A RESIDUAL-BASED TEST FOR STOCHASTIC COINTEGRATION
在Harris等人提出的随机积分与协整框架下，针对非平稳异方差性，提出了随机协整检验和静态协整检验，推导了渐近分布并验证了有效性，适用于利率期限结构等场景。
We consider the problem of hypothesis testing in a modified version of the stochastic integration and cointegration framework of Harris, McCabe, and Leybourne (2002, Journal of Econometrics 111, 363–384). This nonlinear setup allows for volatility in excess of that catered for by the standard integration/cointegration paradigm through the introduction of nonstationary heteroskedasticity. We propose a test for stochastic cointegration against the alternative of no cointegration and a secondary test for stationary cointegration against the heteroskedastic alternative. Asymptotic distributions of these tests under their respective null hypotheses are derived, and consistency under their respective alternatives is established. Monte Carlo evidence suggests that the tests will perform well in practice. An empirical application to the term structure of interest rates is also given.We are most grateful to the Associate Editor and two anonymous referees for providing helpful comments on earlier versions of this paper.