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中文摘要：
利用图模型方法研究非线性结构向量自回归模型的因果性问题.构建了非线性结构向量自回归因果图模型,提出图模型因果性的广义似然比辨识方法.构造同期因果关系和滞后因果关系的广义似然比统计量,使用bootstrap方法来确定检验统计量的原分布,模拟研究论述了方法的有效性.
英文摘要：
In this paper,the causal relationships among variables of nonlinear structure vector autoregressive model are studied using graphical model method.The nonlinear structure vector autoregressive causal graph is presented,and a generalized likelihood ratio approach is developed to infer the causal relationships.The generalized likelihood ratio statistics of contemporaneous and lagged are presented respectively,and a bootstrap method is considered for determining the null distribution of the test statistic.The validity of the proposed method is confirmed by simulations analysis.
同期刊论文项目
同项目期刊论文
Asymptotic Normality of Pseudo-LS Estimator of Error Variance in Partly Linear Autoregressive Models
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