| 赵春艳.多阶STAR模型的单位根及线性检验问题研究[J].数量经济技术经济研究,2013,30(4):150-160 |
| 多阶STAR模型的单位根及线性检验问题研究 |
| Research on the Unit Root Test and Linearity Test in the Multi-orders Smooth Transition Autoregressive Model |
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| DOI： |
| 中文关键词: 多阶STAR模型 单位根检验 线性检验 |
| 英文关键词: Multi-orders STAR model Unit Root Test Linearity Test |
| 基金项目: |
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| 中文摘要: |
| 本文首先研究了多阶STAR模型的形式及其平稳条件，认为多阶STAR模型应该选取线性部分多阶、而非线性部分一阶的形式，这可以避免因出现奇异矩阵而使参数无法估计的问题，模型的性质不变而又适应我国经济数据样本容量偏小的特点。模型平稳的条件是系数合计的绝对值小于1；其次，本文给出了多阶STAR模型单位根及线性检验的统计量、极限分布及临界值，并证明统计量分布的临界值不受模型阶数的影响，不同阶数可以使用同一个分布表。 |
| 英文摘要: |
| Firstly, we argue the form and stationary condition for STAR model. We think that it should be multi-orders in linear part and one-order in non-linear part, which can avoid that parameters can’t be estimated for singularity matrix and adapt to the small sample size characteristics of Chinese economic data. The stationary condition of SATR is that the absolute value of all parameters sum is less than 1. Secondly, the paper provides the unit root test and linearity test statistic, limit distribution and critical value on multi-orders STAR model and proves that statistic critical value don’t vary with the model order and the different order can use the same distribution table. |
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