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9 检验功效: $ m(x)=\theta_0 x^2(x+\sin(x))+\Delta_n(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 0.9174 0.9294 0.9386 0.9562 0.9632 0.9686 500 0.9270 0.9350 0.9496 0.9590 0.9660 0.9730 1200 0.9474 0.9520 0.9638 0.9756 0.9776 0.9824 $ \alpha_0=-0.01, \ \ \ \ \beta_0=0.04$ 200 0.9050 0.9184 0.9324 0.9496 0.9564 0.9626 500 0.9280 0.9388 0.9536 0.9630 0.9694 0.9736 1200 0.9526 0.9582 0.9650 0.9758 0.9788 0.9840