正交级数方法与非平稳时间序列模型估计和检验的一些研究进展

董朝华, 高集体, 朱平芳

Recent Developments on Nonstationary Time Series Model Estimation and Testing Driven by Orthogonal Series Method

Chaohua DONG, Jiti GAO, Pingfang ZHU

表1 单指标模型的估计偏误和标准差

Bias s.d. n 400 600 1000 400 600 1000 $ \widehat{\theta}_{1n}$ –0.0647 –0.0519 –0.0388 0.2678 0.2507 0.2042 $ \widehat{\theta}_{2n}$ –0.0832 –0.0684 –0.0453 0.3461 0.3285 0.2586 $\widehat{\theta}_{n, \text{emp}}^1 $ 0.0043 0.0024 –0.0016 0.1005 0.0820 0.0679 $ \widehat{\theta}_{n, \text{emp}}^2$ 0.0063 0.0066 0.0050 0.0717 0.0659 0.0515