Granger因果檢驗的非線性進展及應(yīng)用研究
發(fā)布時間：2018-09-07 16:07
【摘要】：Granger因果檢驗是計量經(jīng)濟學(xué)的重要組成部分,也是現(xiàn)代經(jīng)濟、金融學(xué)分析的重要工具,近年來Granger因果檢驗在非線性檢驗方向有了較大進展。本文在線性Granger因果檢驗的基礎(chǔ)上,闡述了Granger因果檢驗的非線性進展,重點總結(jié)了針對一階矩的基于回歸模型、非參函數(shù)和信息理論的三大類非線性方法以及針對二階矩的基于殘差交叉相關(guān)系數(shù)和多元條件方差模型下的兩大類非線性方法,討論了不同非線性Granger方法中數(shù)據(jù)要求、核心模型、建模關(guān)鍵以及模型優(yōu)缺點,提出了Granger因果檢驗"線性-非線性"的整體框架和研究范式.通過模型分析和比較,本文可為因果檢驗的非線性理論和模型研究提供參考,并對因果檢驗在經(jīng)濟和金融領(lǐng)域的更廣泛應(yīng)用提供支持。
[Abstract]:Granger causality test is an important part of econometrics and an important tool of modern economic and financial analysis. In recent years, Granger causality test has made great progress in the direction of nonlinear testing. In this paper, on the basis of linear Granger causality test, the nonlinear development of Granger causality test is expounded, and the regression model based on first-order moments is summarized. Three kinds of nonlinear methods based on nonparametric function and information theory, and two kinds of nonlinear methods based on residual cross-correlation coefficient and multivariate conditional variance model are discussed. The data requirements of different nonlinear Granger methods are discussed. The core model, the key to modeling and the advantages and disadvantages of the model are presented. The overall framework and research paradigm of the Granger causality test "linear-nonlinear" are proposed. Through model analysis and comparison, this paper can provide a reference for the study of nonlinear theory and model of causality test, and support the wider application of causality test in the field of economy and finance.
【作者單位】： 山東師范大學(xué)管理科學(xué)與工程學(xué)院;中央財經(jīng)大學(xué)管理科學(xué)與工程學(xué)院;中國科學(xué)院數(shù)學(xué)與系統(tǒng)科學(xué)研究院;
【基金】：國家自然科學(xué)基金(71203247,71271223) 北京市自然科學(xué)基金(9152017) 廣西石化資源加工及過程強化技術(shù)重點實驗室開放課題基金的資助
【分類號】：O212
本文編號：2228744
[Abstract]:Granger causality test is an important part of econometrics and an important tool of modern economic and financial analysis. In recent years, Granger causality test has made great progress in the direction of nonlinear testing. In this paper, on the basis of linear Granger causality test, the nonlinear development of Granger causality test is expounded, and the regression model based on first-order moments is summarized. Three kinds of nonlinear methods based on nonparametric function and information theory, and two kinds of nonlinear methods based on residual cross-correlation coefficient and multivariate conditional variance model are discussed. The data requirements of different nonlinear Granger methods are discussed. The core model, the key to modeling and the advantages and disadvantages of the model are presented. The overall framework and research paradigm of the Granger causality test "linear-nonlinear" are proposed. Through model analysis and comparison, this paper can provide a reference for the study of nonlinear theory and model of causality test, and support the wider application of causality test in the field of economy and finance.
【作者單位】： 山東師范大學(xué)管理科學(xué)與工程學(xué)院;中央財經(jīng)大學(xué)管理科學(xué)與工程學(xué)院;中國科學(xué)院數(shù)學(xué)與系統(tǒng)科學(xué)研究院;
【基金】：國家自然科學(xué)基金(71203247,71271223) 北京市自然科學(xué)基金(9152017) 廣西石化資源加工及過程強化技術(shù)重點實驗室開放課題基金的資助
【分類號】：O212
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1 黃亞橋,答軍;信息理論的拓展——建立指標學(xué)的構(gòu)想[J];統(tǒng)計與決策;1991年03期
2 郝明,范貽昌,陳通;熵─信息理論在多品種小批量企業(yè)日常生產(chǎn)作業(yè)動態(tài)管理中的應(yīng)用初探[J];遼寧師范大學(xué)學(xué)報(自然科學(xué)版);1996年01期
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