一般门限非对称误差修正模型的估计与检验  

Estimation and Testing in General Threshold Asymmetric Vector Error Correction Model

作　　者：欧阳敏华[1] 雷钦礼[2] 

机构地区：[1]仲恺农业工程学院管理学院 [2]暨南大学经济学院统计学系

出　　处：《统计研究》2013年第10期97-107,共11页Statistical Research

基　　金：国家社科基金重点项目"技术进步偏向及其效应的统计测算与计量经济分析"(13ATJ001)的阶段性成果

摘　　要：本文将通常的门限非对称误差修正模型进行了拓展,在门限变量为一般平稳变量情形下,建立了对协和向量和门限参数联合估计的条件最小二乘估计法;构造了对门限非对称效应检验的SupWald统计量,并给出了其渐近分布的bootstrap逼近方法。Monte Carlo模拟研究的结果表明:随着样本量的增大,协和向量和门限参数的条件最小二乘估计量具有一致性特征;在有限样本下,SupWald统计量具有较好的检验水平和较高的检验势。将这一模型应用于对沪深300股票指数期货和现货价格之间动态关系的研究,结果表明两者之间长期存在协和关系,短期非均衡误差调整动态存在门限非对称效应。This paper extended the common threshold asymmetric vector error correction models, and developed a conditional least square estimation （CLSE） strategy in the joint estimation of cointegration vector and threshold variables. This paper also proposed a SupWald test for threshold asymmetric effect, and presented a bootstrap approximation of asymptotic distribution. Results of Monte Carlo simulation showed that the CLSE estimators of eointegration vector and threshold variable display reasonably small bias to their true magnitudes in large samples, and that the finite sample properties of the proposed test were satisfactory with good test size and power. Applying these methods tO study the dynamic relationship of HS300 index futures and spot prices, the resultsshowed that relationship between futures and spot prices was stable in long term, but there was threshold asymmetric effect in the error correction terms in short term.

关 键 词：一般门限非对称误差修正模型 条件最小二乘估计 非对称性检验 股指期货 

分 类 号：F222.3[经济管理—国民经济]