| 中国宏观经济总量波动趋势检验——基于结构突变单位根理论的分析 |
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| 引用本文： | 任燕燕,袁丽娜.中国宏观经济总量波动趋势检验——基于结构突变单位根理论的分析[J].山东大学学报(哲学社会科学版),2010(3). |
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| 作者姓名： | 任燕燕 袁丽娜 |
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| 作者单位： | 1. 山东大学经济学院,济南,250100
2. 北京正略钧策企业管理咨询有限公司,北京,100016 |
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| 基金项目： | 山东省自然科学基金，山东大学自主创新基金 |
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| 摘 要： | 宏观经济总量的波动趋势对政府政策主导下的宏观调控有着重要的影响.常规的单位根检验方法并没有考虑经济时间序列受到重大冲击发生结构突变的情况,大大降低模型的检验功效.为保证模型检验结果的科学性,需要将结构突变点纳入单位根检验方法中.通过对我国16个宏观总量进行含有结构突变的单位根检验,结果表明在使用常规单位根检验方法时接受单位根假设的15个序列,在采用含有一个结构突变点的单位根检验时,只有7个序列仍旧接受单位根假设.
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| 关 键 词： | 单位根检验 结构突变 波动趋势 |
The Times Series Properties of China's Macroeconomic Data:An Analysis Based on Unit Root Test with Structural Breaks |
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| REN Yan-yan,YUAN Li-na.The Times Series Properties of China's Macroeconomic Data:An Analysis Based on Unit Root Test with Structural Breaks[J].Journal of Shandong University(Philosophy and Social Sciences),2010(3). |
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| Authors: | REN Yan-yan YUAN Li-na |
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| Institution: | REN Yan-yan YUAN Li-na(School of Economics,Sh,ong University,Jinan 250100,P.R.China,Adfaith Management Consulting Inc.,Beijing 100016,P.R.China) |
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| Abstract: | The fluctuations of macroeconomic variables have an important impact on macroeconomic management conducted by the government. The general unit root tests usually do not take into consideration the situation wherein macroeconomic variables are subject to major shocks which give rise to structural breaks in the time series. In such cases the validity of the econometric results would be significantly undermined. Consequently,structural breaks should be introduced into unit root test to ensure the validity of t... |
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| Keywords: | unit root test structural break fluctuation trend |
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