几类非线性协整模型研究综述  

A Research Survey of Some Nonlinear Cointegrating Models

作　　者：杨政[1] 曾勇[1] 原子霞[2] 

机构地区：[1]电子科技大学经济与管理学院 [2]电子科技大学数学科学学院

出　　处：《数量经济技术经济研究》2011年第10期148-160,F0003,共14页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金(批准号:70901013);中国博士后科学基金特别资助(编号:201003692)和中国博士后科学基金(批准号:20090451416)资助

摘　　要：协整分析方法经过20多年的发展成为计量经济学界的一个前沿工具,在经济与金融领域得到了广泛的应用。线性协整分析已经成熟,而非线性协整的理论与方法仍在持续研究中。本文回顾了最近20年非线性协整的发展历史,其中包括结构变化、门限非线性、马尔可夫转换和平滑转换等几类非线性协整模型,强调了这些非线性机制的本质区别,总结了已取得的一些重要研究成果,最后对该问题的最新发展动向加以概括。Cointegration analysis has been a popular form in time series econometrics after cointegration has been presented and developed more than twenty years. The applications of cointegration have been widely considered in areas of economics and finances. Theories and methods of linear cointegrating models are matured. In constrast, nonlinear cointegrating models are still investigated continuously. We review the past twenty years of nonlinear models of cointegration research that include structural break, threshold, markov switching, smooth transition, and so forth. We distinguish the characters in different nonlinear regimes. We also review highly influential works on nonlinear cointegrating models that have been published during this period. Enormous progress has been made in many areas, but we find that there are a large number of topics in need of further development. We conclude with comments on possible future research directions in this field.

关 键 词：协整 结构变化 门限 马尔可夫转换 平滑转换 

分 类 号：F224.0[经济管理—国民经济]