本書(shū)主要研究了非線性協(xié)整理論的非參數(shù)檢驗(yàn)與估計(jì)兩個(gè)領(lǐng)域，包括非線性存在性、混沌與分形特征、非線性非平穩(wěn)檢驗(yàn)及非線性協(xié)整檢驗(yàn)與估計(jì)等；梳理了這兩個(gè)領(lǐng)域的研究脈絡(luò)和框架。對(duì)我國(guó)貨幣各變量序列，以及我國(guó)與國(guó)際股市指數(shù)序列應(yīng)用所給出的非線性協(xié)整理論的非參數(shù)方法進(jìn)行了非線性存在性檢驗(yàn)、混沌與分形特征檢驗(yàn)、存在非線性的非平穩(wěn)檢驗(yàn)以及非線性協(xié)整檢驗(yàn)與估計(jì)，得出了較此前學(xué)者們應(yīng)用線性協(xié)整理論相關(guān)方法更一般的結(jié)論。本書(shū)不僅可以豐富和完善協(xié)整關(guān)系模型的理論和方法，而且有助于決策者更準(zhǔn)確地把握經(jīng)濟(jì)和金融變量之間的相互作用和演化關(guān)系，更好地制定經(jīng)濟(jì)和金融政策進(jìn)行宏觀調(diào)控。
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(xiàn)綜述········································································· 3
1.4 本書(shū)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(guò)程···················································································· 14
2.2 單位根檢驗(yàn)···················································································· 17
2.3 協(xié)整及其表述定理··········································································· 23
2.4 協(xié)整的估計(jì)與檢驗(yàn)··········································································· 28
3章 時(shí)間序列的非線性存在性檢驗(yàn)···························································· 35
3.1 非線性的定義················································································· 35
3.2 非線性檢驗(yàn)的方法··········································································· 35
3.3 Monte Carlo 模擬······································································ 43
3.4 我國(guó)股市的非線性存在性分析·························································· 45
4章 非線性非 穩(wěn)時(shí)間序列的混沌與分形 征檢驗(yàn)····································· 50
4.1 混沌與分形理論簡(jiǎn)介······································································· 50
4.2 混沌與分形理論在經(jīng)濟(jì)中的應(yīng)用綜述················································· 57
4.3 時(shí)間序列中是否存在混沌的非參數(shù)檢驗(yàn)方法······································· 58
4.4 Monte Carlo 模擬······································································ 67
4.5 我國(guó)滬深股票指數(shù)的混沌與分形 征的實(shí)證研究································ 74
5章 非線性時(shí)間序列的非 穩(wěn)檢驗(yàn)···························································· 78
5.1 基于長(zhǎng) 憶性、混合性概念的非 穩(wěn)檢驗(yàn)方法···································· 79
5.2 推廣的單位根檢驗(yàn)··········································································· 83
5.3 貨幣需求函數(shù)各變量的單位根秩檢驗(yàn)與全距檢驗(yàn)······························· 102
6章 非線性協(xié)整的非參數(shù)檢驗(yàn)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(yàn)理論······························································· 108
6.3 錄數(shù)協(xié)整檢驗(yàn)（Record Counting Cointegr*ion Test,RCC）············· 125
6.4 中國(guó)與國(guó)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(jì)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(jì)方法········································ 153
7.4 Monte Carlo 實(shí)驗(yàn)研究····························································· 172
7.5 實(shí)證研究······················································································ 179
8章 結(jié)與展望···················································································· 186
8.1 本書(shū)所 的主要工作······································································ 186
8.2 不 之處······················································································ 186
8.3 進(jìn)一步研究展望············································································ 187
附 錄········································································································ 189
Gauss程序集程序段····················································································· 222
參考文獻(xiàn)···································································································· 223
后 ········································································································ 237
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