門限協整是金融和統計研究中一個充滿活力的課題。其估計方法往往基於向量誤差修正模型，并儘限於單門限情形。本論文研究了多門限協整模型的估計問題。針對多門限協整，我們提出了兩種基於多門限向量誤差修正模型的估計方法：最小二乘估計和光滑最小二乘估計，并給出了最小二乘估計的收斂速度和建立了光滑最小二乘估計的極限分佈。爲了對這兩種估計方法的性能進行評估，我們展開了一項模擬實驗，實驗結果印證了本文給出的極限理論。通過多門限協整模型，我們隊利率期限結構進行了研究。 / 最後，本論文研究了光滑轉移協整的最小二乘估計方法，并給出了其極限分佈。 / Threshold cointegration has been a vibrant research topic in finance and statistics. Estimation procedures of threshold cointegrated models are usually based on the so-called threshold vector error correction forms (TVECMs) for one threshold case. In this thesis, we investigate two estimators for multiple thresholds cointegrations via TVECMs, namely the least squares estimator and the smoothed least squares estimator. The convergence rate of the least squares estimator is obtained and limiting distribution of the smoothed least squares estimator is developed. To assess the performance of these two estimators, we conduct a simulation study, the result of which supports the asymptotic theories developed. We study the term structure of interest rates by a two thresholds cointegration as an example. / Finally we also investigate the least squares estimator of smooth transition cointegration and establish the limiting distribution. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Wang, Man. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 83-88). / Abstract also in Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- Background --- p.1 / Chapter 1.1.1 --- Two-step Estimator --- p.3 / Chapter 1.1.2 --- Simultaneous Estimator --- p.4 / Chapter 1.2 --- Outline --- p.6 / Chapter 2 --- Threshold Cointegration --- p.7 / Chapter 2.1 --- Linear Cointegration --- p.7 / Chapter 2.1.1 --- Representation --- p.9 / Chapter 2.1.2 --- Two-step Estimator --- p.10 / Chapter 2.2 --- Threshold Cointegration --- p.12 / Chapter 2.2.1 --- SETAR Representation and Estimation --- p.12 / Chapter 2.2.2 --- TVECM Representation and Estimation --- p.15 / Chapter 3 --- LSE of Multipe Thresholds Cointegration --- p.17 / Chapter 3.1 --- Multipe Thresholds Cointegration --- p.17 / Chapter 3.2 --- TVECM Representation and LSE --- p.18 / Chapter 3.3 --- Assumptions and Results --- p.20 / Chapter 4 --- SLSE of Multiple Thresholds Cointegration --- p.25 / Chapter 4.1 --- Smoothed LSE (SLSE) --- p.25 / Chapter 4.2 --- TVECM and Estimation --- p.27 / Chapter 4.3 --- Assumptions and Results --- p.29 / Chapter 4.4 --- Asymptotic Variance --- p.34 / Chapter 5 --- Simulation and Empirical Studies --- p.38 / Chapter 5.1 --- Simulation Study --- p.38 / Chapter 5.1.1 --- Experiment Design --- p.38 / Chapter 5.1.2 --- Simulation Results --- p.40 / Chapter 5.2 --- Term Structure of Interest Rates --- p.42 / Chapter 6 --- Smooth Transition Cointegration --- p.50 / Chapter 6.1 --- Smooth Transition Cointegration --- p.51 / Chapter 6.2 --- Assumptions and Results --- p.52 / Chapter 7 --- Conclusion and Further Research --- p.56 / Chapter 7.1 --- Conclusion --- p.56 / Chapter 7.2 --- Future Research --- p.59 / Chapter 7.2.1 --- Nested Testing --- p.59 / Chapter 7.2.2 --- Limiting Distribution of LSE --- p.60 / Chapter 7.2.3 --- Other Nonlinear Cointegration --- p.60 / Chapter A --- Technical Proofs --- p.63 / Chapter B --- Some Formulas --- p.82 / Bibliography --- p.83
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_328657 |
| Date | January 2013 |
| Contributors | Wang, Man, Chinese University of Hong Kong Graduate School. Division of Statistics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | electronic resource, electronic resource, remote, 1 online resource (viii, 88 leaves) |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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