拟单位根过程的渐近性质

The Asymptotic Properties of Near-Integrated Processes

  • 摘要: 本文将West4,Phillips3的关于AR(1)过程的一些有关渐近正态性的结果推广到了拟整过程,所得的结果更具一般性.从而可用来进行单位根检验及协整检验的功效分析。

     

    Abstract: In this paper, we extend the results about asymptotic normality of AR(1) processes in West4 and Phillips 3 to Near-integrated processes. We may analyse the power of testing for unit root and cointegration.

     

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