1章 緒 論······························································································ 1

1.1 研究背景························································································· 1

1.2 研究的目的 意義············································································ 2

1.3 研究現(xiàn)狀與文獻綜述········································································· 3

1.4 本書章節(jié)安排及創(chuàng)新之處································································· 11

2章 單位根與線性協(xié)整理論概述······························································· 14

2.1 單位根過程···················································································· 14

2.2 單位根檢驗···················································································· 17

2.3 協(xié)整及其表述定理··········································································· 23

2.4 協(xié)整的估計與檢驗··········································································· 28

3章 時間序列的非線性存在性檢驗···························································· 35

3.1 非線性的定義················································································· 35

3.2 非線性檢驗的方法··········································································· 35

3.3 Monte Carlo 模擬······································································ 43

3.4 我國股市的非線性存在性分析·························································· 45

4章 非線性非 穩(wěn)時間序列的混沌與分形 征檢驗····································· 50

4.1 混沌與分形理論簡介······································································· 50

4.2 混沌與分形理論在經(jīng)濟中的應(yīng)用綜述················································· 57

4.3 時間序列中是否存在混沌的非參數(shù)檢驗方法······································· 58

4.4 Monte Carlo 模擬······································································ 67

4.5 我國滬深股票指數(shù)的混沌與分形 征的實證研究································ 74

5章 非線性時間序列的非 穩(wěn)檢驗···························································· 78

5.1 基于長 憶性、混合性概念的非 穩(wěn)檢驗方法···································· 79

5.2 推廣的單位根檢驗··········································································· 83

5.3 貨幣需求函數(shù)各變量的單位根秩檢驗與全距檢驗······························· 102

6章 非線性協(xié)整的非參數(shù)檢驗方法·························································· 107

6.1 推廣的E-G 步法········································································· 107

6.2 非線性協(xié)整的秩檢驗理論······························································· 108

6.3 錄數(shù)協(xié)整檢驗（Record Counting Cointegr*ion Test,RCC）············· 125

6.4 中國與國際股市的非線性協(xié)整研究·················································· 128

7章 非線性協(xié)整模型構(gòu)造與估計的非參數(shù)方法·········································· 149

7.1 ACE算法（Altern*ing Conditional Expections,ACE）······················· 149

7.2 部核權(quán)小二乘法······································································ 152

7.3 基于 經(jīng)網(wǎng)絡(luò)的非線性協(xié)整模型估計方法········································ 153

7.4 Monte Carlo 實驗研究····························································· 172

7.5 實證研究······················································································ 179

8章 結(jié)與展望···················································································· 186

8.1 本書所 的主要工作······································································ 186

8.2 不 之處······················································································ 186

8.3 進一步研究展望············································································ 187

附 錄········································································································ 189

Gauss程序集程序段····················································································· 222

參考文獻···································································································· 223

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