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1.
文章运用1985~2007年的数据,建立了3组VAR模型系统,采用了Johansen法对各变量进行了协整检验,进一步建立向量误差修正模型,进行了长期和短期的Granger因果关系检验,结果表明:外债风险指数是经济增长率的长期原因;其他贷款和长期贷款偿债率和债务率是经济增长率的Granger原因.  相似文献   

2.
文章将环保投资作为对经济增长的影响要素纳入C--D生产函数,运用中国1990~2009年的时间序列数据,通过建立VAR模型和VECM模型,运用JJ协整检验和Granger因果关系检验,确定了环保投资与GDP之间存在双向长期Granger因果关系。通过线性回归分析,发现环保投资对我国经济增长有正的影响。此外,VAR模型的脉冲响应分析表明,经济建设投资、环保投资与劳动者工资同步协调增长,对我国的经济增长具有长远的意义。  相似文献   

3.
文章基于VAR模型建立协整方程,并运用Johansen协整检验、VEC模型、Granger因果关系检验、脉冲响应函数方法,对我国仓储业物流业的发展、贸易业物流业的发展、交通运输业物流业的发展和经济增长之间的关系进行了实证研究.研究结果表明:仓储业物流业的发展、贸易业物流业的发展、交通运输业物流业的发展和经济的增长之间存在长期的协整关系;仓储业物流业的发展、贸易业物流业的发展和交通运输业物流业的发展对经济的发展具有一定的促进作用.  相似文献   

4.
通过将能源引入生产函数建立三要素生产函数模型,利用最新发展的面板单位根,面板因果检验和面板协整方法对能源消费与经济增长重新进行了经验检验,面板单位根检验表明能源、GDP等都为一阶差分平稳变量;Granger面板因果关系检验结果表明能源消费是经济增长的因,而经济增长并不是能源消费的因,如果能源供应减少1%,经济增长将下降0.498%。  相似文献   

5.
中国进出口与经济增长关系的实证研究   总被引:12,自引:0,他引:12  
本文根据1978-2001年中国的经济数据,利用协整和误差校正模型对中国对外贸易与经济增长关系进行Granger因果关系检验,分析中国进口、出口增长与经济增长之间是否存在协整关系;在存在协整关系的情况下,从短期和长期来看各变量之间是否构成因果关系以及因果关系的性质.  相似文献   

6.
文章在引入了通胀预期这一因素后,运用协整检验和VAR模型对农产品价格波动与通货膨胀之间的关系进行了实证分析。结果表明:长期而言,农产品价格波动、通胀预期以及通货膨胀之间不存在协整关系,但农产品价格波动是通胀预期的Granger原因,通胀预期与通货膨胀之间存在着双向的Granger因果关系;短期来看,三者之间存在着波动性的相互影响,一般在当期或滞后1期时达到最大。  相似文献   

7.
文章以上证综合指数、国内生产总值等宏观经济变量指标作为解释变量,采用2005年1月至2007年6月的月度数据,运用VAR模型、Granger因果关系检验、误差修正模型(VECM)等方法,对股票市场与宏观经济变量的关系进行了实证研究。  相似文献   

8.
我国船舶市场主要经济影响因素的计量检验   总被引:1,自引:0,他引:1  
影响船舶市场需求的因素有很多.文章选取了四个经济基本面的影响因素作为变量,运用计量经济学中EG协整检验、Granger因果关系检验方法,对影响我国船舶市场需求的经济因素进行了实证分析,从而从根本上时中国船舶工业发展提供对策.  相似文献   

9.
银行信贷在近几年有了飞速发展,但是有相当一部分资金流向了房地产业,而房地产业是国计民生的重要产业之一,在推动宏观经济增长方面起到了重要作用。在建立VAR模型的基础上综合运用协整检验、Granger因果关系检验等方法,对中国银行信贷、房地产价格与宏观经济间的互动关系进行研究,结果表明银行信贷、房地产价格与宏观经济三者之间确实存在互动关系。  相似文献   

