| Ng—Perron单位根检验理论与应用——中国宏观经济序列的平稳性分析 |
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| 引用本文： | 王海花,聂巧平.Ng—Perron单位根检验理论与应用——中国宏观经济序列的平稳性分析[J].统计与信息论坛,2008,23(2):22-26. |
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| 作者姓名： | 王海花 聂巧平 |
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| 作者单位： | 1. 天津商业大学,经济学院,天津,300134
2. 天津商业大学,经济学院,天津,300134;南开大学,国际经济研究所,天津,300071 |
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| 摘 要： | 从理论和实证两个角度对Ng—Perron单位根检验进行了系统的分析和阐述，并应用该检验研究了中国名义GDP、实际GDP和实际利率的平稳性。通过分析，以期Ng—Perron单位根检验能在实证分析中得到更为规范和广泛的应用。
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| 关 键 词： | 单位根检验 Ng—Perron检验 滞后阶数 国内生产总值 实际利率 |
| 文章编号： | 1007-3116(2008)02-0022-05 |
| 修稿时间： | 2007年9月11日 |
On the Theory and Application of the Ng-Perron Unit Root Test——the Stationary Analyses of the China's Macroeconomics Series |
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| WANG Hai-hua,NIE Qiao-ping.On the Theory and Application of the Ng-Perron Unit Root Test——the Stationary Analyses of the China''''s Macroeconomics Series[J].Statistics & Information Tribune,2008,23(2):22-26. |
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| Authors: | WANG Hai-hua NIE Qiao-ping |
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| Institution: | WANG Hai-hua, NIE Qiao-ping (1. School of Economics, Tianjin University of Commerce, Tianjin 300134, China; 2. Research Institute of International Economy, Nankai University, Tianjin 300071, China) |
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| Abstract: | Combining the GLS de-trending and modified PP test and feasible point optimal test, Ng and Perron （2001） developed the M^GLS statistics used to test the unit root. Comparing with the conventional PP test and ADF test, the statistics have more power and better size, which is worth popularizing in the actual analysis. However, there is less applied in the known literatures. We systemically analyze and describe the Ng- Perron unit root test in both theoretical way and applicational. What＇s more, by the test, we research the stationary of the series of the nominal GDP, real GDP and real interest rate. Through our analyses, we hope the use of the Ng- Perron unit root test can be standardized and more widely used in the empirical analyses. |
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| Keywords: | unit root test Ng-Perron test lag order GDP real interest rate |
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