cointegration檢定

2020年1月28日—Thetestfollowstheverysimpleintuitionthatifvariablesarecointegrated,thentheresidualofthecointegratingregressionshouldbe ...,TAIR相關學術產出;題名:ACointegrationTestforMarketEfficiently;作者:賴松鐘;貢獻者:財管系;日期:1990-10.,2018年5月28日—Thetestconsideredintheprevioussectionsareforthenullhypothesisofnocointe-gration.Thesearebasedontestsforaunitroot ...,Cointegrationisastatistical...

參考資訊如下
A Guide to Conducting Cointegration Tests

2020年1月28日 — The test follows the very simple intuition that if variables are cointegrated, then the residual of the cointegrating regression should be ...

A Cointegration Test for Market Efficiently

TAIR相關學術產出 ; 題名: A Cointegration Test for Market Efficiently ; 作者: 賴松鐘 ; 貢獻者: 財管系 ; 日期: 1990-10.

Ch. 23 Cointegration

2018年5月28日 — The test considered in the previous sections are for the null hypothesis of no cointe- gration. These are based on tests for a unit root ...

Cointegration

Cointegration is a statistical property of a collection of time series variables. First, all of the series must be integrated of order d (see Order of ...

Cointegration tests

Cointegration

A cointegration test is used to establish if there is a correlation between several time series in the long term. The concept was first introduced by Nobel ...

樂詞網: 追蹤共整合

共整合檢定. Cointegration test · 季節性共整合. Seasonal cointegration · 門檻共積 ... Johansen cointegration test. View More. 雙語詞彙. 高壓電盤股. High-voltage ...

協整Cointegration

協整是一組時間序列變量（X1、X2、...、Xk）的統計屬性。首先，所有系列必須按順序d 進行積分（請參閱積分順序）。如果集合的線性組合以小於d 的階數積分，則稱該集合 ...

協整檢驗

協整檢驗(Cointegration Test)非平穩序列很可能出現偽回歸，協整的意義就是檢驗它們的回歸方程所描述的因果關係是否是偽回歸，即檢驗變數之間是否存在穩定的關係。

Regime Switching Cointegration Tests for the Stock ...

由 JY Wang 著作 · 2013 — 區域轉換下之共整合檢定：以MSCI台灣股價指數與恆生指數為例. 王若愚(Jo-Yu Wang) ； 魏嘉延(Chia-Yen Wei). 《修平學報》 27期 (2013/09) Pp. 123-143. 引用. 不提供下載 ...