10.
在考察农产品期货价格指数与宏观经济变量关系时,已有研究主要使用Granger因果关系分析及时差相关系数检验农产品期货价格指数到宏观经济变量是否具有Granger因果关系以及先行期为多少,文章则采用建立VAR模型的方法,通过脉冲响应和方差分解考察农产品期货价格指数的随机变动对宏观经济变量波动的影响以及农产品期货价格指数对宏观经济变量波动的贡献率.同时,建立VEC模型考察农产品期货价格指数对宏观经济变量的长期和短期影响.  相似文献   

11.
In this paper, we use simulated data to investigate the power of different causality tests in a two-dimensional vector autoregressive (VAR) model. The data are presented in a nonlinear environment that is modelled using a logistic smooth transition autoregressive function. We use both linear and nonlinear causality tests to investigate the unidirection causality relationship and compare the power of these tests. The linear test is the commonly used Granger causality F test. The nonlinear test is a non-parametric test based on Baek and Brock [A general test for non-linear Granger causality: Bivariate model. Tech. Rep., Iowa State University and University of Wisconsin, Madison, WI, 1992] and Hiemstra and Jones [Testing for linear and non-linear Granger causality in the stock price–volume relation, J. Finance 49(5) (1994), pp. 1639–1664]. When implementing the nonlinear test, we use separately the original data, the linear VAR filtered residuals, and the wavelet decomposed series based on wavelet multiresolution analysis. The VAR filtered residuals and the wavelet decomposition series are used to extract the nonlinear structure of the original data. The simulation results show that the non-parametric test based on the wavelet decomposition series (which is a model-free approach) has the highest power to explore the causality relationship in nonlinear models.  相似文献   

12.
针对国内外能源与经济因果关系众说纷纭的现状,在总结Granger因果关系检验方法发展脉络的基础上,归纳检验变量之间因果关系的统计方法及其在国内外能源消费与经济发展关系实证检验的结果,做出四个代际划分,并按照检验因果关系四个代际的区分与相应的优劣,给出适用于时间序列和面板数据统计因果关系检验的一般步骤。同时指出面板数据、非线性因果关系检验方法将成为研究的发展方向。  相似文献   

13.
基于VAR模型,利用1978—2008年的样本数据分析公共投资与社会福利的动态相关性。通过协整检验、VECM模型、Granger因果检验及方差分解分析,结果表明:福利(W)与生产性投资(PI)、消费性投资(CI)间存在长期稳定的均衡关系;基于W、PI和CI的VECM模型具体较好的误差修正机制;PI、CI与福利间有Granger因果关系,反向关系成立,但PI与CI间不成立;W自身的冲击对W的贡献率最大,CI次之,PI的贡献率最小。  相似文献   

14.
张峁  王青 《统计教育》2010,(2):29-35,54
政府财政支出和居民消费的关系一直是经济界争论的焦点,文章基于1980-2007年辽宁省的时间序列数据,从宏观和动态的角度,运用单位根检验,Granger因果检验和向量自回归模型考察辽宁省财政支农,农村居民消费以及收入之间的关系,向量自回归模型的动态分析表明:农村居民收入和消费之间具有相互促进的正向联系,而财政支出的各方面对居民收入和消费的影响不尽相同,其中,基本建设支出对居民消费和收入都有负影响.即产生“挤出效应”,而生产性支出对居民收入产生正影响,而对居民消费却产生“挤出效应”,科技项目支出对居民收入和消费,先产生负影响,随着时间的推移,影响变为正;其他财政支出对居民收入产生正的影响,而对居民消费先产生“挤出效应”,随后又促进居民消费。  相似文献   

