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3 部分线性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} $ –0.0495 –0.0470 –0.0324 0.2652 0.2494 0.1991 $\widehat{\theta}_{2n} $ 0.0676 0.0645 0.0435 0.3433 0.3340 0.2572 $ \widehat{\theta}_{n, \text{emp}}^1$ 0.0038 0.0031 0.0023 0.0934 0.0798 0.0597 $ \widehat{\theta}_{n, \text{emp}}^2$ –0.0062 –0.0041 –0.0019 0.0761 0.0621 0.0475 $\widehat{\beta}_{1n} $ –0.0010 –0.0002 0.0001 0.0106 0.0068 0.0038 $\widehat{\beta}_{2n} $ –0.0007 0.0001 0.0001 0.0118 0.0067 0.0037