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雷达卡
英文文献：First and second order non-linear cointegration models-一阶和二阶非线性协整模型
英文文献作者：Theis Lange
英文文献摘要：
This paper studies cointegration in non-linear error correction models characterized by discontinuous and regime-dependent error correction and variance specifications. In addition the models allow for autoregressive conditional heteroscedasticity (ARCH) type specifications of the variance. The regime process is assumed to depend on the lagged disequilibrium, as measured by the norm of linear stable or cointegrating relations. The main contributions of the paper are: i) conditions ensuring geometric ergodicity and nite second order moment of linear long run equilibrium relations and differenced observations, ii) a representation theorem similar to Granger's representations theorem and a functional central limit theorem for the common trends, iii) to establish that the usual reduced rank regression estimator of the cointegrating vector is consistent even in this highly extended model, and iv) asymptotic normality of the parameters for xed cointegration vector and regime parameters. Finally, an application of the model to US term structure data illustrates the empirical relevance of the model.
摘要研究了非线性误差修正模型中的协整问题。此外，模型允许自回归条件异方差(ARCH)类型规范的方差。制度过程假设依赖滞后不平衡，作为衡量的范数线性稳定或共积分关系。本文的主要贡献有:i)条件确保几何遍历性和夜间二阶线性长期均衡关系和差的时刻观察,(二)表示定理类似于格兰杰的表示定理和函数为了共同的趋势,中心极限定理3)建立,通常降低等级回归估计量的协整向量即使在这个高度扩展模型是一致的,(4)装箱协整向量的参数和状态参数的渐近正态性。最后，该模型在美国期限结构数据中的应用说明了该模型的经验相关性。
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