摘要
为检验周期异方差的季节单位根模型,基于加权最小二乘估计,提出检验统计量,并在原假设下得到检验统计量的极限分布,与各个季节的周期异方差无关,是标准Wiener过程的泛函.模拟结果和实例分析都表明了用该方法检验季节单位根模型的有效性.
We propose test statistics based on weighed least square estimators for unit root with periodical heteroscedastic shocks m seasonal time series. Under null hypothesis, the limit distributions of statistics which are functional of standard Wiener process are obtained regardas of periodical heteroscedasticity. Monte Carlo simulation and a real example show the validity of this test method.
出处
《数学的实践与认识》
CSCD
北大核心
2008年第8期122-126,共5页
Mathematics in Practice and Theory
关键词
周期异方差
季节单位根
加权最小二乘估计
periodical heteroscedasticity （PH）
seasonal unit root
weighed least square estimauon
