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10 检验水平: $ m(x)=\theta_0 x^2(2+x+\sin(x)), \ \theta_0=1$

n 检验水平1% 检验水平10% κ= 1/5 1/4.5 1/4 1/5 1/4.5 1/4 $ \alpha_0=0.01, \ \ a=-0.05, \ \ b=-0.1$ 200 0.0058 0.0054 0.0050 0.0968 0.0900 0.0920 500 0.0068 0.0070 0.0060 0.0944 0.0924 0.0972 1200 0.0104 0.0082 0.0104 0.0980 0.0926 0.0986 $ \alpha_0=0.05, \ \ a=0.2, \ \ b=0.9$ 200 0.0060 0.0052 0.0054 0.0920 0.0872 0.0868 500 0.0070 0.0074 0.0076 0.1062 0.0950 0.0940 1200 0.0086 0.0078 0.0096 0.1004 0.0970 0.0990