ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
具有分数单整误差的协整时间序列渐近推断AI 解读 ↓
← 返回论文列表与筛选
阅读说明
本页整理公开书目信息，不生成学术质量评分。AI 解读根据题名及所注明的摘要或原文片段生成，未完成全文核验，可能有误；具体假设、证明与结论请核对原文。摘要保留来源文本，未经模型改写。
DOI 首次登记不等于接收或发表日期。部分更正、评论等条目没有独立摘要；缺少可靠材料时保留待补状态。
引用量采用 OpenAlex 单条关联记录，不合计多个记录；关联记录可能包含正式发表版本，不等于此版本单独引用。缺失不视为零，引用指标不代表论文质量。
关注作者按书目中的完整姓名匹配，同名和姓名变体需人工辨别。相关论文先按共享细分方向和具体方法排列，再参考通用方法与发表日期。
分类依据与纠错
AI 根据所提供的论文材料归类：摘要围绕分数单整误差、近单位特征值和协整关系展开，直接属于多元非平稳时间序列推断。
反馈分类问题
正在核对关联版本…
代码、数据与补充材料
正在核对对应版本的资源…
关注这篇论文的作者
具有分数单整误差的协整时间序列渐近推断
- 研究问题
- 向量自回归模型存在分数单整误差且特征值位于或接近单位圆时，如何识别协整关系与趋势并进行参数推断？
- 方法与思路
- 作者在辅助估计量附近作对数似然比的二次近似，初步识别近单位特征值及重数，再构造相关参数的 Wald 型推断。
- 材料陈述的贡献
- 摘要称，方法可识别平稳线性组合与非平稳趋势，极限分布既非正态也非混合正态，并指出普通最小二乘的适应困难。
- 阅读关注点
- 应核对辅助估计量、复特征值与重数的识别方式，以及识别步骤如何进入 Wald 推断和非标准极限分布。
- 阅读边界
- 所给 Crossref 摘要未列出完整条件或比较指标，作者对普通最小二乘劣势的陈述不能据此推广到所有模型与样本。
原文摘要
Vector valued autoregressive models with fractionally integrated errors are considered. The possibility of the coefficient matrix of the model having eigenvalues with absolute values equal or close to unity is included. Quadratic approximation to the log-likelihood ratios in the vicinity of auxiliary estimators of the parameters is obtained and used to make a rough identification of the approximate unit eigenvalues, including complex ones, together with their multiplicities. Using the identification thus obtained, the stationary linear combinations (cointegrating relationships) and the trends that induce the nonstationarity are identified, and Wald-type inference procedures for the parameters associated with them are constructed. As in the situation in which the errors are independent and identically distributed (i.i.d.), the limiting behaviors are nonstandard in the sense that they are neither normal nor mixed normal. In addition, the ordinary least squares procedure, which works reasonably well in the i.i.d. errors case, becomes severely handicapped to adapt itself approximately to the underlying model structure, and hence its behavior is significantly inferior in many ways to the procedures obtained here.