CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS
CUMULATED SUM OF SQUARES STATISTICS FOR NONLINEAR AND NONSTATIONARY REGRESSIONS
复制标题
非线性和非平稳回归的累积平方和统计量
作者：
Vanessa Berenguer;B. Nielsen
在具有(可能)非平稳回归变量的非线性回归模型中，我们证明了累积平方和统计量具有标准的布朗桥型渐近分布。这与以前研究的累积和统计量不同，累积和统计量的渐近分布已被证明依赖于函数形式和回归变量的随机性质，如持久性和平稳性。测试的递归版本也被考虑。给出了局部功率分析，并通过仿真表明，该测试在各种情况下都具有良好的大小和功率特性。
We show that the cumulated sum of squares statistic has a standard Brownian bridge–type asymptotic distribution in nonlinear regression models with (possibly) nonstationary regressors. This contrasts with cumulated sum statistics which have been previously studied and whose asymptotic distribution has been shown to depend on the functional form and the stochastic properties, such as persistence and stationarity, of the regressors. A recursive version of the test is also considered. A local power analysis is provided, and through simulations, we show that the test has good size and power properties across a variety of situations.
DOI：
10.1111/obes.12184
发表时间：
2017-10
期刊：
ERN: Other Econometrics: Mathematical Methods & Programming (Topic)
影响因子：
--
作者：
Jean-Yves Pitarakis
通讯作者：
Jean-Yves Pitarakis
论恶性通货膨胀数据的爆炸性
DOI：
10.2139/ssrn.1726707
发表时间：
2008
期刊：
SSRN Electronic Journal
影响因子：
--
作者：
Nielsen B
通讯作者：
Nielsen B