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8 检验水平: $ m(x)=\theta_0 x^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=-0.05, \ \ \ \ \beta_0=-0.05$ 200 0.0068 0.0074 0.0070 0.0824 0.0868 0.0854 500 0.0104 0.0100 0.0094 0.0908 0.0994 0.0920 1200 0.0100 0.0104 0.0102 0.0994 0.0990 0.0988 $ \alpha_0=-0.01, \ \ \ \ \beta_0=0.04$ 200 0.0040 0.0044 0.0044 0.0814 0.0818 0.0844 500 0.0084 0.0080 0.0094 0.0898 0.0918 0.0954 1200 0.0098 0.0106 0.0112 0.1060 0.1046 0.0984