【摘要】：Granger因果檢驗(yàn)是計(jì)量經(jīng)濟(jì)學(xué)的重要組成部分,也是現(xiàn)代經(jīng)濟(jì)、金融學(xué)分析的重要工具,近年來(lái)Granger因果檢驗(yàn)在非線(xiàn)性檢驗(yàn)方向有了較大進(jìn)展。本文在線(xiàn)性Granger因果檢驗(yàn)的基礎(chǔ)上,闡述了Granger因果檢驗(yàn)的非線(xiàn)性進(jìn)展,重點(diǎn)總結(jié)了針對(duì)一階矩的基于回歸模型、非參函數(shù)和信息理論的三大類(lèi)非線(xiàn)性方法以及針對(duì)二階矩的基于殘差交叉相關(guān)系數(shù)和多元條件方差模型下的兩大類(lèi)非線(xiàn)性方法,討論了不同非線(xiàn)性Granger方法中數(shù)據(jù)要求、核心模型、建模關(guān)鍵以及模型優(yōu)缺點(diǎn),提出了Granger因果檢驗(yàn)"線(xiàn)性-非線(xiàn)性"的整體框架和研究范式.通過(guò)模型分析和比較,本文可為因果檢驗(yàn)的非線(xiàn)性理論和模型研究提供參考,并對(duì)因果檢驗(yàn)在經(jīng)濟(jì)和金融領(lǐng)域的更廣泛應(yīng)用提供支持。
[Abstract]:Granger causality test is an important part of econometrics and an important tool of modern economic and financial analysis. In recent years, Granger causality test has made great progress in the direction of nonlinear testing. In this paper, on the basis of linear Granger causality test, the nonlinear development of Granger causality test is expounded, and the regression model based on first-order moments is summarized. Three kinds of nonlinear methods based on nonparametric function and information theory, and two kinds of nonlinear methods based on residual cross-correlation coefficient and multivariate conditional variance model are discussed. The data requirements of different nonlinear Granger methods are discussed. The core model, the key to modeling and the advantages and disadvantages of the model are presented. The overall framework and research paradigm of the Granger causality test "linear-nonlinear" are proposed. Through model analysis and comparison, this paper can provide a reference for the study of nonlinear theory and model of causality test, and support the wider application of causality test in the field of economy and finance.
【作者單位】： 山東師范大學(xué)管理科學(xué)與工程學(xué)院;中央財(cái)經(jīng)大學(xué)管理科學(xué)與工程學(xué)院;中國(guó)科學(xué)院數(shù)學(xué)與系統(tǒng)科學(xué)研究院;
【基金】：國(guó)家自然科學(xué)基金(71203247,71271223) 北京市自然科學(xué)基金(9152017) 廣西石化資源加工及過(guò)程強(qiáng)化技術(shù)重點(diǎn)實(shí)驗(yàn)室開(kāi)放課題基金的資助
【分類(lèi)號(hào)】：O212

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本文編號(hào)：2228744