The influence of volatility and endogeneity in economic time series on cointegration analysis

经济时间序列波动性和内生性对协整分析的影响

• 批准号: 23730220
• 负责人: DAIKI Maki
• 金额: $ 1万
• 依托单位: Ryukoku University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Young Scientists (B)
• 财政年份: 2011
• 资助国家: 日本
• 起止时间: 2011 至 2012
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-23730220/
• 关键词: ボラティリティ; 内生性; 共和分分析; 共和分検定; 非線形調整; 構造変化; 共和分

This research investigated the influence of heteroskedastic variances and endogeneity on cointegration analysis. We demonstrated that a variance ratio cointegration test yields reasonable empirical sizes under most cases of heteroskedastic variances and endogeneity, as compared to other tests including standard cointegration tests. While the cointegration test with threshold adjustment has size distortions under heteroskedastic variances and endogeneity, it generally has better power performance under most cointegration relationships with nonlinearity.

本研究探讨异方差与内变量对协整分析的影响。我们证明了方差比协整检验在大多数异方差和内变量的情况下产生合理的经验大小，与其他检验相比，包括标准协整检验。虽然阈值调整的协整检验在异方差和内变量下存在大小失真，但在大多数非线性协整关系下通常具有更好的功效表现。

项目成果

Tests for cointegration allowing for an unknown number of breaks

允许未知数量的中断的协整测试

• DOI: 10.1016/j.econmod.2012.04.022
• 发表时间: 2012
• 期刊: Economic Modelling
• 影响因子: 4.7
• 作者: 藪友良;Manabu Asai;Daiki Maki
• 通讯作者: Daiki Maki