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6 检验水平: $ m(x)=(1+x^2)\exp(-\theta_0 x^2), \ \ \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=0.05, \qquad a=0.2, \qquad b=0.9$ 200 0.0146 0.0136 0.0130 0.1092 0.1052 0.1052 500 0.0124 0.0116 0.0118 0.0958 0.0956 0.0958 1200 0.0110 0.0104 0.0104 0.1022 0.1004 0.1008 $\alpha_0=0.2, \qquad a=0, \qquad b=1 $ 200 0.0094 0.0090 0.0080 0.1040 0.1058 0.1024 500 0.0114 0.0102 0.0082 0.0950 0.1012 0.0980 1200 0.0102 0.0098 0.0114 0.0988 0.0992 0.0984