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4 检验水平: m(x)=10 exp(-θ0x2), θ0=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, \ \ \ \ \ \beta_0=-0.01$ 200 0.0160 0.0126 0.0110 0.1222 0.1162 0.1090 500 0.0112 0.0140 0.0120 0.1162 0.1156 0.1046 1200 0.0110 0.0120 0.0106 0.1006 0.1002 0.0918 $ \alpha_0=0.01, \ \ \ \ \ \beta_0=0.05$ 200 0.0162 0.0130 0.0140 0.1236 0.1176 0.1172 500 0.0136 0.0130 0.0130 0.1122 0.1052 0.1080 1200 0.0110 0.0098 0.0094 0.1030 0.1050 0.1010