与单位圆周相关的两类随机模型的极限理论初探
发布时间：2018-08-20 16:05
【摘要】：单位根理论在宏观经济学、金融学和计量经济学等领域占据重要的地位.随着单位根理论的不断完善,当考虑多元时间序列时,常常会涉及类型不同的单位根.国内外对混合情形下单位根理论的研究也不断发展.本文研究了与单位圆周相关的两类随机模型的极限理论.首先,在Phillips和Lee(2012)[1]的基础上,本文构造了一个新的向量自回归模型,o(n),b0.我们推导出最小二乘估计量Rn的渐近分布,为单位根的检验提供了理论依据.另外,我们考虑了一列离散型随机变量{Xn,n∈Z},它的概率生成函数Pn(z)= ∑κn=zκP(Xn=κ)是n次多项式,同时Pn(z)的根全部在单位圆周|z|=1上Hsien-Kuei和Vytas Zacharovas在文章[2]中给出Xn依分布收敛到某随机变量X.在此基础上我们进一步研究了Xn的收敛性,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，
本文编号：2194203
[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，
本文编号：2194203
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