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银行间支付流与同业拆借利率之关系的实证研究
  • 期刊名称：金融研究，2009, No.1 81-94
  • 时间：0
  • 分类：O212.7[理学—概率论与数理统计;理学—数学]
  • 作者机构：[1]中南大学数学科学与计算技术学院,长沙410075, [2]中国科学院数学与系统科学研究院,北京100080
  • 相关基金：国家自然科学基金（70221001,70331001号）,中科院创新方向性项目（KZCX2-SW-118）资助.
  • 相关项目：随机复杂数据与随机复杂结构的理论方法及其应用
关键词： 部分线性模型, 检验序列相关, 经验似然, Wilk’s定理, empirical likelihood, partial linear model, Wilk＇s Theorem testing serial correlation
中文摘要：

本文研究了部分线性回归模型中误差的序列相关性的检验问题，用经验似然的方法构造检验统计量，得到了零假设下检验统计量的渐近分布，我们的检验方法不但可以检验一阶序列相关，也可以检验高阶序列相关，数值模拟表明检验方法有好的检验功效．

英文摘要：

In the paper, we investigate the test for serial correlation in partial linear model. We use empirical likelihood method to construct test statistics, and derive the asymptotic distribution of the test statistics under null hypothesis. Our method tests not only first order autocorrelation but higher order autocorrelation as well. Simulation results show that our test has good power.

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