jj协整检验可用于二阶单整序列吗？

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jj协整检验可用于二阶单整序列吗？请大侠赐教

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关键词：jj协整检验 协整检验 二阶单整 JJ协整 检验

协整，单整不太懂，只是觉得单位根检验很好用。

I have not encountered with such problems so I cannot give you a very presice answer. However, I have find a good paper perfectly having the content you want. It is a little hard to read, but it is worth reading since you are to handle such a special problem. For simplicity, I think EG 2-step test works though it has not a very high power.

Hope it will help you. Good luck.

Estimation of Cointegrated Systems with I(2) Processes.pdf (1.93 MB)

2013-1-12 10:10:12 上传