关键词: 协整, 误差校正模型, 多分辨, 小波分析

Abstract: In order to discuss the multiresolution character of economic or financial variable and capture the long run equilibrium relationship in different time scale, multiresolution analysis of wavelet has been introduced into the theory of cointegration modeling. The new conceptions of multiresolution cointegrtion and multiresolution error correction model are put forward in the paper. The method of multiresolution cointegration modeling which overcomes the shortcomings of traditional cointegration theory in discovering the information of multi-time scale contained in the variables is dicussed in detail. The new methods can capture the relationship between variables in different time scales, which has been proved by the empirical study.

Key words: Cointegration, Error correction model, Multiresolution, Wavelet analysis