Caner ＆ Hansen方法在协整检验中的应用研究  

The application investigation of the Caner & Hansen method in the cointegration test

作　　者：刘汉中[1] 王少平[1] 

机构地区：[1]华中科技大学经济学院

出　　处：《系统工程理论与实践》2008年第7期61-67,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70571026)

摘　　要：经济理论认为有些经济变量之间长期的均衡关系不是传统的线性协整关系,而是呈现出所谓的阈值协整关系.因此为解决传统EG两步法在检验协整(包括线性协整与阈值协整)中的低势问题,在协整检验中引入Caner&Hansen方法,且采用Monte-Carlo仿真分析该方法的检验Size性质和检验势,并与EG两步法进行了比较研究.仿真发现首先该法存在一定程度的检验Size扭曲,且在检验Two-Regime的阈值协整时具有比检验Three-Regime的阈值协整较小的Size扭曲;其次Sup-R1T统计量在"持久性(Persistence)"很强时,具有比EG法高的检验势.Econormic theory often predicts that some economic variables must be linked through long-run threshold cointegration relationships. Thus, to resolve the problem that EG method has a low test power, this paper proposes Caner ＆ Hansen method to test cointegration relationships. Through a set of Monte-Carlo simulation, we have investiged into the Caner ＆ Hansen method in the cointegration test and compared the performance of this method with EG method. Monte-Carlo simulation shows that： First, this method has a little size distortions in the cointegration test（including linear cointegration and threshold cointegration）, and has less size distortion in the Two-Regime model than in the Three-Regime model; Second, when the persistence of cointegration residual series is very strong, the test power of Sup - R1r is better than EG＇s.

关 键 词：Caner&Hansen方法 阈值协整 Monte-Carlo仿真 检验水平和检验势 

分 类 号：F224.0[经济管理—国民经济]