本书主要研究了非线性协整理论的非参数检验与估计两个领域，包括非线性存在性、混沌与分形特征、非线性非平稳检验及非线性协整检验与估计等；梳理了这两个领域的研究脉络和框架。对我国货币各变量序列，以及我国与国际股市指数序列应用所给出的非线性协整理论的非参数方法进行了非线性存在性检验、混沌与分形特征检验、存在非线性的非平稳检验以及非线性协整检验与估计，得出了较此前学者们应用线性协整理论相关方法更一般的结论。本书不仅可以丰富和完善协整关系模型的理论和方法，而且有助于决策者更准确地把握经济和金融变量之间的相互作用和演化关系，更好地制定经济和金融政策进行宏观调控。
1章 绪 论······························································································ 1
1.1 研究背景························································································· 1
1.2 研究的目的 意义············································································ 2
1.3 研究现状与文献综述········································································· 3
1.4 本书章节安排及创新之处································································· 11
2章 单位根与线性协整理论概述······························································· 14
2.1 单位根过程···················································································· 14
2.2 单位根检验···················································································· 17
2.3 协整及其表述定理··········································································· 23
2.4 协整的估计与检验··········································································· 28
3章 时间序列的非线性存在性检验···························································· 35
3.1 非线性的定义················································································· 35
3.2 非线性检验的方法··········································································· 35
3.3 Monte Carlo 模拟······································································ 43
3.4 我国股市的非线性存在性分析·························································· 45
4章 非线性非 稳时间序列的混沌与分形 征检验····································· 50
4.1 混沌与分形理论简介······································································· 50
4.2 混沌与分形理论在经济中的应用综述················································· 57
4.3 时间序列中是否存在混沌的非参数检验方法······································· 58
4.4 Monte Carlo 模拟······································································ 67
4.5 我国沪深股票指数的混沌与分形 征的实证研究································ 74
5章 非线性时间序列的非 稳检验···························································· 78
5.1 基于长 忆性、混合性概念的非 稳检验方法···································· 79
5.2 推广的单位根检验··········································································· 83
5.3 货币需求函数各变量的单位根秩检验与全距检验······························· 102
6章 非线性协整的非参数检验方法·························································· 107
6.1 推广的E-G 步法········································································· 107
6.2 非线性协整的秩检验理论······························································· 108
6.3 录数协整检验（Record Counting Cointegr*ion Test,RCC）············· 125
6.4 中国与国际股市的非线性协整研究·················································· 128
7章 非线性协整模型构造与估计的非参数方法·········································· 149
7.1 ACE算法（Altern*ing Conditional Expections,ACE）······················· 149
7.2 部核权小二乘法······································································ 152
7.3 基于 经网络的非线性协整模型估计方法········································ 153
7.4 Monte Carlo 实验研究····························································· 172
7.5 实证研究······················································································ 179
8章 结与展望···················································································· 186
8.1 本书所 的主要工作······································································ 186
8.2 不 之处······················································································ 186
8.3 进一步研究展望············································································ 187
附 录········································································································ 189
Gauss程序集程序段····················································································· 222
参考文献···································································································· 223
后 ········································································································ 237
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