检验门限协整模型中的线性协整-控制理论与应用.pdf

25 4 Vol. 25 No. 4 2008 8 Control Theory Applications Aug. 2008 :2008 , , (1. , 710072; 2. , 610054; 3. , 100101) : . , SupLM(supremum Lagrange multiplier), . Monte CarloSupLM, SupLM, GARCH(generalized autoregressive conditional heteroskedastic) . SupLM, . : ; ; SupLM; ; ; (GARCH) : O212; F064 : A Testing the linearity in threshold co-integrating regressions YANG Zheng , TIAN Zheng , YUAN Zi-xia (1. Department of Applied Mathematics, Northwestern Polytechnical University, Xi’an Shaanxi 710072, China; 2. School of Management and Economics, University of Electronic Science and Technology of China, Chengdu Sichuan 610054, China; 3. State Key Laboratory of Remote Sensing Science, Institute of Remote Sensing Applications, Chinese Academy of Sciences, Beijing 100101, China) Abstract: A testing procedure is proposed to distinguish the linearity from co-integration regressions with threshold effect. A SupLM test is presented for the null of linear co-integration; the null limiting distribution is then derived, and the asymptotic critical values are simulated. Moreover, the performance of the test is studied by using Monte Carlo simulation, which proved that the test works quite well. It is clearly shown that the SupLM test has good finite sample properties, even in the presence of serial correlation of regressor-error or the errors following the generalized autoregressive conditional heteroskedastic (GARCH) processes. Finally, the feasibility of the proposed test is illustrated by examining the threshold nonlinearity of co-int