平滑转移框架下时间趋势属性检验
首发时间:2013-09-09
摘要:本文提出了一种非线性框架下的时间趋势属性检验程序,该程序融合了非线性模型与线性模型。本文构建了三个Wald类检验统计量及一个稳健检验统计量,推导出了这些统计量的极限分布并分析了其有限样本下的统计性质。Monte Carlo模拟分析表明,该检验程序具有较高的检验功效。
For information in English, please click here
Test for Time Trend Based on smooth transition Framework
Abstract:This paper provides a new procedure to test for time trend characteristics on both nonlinear and linear frameworks. In this paper, three Wald type statistics and a robust statistic are constructed, and their limiting distributions and finite sample statistical properties are analyzed. Monte Carlo simulation results show that this procedure has relatively high test power.
Keywords: Econometrics time trend STAR model testing procedure
论文图表:
引用
No.****
同行评议
共计0人参与
勘误表
平滑转移框架下时间趋势属性检验
评论
全部评论0/1000