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参数时间依赖的一般检验AI 解读

Abstract A new test for time‐dependent parameters is proposed. The Trig ‐test is based on a trigonometric expansion to approximate the unknown functional form of the variation in the parameters concerned. It is shown to have the correct empirical size and excellent power to detect structural breaks and stochastic parameter variation. The appropriate use of the Trig ‐test is demonstrated by testing for structural breaks in the US inflation rate. The test detects a…

协整与阈值调整AI 解读

This article proposes an extension to the Engle-Granger testing strategy by permitting asymmetry in the adjustment toward equilibrium in two different ways. We demonstrate that our test has good power and size properties over the Engle-Granger test when there are asymmetric departures from equilibrium. We consider an application--namely, whether there exists cointegration among interest rates for instruments with different maturities. This issue has been widely tested with…

单位根检验与非对称调整：利率期限结构示例AI 解读

This article develops critical values to test the null hypothesis of a unit root against the alternative of stationarity with asymmetric adjustment. Specific attention is paid to threshold and momentum threshold autoregressive processes. The standard Dickey–Fuller tests emerge as a special case. Within a reasonable range of adjustment parameters, the power of the new tests is shown to be greater than that of the corresponding Dickey–Fuller test. The use of the tests is…

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