Near unit roots, cointegration, and the term structure of interest rates
针对利率数据中自回归根偏离单位根导致传统协整检验过度拒绝的问题，开发了一种稳健的新检验方法，并应用于美国月度利率数据，发现考虑1979年体制变化后，利差作为协整向量的假设无法被拒绝。
The term structure of interest rates is often modelled as a cointegrated system with the yield spreads forming the cointegrating vectors. Testing whether the yield spreads span the cointegration space is problematic because conventional tests on the cointegration vectors tend to overreject when the largest autoregressive roots deviate from unity, as is likely to be the case with interest rates. A new test that is robust w.r.t. deviations from the exact unit root assumption is developed and applied to monthly US interest rate data from 1952:1–1991:2. Taking into account the regime shift in 1979, the hypothesis of the yield spreads being the cointegrating vectors cannot be rejected using the robust test. Copyright © 2000 John Wiley & Sons, Ltd.