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基于回归的协整系统分析AI 解读

Two estimation procedures dominate the cointegration literature: Johansen’s maximum likelihood inference on vector autoregressive error correction models and estimation of Phillips’ triangular forms. This latter methodology is essentially semiparametric, focusing on estimating long run parameters by means of cointegrating regressions. However, it is less used in practice than Johansen’s approach, since its implementation requires prior knowledge of features such as the…

I(2) 环境中平稳协整的残差 ADF 检验AI 解读

We propose a residual-based augmented Dickey–Fuller (ADF) test statistic that allows for detection of stationary cointegration within a system that may contain both I(2) and I(1) observables. The test is also consistent under the alternative of multicointegration, where first differences of the I(2) observables enter the cointegrating relationships. We find the null limiting distribution of this statistic and justify why our proposal improves over related approaches.…