知的先验。

项目成果

Some properties of a unit root test with multiple level shifts in the presence of Markov level shifts

存在马尔可夫水平移动时具有多个水平移动的单位根检验的一些属性

• 发表时间: 2009
• 期刊: Mathematics and Computers in Simulation 79
• 作者: Tatsuro Iwaisako;Koichi Futagami;Daiki Maki;Daiki Maki;Daiki Maki
• 通讯作者: Daiki Maki

An alternative procedure to test for cointegration in STAR models

• DOI: 10.1016/j.matcom.2009.12.003
• 发表时间: 2010
• 期刊: Math. Comput. Simul.
• 作者: Daiki Maki

Detection of stationarity in nonlinear models: A comparison between structural breaks and three-regime TAR models

非线性模型中平稳性的检测：结构断裂与三态 TAR 模型之间的比较

• 期刊: Studies in nonlinear Dynamics and Econometrics (forthcoming)
• 作者: Tatsuro Iwaisako;Koichi Futagami;Daiki Maki;Daiki Maki;Daiki Maki;Daiki Maki
• 通讯作者: Daiki Maki

Some properties of a unit root test with multiple level shiftsin the presence of Markov level shifts

存在马尔可夫水平移动时具有多个水平移动的单位根检验的一些属性

• 发表时间: 2009
• 期刊: Mathematics and Computers in Simulation 79
• 作者: Tatsuro Iwaisako;Koichi Futagami;Daiki Maki;Daiki Maki
• 通讯作者: Daiki Maki

Detection of stationarity in nonlinear models : A comparison between structural breaks and three-regime TAR models

非线性模型中平稳性的检测：结构断裂和三态 TAR 模型之间的比较

• 期刊: Studies in nonlinear Dynamics and Econometrics (近刊)
• 作者: Tatsuro Iwaisako;Koichi Futagami;Daiki Maki;Daiki Maki;Daiki Maki;Daiki Maki;Daiki Maki
• 通讯作者: Daiki Maki