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首页> 外文期刊>Journal of applied mathematics & decision sciences >The Effects of I(1) Series on Cointegration Inference
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The Effects of I(1) Series on Cointegration Inference

机译：I（1）级数对协整推断的影响

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摘要

Under traditional cointegration tests, some eligible I(1) time series systems X_t, that are not cointegrated over a given time period, say (0, T_1), sometimes test as structureξ'X_t for certain vector ξ in the period 0 < t ≤ T_1. Understanding the dynamics between cointegration test power and restricted sample size that causes this inversion of results is a crucial issue when forecasting over extended future time periods. In this paper, we consider non-cointegrated systems that are closely related to collinear systems. We apply a residual based procedure to such systems and establish a criterion for making the decision whether or not X_t can be continuously accepted as I(0) for t > T_1 when X_t was accepted as L(0) for t ≤ T_1.
机译：在传统协整检验中，某些合格的I（1）时间序列系统X_t在给定时间段内未进行协整，例如（0，T_1），有时会在0

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