原始数据的平稳性处理 H-P Filter
由于结构突变的存在会影响数据平稳性的检验结果,导致在进行协整分析时得出错误的结论。
Since the existence of structural shifts would bias the result of stationary test, which could lead to mendacious result in cointegration analysis and misleading conclusions.
研究表明影响分维估计精度的主要因素有四种:数据点数、数据概率分布、数据平稳性、无标度区。
Main factors influencing precision of fractal dimension computation include number of data, distribution of data, stationarity of data, no scale area.
单位根检验是计量经济学中检验时间序列数据平稳性的最重要工具,而协整检验则是用来判断非平稳变量之间是否存在长期均衡关系的常用方法。
As an important tool of testing time series stationarity, unit root test is always used, and cointegration test is also often implied for judging long equilibrium between nonstationary variables.
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