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t = + et +ut + z

z

t et

ut

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y1t = 10 + 11y1,t1 + ... + 1ky1,tk + 11y2,t1 + ... + 1ky2,tk + 1t

y2t = 20 + 21y2,t1 + ... + 2ky2,tk + 21y1,t1 + ... + 2ky1,tk + 2t

yt = 1yt1 + 2yt2 + ... + kytk + ut

(g1) (gg)(g1) (gg)(g1) (gg)(g1) (g1)

yt =

yt1 + 1yt1 + 2yt2 + ... + k1yt(k1) + ut

= (k

j=1j)Ig i= (i

j=1j)Igyti= 0

=

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H0 : yt = yt1 + ut , vs.

H1 : yt = yt1 + ut, < 1

yt

yt = yt1 +

p

i=1

yti + ut

ut

yt = yt1 + ut

H0 : = 0 , vs.H1 : < 0

H0 : yt I(2) , vs.H1 : yt I(1)

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Ut Ot Pt Et DtUtOtPtEtDt

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trace(r) = T

gi=r+1

ln(1 i)

trace

trace

0 1 < g

0 1 g

0 1

yt =

yt1 + 1yt1 + 2yt2 + ... + k1yt(71) + ut

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yt =

UtDt

EtPtOt

Et1

Ot1

Ut1

Pt1

Dt1

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Ot1

Ot1 Et1 Dt1 Ut1 Pt1

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H0 m1 = m2 = . . . = mk H1mi = mj

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