我院青年教师蔡必卿在计量经济学顶尖杂志Journal of Business and Economic Statistics中发表论文

本网讯（通讯员：张鹃）日前，我院蔡必卿老师的合作论文（合作者：Jiti Gao at Monash University, Australia；Dag Tjøstheim at University of Bergen, Norway）“A new class of bivariate threshold cointegration models”在计量经济学领域顶尖杂志、经济学国际一流期刊Journal of Business and Economic Statistics，2017年第2期（Volume 35, Issue 2, Pages 288-305）发表。

Abstract

In this article, we introduce a new class of bivariate threshold VAR cointegration models. In the models, outside a compact region, the processes are cointegrated, while in the compact region, we allow different kinds of possibilities. We show that the bivariate processes form a 1/2-null recurrent system. We also find that the convergence rate for the estimators for the coefficients in the outside regime is√T, while the convergence rate for the estimators for the coefficients in the middle regime isT1/4. Moreover, we show that the convergence rate of the cointegrating coefficient isT, which is same as for the linear cointegration model. The Monte Carlo simulation results suggest that the estimators perform reasonably well in finite samples. Applying the proposed model to study the dynamic relationship between the federal funds rate and the 3-month Treasury bill rate, we find that cointegrating coefficients are the same for the two regimes while the short run loading coefficients are different.

KEY WORDS:

β-null recurrent; Cointegration; Markov chain; Threshold VAR models.

该论文讨论了一类新的二元非线性门槛协整模型。该模型在二元向量自回归（VAR）协整模型的框架下引入门槛效应,并且该门槛效应为自驱动的（self-excited），也就是门槛变量为自回归滞后变量本身。论文讨论了该模型框架下外部机制（regime）和内部机制的自回归向量的估计量的大样本性质，并通过蒙特卡模拟方法讨论了相应的有限样本性质。该论文进一步利用该模型分析美国联邦储备率与三月短期国债利率之间的关系。研究表明二者存在非线性协整关系，在不同的机制下二者长期协整关系不变，但是短期的动态调整并不一致。

全文链接：http://www.tandfonline.com/doi/full/10.1080/07350015.2015.1062385