非平稳时间序列外生性结构突变检验设计的一个实例

一、引言由于世界经济结构的剧烈动荡,如金融危机、政策变更等,致使经济时间序列中的结构突变时有发生,经济过程的结构突变会影响协整分析的结果,使协整方法论中许多有代表性的检验失去原有的功效,如单位根检验[单位根可能会发生漂移(特征根的取值不稳定),单位根检验统计量也可

A Case of Exogenous Structure Mutation Test Designing of Non-smoothed Time Series

The structure mutation during the economic process has very important influence on the analysis of non-smoothed time series.The article takes the time series of the annual official exchange rate of Yen to dollar as an example,attempts to construct a testing method of exogenous structure mutation of unit root process,as a reference to judge the existence of a structure mutation at the potential point of a unit root series.