15.
The VAR lag structure applied for the traditional Granger causality (GC) test is always severely affected by multicollinearity due to autocorrelation among the lags. Therefore, as a remedy to this problem we introduce a new Ridge Regression Granger Causality (RRGC) test, which is compared to the GC test by means of Monte Carlo simulations. Based on the simulation study we conclude that the traditional OLS version of the GC test over-rejects the true null hypothesis when there are relatively high (but empirically normal) levels of multicollinearity, while the new RRGC test will remedy or substantially decrease this problem.  相似文献   

16.
焦武 《统计研究》2010,27(12):78-85
 本文针对中国国际收支多年来“双顺差”的事实,利用1981~2007年度中国国际收支时序数据和我们认为与之相关的最重要的两个宏观经济变量:中国的对外开放度指标和实际GDP的增长率数据,构建了多组向量自回归(VAR)模型,通过格兰杰因果检验、脉冲响应函数和方差分解等计量方法,实证检验了中国国际收支经常账户及其子账户与资本金融账户之间,各账户与宏观经济变量之间的因果关系、动态冲击响应和变量间影响的相对重要性。  相似文献   

17.
Linear vector autoregressive (VAR) models where the innovations could be unconditionally heteroscedastic are considered. The volatility structure is deterministic and quite general, including breaks or trending variances as special cases. In this framework we propose ordinary least squares (OLS), generalized least squares (GLS) and adaptive least squares (ALS) procedures. The GLS estimator requires the knowledge of the time-varying variance structure while in the ALS approach the unknown variance is estimated by kernel smoothing with the outer product of the OLS residual vectors. Different bandwidths for the different cells of the time-varying variance matrix are also allowed. We derive the asymptotic distribution of the proposed estimators for the VAR model coefficients and compare their properties. In particular we show that the ALS estimator is asymptotically equivalent to the infeasible GLS estimator. This asymptotic equivalence is obtained uniformly with respect to the bandwidth(s) in a given range and hence justifies data-driven bandwidth rules. Using these results we build Wald tests for the linear Granger causality in mean which are adapted to VAR processes driven by errors with a nonstationary volatility. It is also shown that the commonly used standard Wald test for the linear Granger causality in mean is potentially unreliable in our framework (incorrect level and lower asymptotic power). Monte Carlo experiments illustrate the use of the different estimation approaches for the analysis of VAR models with time-varying variance innovations.  相似文献   

18.
In many situations, we want to verify the existence of a relationship between multivariate time series. In this paper, we generalize the procedure developed by Haugh (1976) for univariate time series in order to test the hypothesis of noncorrelation between two multivariate stationary ARMA series. The test statistics are based on residual cross-correlation matrices. Under the null hypothesis of noncorrelation, we show that an arbitrary vector of residual cross-correlations asymptotically follows the same distribution as the corresponding vector of cross-correlations between the two innovation series. From this result, it follows that the test statistics considered are asymptotically distributed as chi-square random variables. Two test procedures are described. The first one is based on the residual cross-correlation matrix at a particular lag, whilst the second one is based on a portmanteau type statistic that generalizes Haugh's statistic. We also discuss how the procedures for testing noncorrelation can be adapted to determine the directions of causality in the sense of Granger (1969) between the two series. An advantage of the proposed procedures is that their application does not require the estimation of a global model for the two series. The finite-sample properties of the statistics introduced were studied by simulation under the null hypothesis. It led to modified statistics whose upper quantiles are much better approximated by those of the corresponding chi-square distribution. Finally, the procedures developed are applied to two different sets of economic data.  相似文献   

19.
能源消费与出口贸易:来自广东省的实证分析   总被引:1,自引:0,他引:1  
运用协整模型和格兰杰因果关系模型,分析广东省1987年以来能源消费与出口贸易的关系。结果表明:广东省能源消费和出口贸易关系显著;能源消费是出口贸易的单方向格兰杰原因;这种长期关系是稳定的,并没有随时间而发生结构性变化。据此得出结论:广东省出口贸易过分地依靠了能源消费。  相似文献   

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