REGRESSION THEORY FOR NEARLY COINTEGRATED TIME SERIES
提出近协整概念，将协整文献中的若干结果推广到近协整情形，刻画了传统协整方法在近协整下的性质，并得到五个以协整为原假设的检验的局部渐近功效函数。
This paper proposes a notion of near cointegration and generalizes several existing results from the cointegration literature to the case of near cointegration. In particular, the properties of conventional cointegration methods under near cointegration are characterized, thereby investigating the robustness of cointegration methods. In addition, we obtain local asymptotic power functions of five cointegration tests that take cointegration as the null hypothesis.