对协整的检验及协整系统的估计研究  

A Systematic Study of Testing and EstimatingCointegration Relationships

作　　者：赵松山[1] 白雪梅[2] 

机构地区：[1]东北财经大学数量经济系,辽宁大连116025 [2]东北财经大学统计系,辽宁大连116025

出　　处：《烟台大学学报（自然科学与工程版）》2002年第4期247-253,共7页Journal of Yantai University(Natural Science and Engineering Edition)

摘　　要：首先从不同角度对协整的概念进行剖析,并做了进一步的说明;其次介绍检验协整关系Engle Granger和Johansen方法;在讨论ADLM、ECM与协整回归方程和VAR与VECM之间联系的基础上,给出误差修正模型的四种估计方法,同时做深入的比较分析.An indepth analysis on the concept of cointegration is provided first. The EngleGranger and Johansen cointegration procedures are then introduced. The relationships of ADLM and ECM with the cointegration regression as well as the connection between the VAR and VECM are discussed. Based on these discussions,the four methods of estimating the error correction models are given. At the same time,the contrast analysis among them is given.

关 键 词：协整系统 单整 协整关系 协整检验 误差修正模型 经济时序变量 协整回归方程 参数估计 

分 类 号：F224.7[经济管理—国民经济]