【摘要】：單位根理論在宏觀經(jīng)濟(jì)學(xué)、金融學(xué)和計(jì)量經(jīng)濟(jì)學(xué)等領(lǐng)域占據(jù)重要的地位.隨著單位根理論的不斷完善,當(dāng)考慮多元時(shí)間序列時(shí),常常會(huì)涉及類型不同的單位根.國(guó)內(nèi)外對(duì)混合情形下單位根理論的研究也不斷發(fā)展.本文研究了與單位圓周相關(guān)的兩類隨機(jī)模型的極限理論.首先,在Phillips和Lee(2012)[1]的基礎(chǔ)上,本文構(gòu)造了一個(gè)新的向量自回歸模型,o(n),b0.我們推導(dǎo)出最小二乘估計(jì)量Rn的漸近分布,為單位根的檢驗(yàn)提供了理論依據(jù).另外,我們考慮了一列離散型隨機(jī)變量{Xn,n∈Z},它的概率生成函數(shù)Pn(z)= ∑κn=zκP(Xn=κ)是n次多項(xiàng)式,同時(shí)Pn(z)的根全部在單位圓周|z|=1上Hsien-Kuei和Vytas Zacharovas在文章[2]中給出Xn依分布收斂到某隨機(jī)變量X.在此基礎(chǔ)上我們進(jìn)一步研究了Xn的收斂性,得到Xn的中偏差原理.
[Abstract]:Unit root theory plays an important role in macroeconomics, finance and econometrics. With the development of unit root theory, when considering multivariate time series, unit roots of different types are often involved. At home and abroad, the research of unit root theory in mixed case is also developing. In this paper, the limit theory of two kinds of stochastic models related to unit circle is studied. Firstly, on the basis of Phillips and Lee (2012) [1], a new vector autoregressive model is constructed. We derive the asymptotic distribution of least square estimator rn, which provides a theoretical basis for the test of unit root. In addition, we consider a series of discrete random variables {Xnn 鈭，

本文編號(hào)：2194203