Unit Root Testing with Slowly Varying Trends

Cointegration in functional autoregressive processes

This paper defines the class of $\mathcal{H}$-valued autoregressive (AR) processes with a unit root of finite type, where $\mathcal{H}$ is an infinite dimensional separable Hilbert space, and derives a generalization of the Granger-Johansen Representation Theorem valid for any integration order $d=1,2,\dots$. An existence theorem shows that the solution of an AR with a unit root of finite type is necessarily integrated of some finite integer $d$ and displays a common trends representation with a finite number of common stochastic trends of the type of (cumulated) bilateral random walks and an …

对功能时间序列共同趋势的推断

Inference on common trends in functional time series

本文研究了在Hilbert空间中时间序列的单位根和协整的统计推断，提出对嵌入时间序列中的共同随机趋势数量（非平稳子空间维度）的推断方法，并考虑非平稳和平稳子空间的假设检验。

《巴黎协定是否塑造了排放趋势？针对106个中等收入国家能源、经济增长与CO₂的面板向量误差修正模型（VECM）分析》

Has the Paris Agreement Shaped Emission Trends? A Panel VECM Analysis of Energy, Growth, and CO$_2$ in 106 Middle-Income Countries

本研究通过面板VECM分析106个中等收入国家1980-2023年数据，发现能源使用是CO₂排放主因，《巴黎协定》未显著改变其排放趋势，需强化国内政策与清洁能源激励以实现可持续增长。

增强型HP滤波器比你想象的更具普适性

The boosted HP filter is more general than you might think

针对宏观经济趋势-周期识别需求，本文将boosting增强的HP滤波器拓展至高阶单整与近单位根时间序列，通过指数函数渐近分析建立理论，并在FRED数据集上验证其可及时捕捉危机下滑与复苏。

分数积分的半参数估计：局部Whittle方法的评估

Semiparametric Estimation of Fractional Integration: An Evaluation of Local Whittle Methods

研究为从业者提供六种分数积分半参数局部Whittle估计器指南。通过蒙特卡洛设计映射各估计器在多种条件下表现，揭示效率与稳健性间权衡，还在多时间序列上说明失效模式及结构断点问题。

具有偶尔紧约束的协整

Cointegration with Occasionally Binding Constraints

本文在CKSVAR框架下刻画偶尔紧约束导致的线性与非线性共同随机趋势，推广Granger-Johansen表示定理，解决非线性协整VAR的长期开放问题。