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13 可口可乐和百事可乐配对交易

非线性协整 线性协整 α L(α/2) $ \ell (\alpha/2)$ Profit L(α/2) $ \ell(\alpha/2)$ Profit n0=7000 0.01 0.3511 –1.2710 0.0227 0.5678 –0.4937 0 0.05 0.1130 –1.2025 0.6525 0.4631 –0.4324 0.0767 n0=7500 0.01 0.3450 –1.2669 0.0227 0.5680 –0.4874 0 0.05 0.1012 –1.1963 0.8162 0.4614 –0.4236 0.1389 n0=8000 0.01 0.3401 –1.2647 0.0227 0.5681 –0.4828 0 0.05 0.0806 –1.1913 0.9117 0.4580 –0.4167 0.1931 n0=8500 0.01 0.3318 –1.2561 0.0145 0.5646 –0.4780 0 0.05 0.0704 –1.1963 0.7515 0.4562 –0.4122 0.5708 n0=9000 0.01 0.3234 –1.2622 0 0.5635 –0.4734 0 0.05 0.0580 –1.2059 0 0.4547 –0.4153 0