中国主要宏观&

中中中中中中中中中中中中中中中中中中

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中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中X12中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中 中中中中中中中中中ADF中中中中中中 Holdend 中 Perman中1994中中中中中中中中中中中中中中中中中中中中中中中中中中中中ADF中中中中中中中中中中中中中中中中中中 SIC中Schwartz, 1978中中中中中中中 FF 7 FF 中中中 ADF 中中中中中中中中中中中中中中中 KPSS 中中中Kwiatkowski, Phillips, Schmidt 中 Shin, 1992中中中中 ADF 中中中中中中中 ADF 中中中中中KPSS 中中中中中中中中中中中中中中中中中中中中中中中中中中中中中 ADF 中中中中中中中中中中中中中中中中中中中中中中中中中中 KPSS 中中中中中中中中中中中中中 ADF 中 中中中中中中中中中中中中中 KPSS 中中中 ADF 中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中 中中中中中 t 中中中中中中中中中中中 中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中 84 中中中中中中中中中中中 85 中中中中中中中中中中中中中中中 85×84=7140 中中中中中中中中中中 中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中“Epanechnikov 中中中”中中中中中中中中中中中 5 Kreiss, Neumann 中 Yao (1998)中中中中中 wild bootstrap 中中中中中中中中中中 $ 1 { } T t t u = 中中中中中中中中 * 1 { } T t t u = 中中中中 6 中中中 * { } t Y 中中中中中中中中中中 { } t Y 中中中中 p 中中中中中中中中中中中中中中中1中中中中中3中中中中中中中中中中中中中 * { } t Y 中中中中中中中中中中中中中中中中中中中中中wild bootstrap 中中中中中中中中中中 7 AIC 中中中中中中中中中中中中中中中 ADF 中中中中中中中中 AIC 中中中SIC 中中中中中中中
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2 ( ) 0.75(1 ) ( 1) K u u I u = - 中9中 中中 ( ) I g 中中中中中中中中中中中中中中中中中中中中中中 1中中中中 0中 中中中中 h 中中中中中中中中中 Cai中Fan 中 Yao中2000中中中中中 1 arg min ( ) Q q q h AMS h = = (10) 中中中 µ 2 1 1 1 1 1 { ( ) ( ) } n qm m p q j q t t j l t l t n qm j l AMS y t y t x m β γ - + - - + = - + = = = - - (11) 中中中中中中中中中中 Q=4中m=[0.1×T]中中 T=100 中中中 m=10中中 q=1 中中中中中中中 90 中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中中 91
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