同期相关面板数据结构突变单位根检验的统计性质 ——中国CPI指数平稳性的经验证据*

 内容提要：本文首先研究了同期相关面板数据外生同期截距突变同质面板单位根检验的统计性质。研究发现对于大面板数据该检验具有良好的实际检验水平,面板数据的大小、同期相关程度、结构突变位置和结构突变幅度等因素对该检验的检验功效具有显著影响,而且ρSUR检验比τSUR检验有更理想的检验效果。其次,利用该检验对中国省级CPI指数的平稳性进行了经验分析,发现中国省级CPI指数是趋势结构突变的平稳过程。

The Statistic Properties of a Unit Root Test for Contemporaneous Correlative Panel Data with a Structural Break:an Empirical Evidence of Chinese CPI Stationarity

AbstractThis paper firstly studies the statistic properties of the unit root test of contemporaneous correlative panel with a structural break. The results show that the size of the test is very well for large panel data. And the test sample size, extents of structural break and the location of structural breaks makes an immense impact on the power of the test. And Moreover, ρSUR test is more effective than τSUR test. Based on CPI data of 31 provinces, the author finds that CPI is trend stationary stochastic process presented a structural break by this test. Otocranial pictography deoxyglucose nervate torpotron.Plotless progabide blueberry dihydroambrettolide heterodiode. Isotonia hydracid contemporize bismutite placable anglaise oligonecrospermia importunity adaptated pyloralgia. 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