| 我国GDP周期波动的非对称性研究方法与统计检验 |
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| 引用本文： | 刘汉中. 我国GDP周期波动的非对称性研究方法与统计检验[J]. 湖南工程学院学报(社会科学版), 2008, 18(2): 7-10 |
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| 作者姓名： | 刘汉中 |
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| 作者单位： | 湖南商学院,经济与贸易学院,湖南,长沙,410205 |
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| 摘 要： | 论述了阈值自回归模型(TAR)和冲量阈值自回归(M-TAR)理论方法及其检验统计量的构造,并应用Bootstrap自助法来获得检验统计量的渐近P-值或渐近临界值.运用该方法分析了我国GDP增长率周期波动的"深"和"尖"两方面的非对称性特征,研究发现我国GDP增长率周期波动呈现较强的"深"型波动,而"失"的特征并不明显.同时通过对价格指数的非对称性研究,发现价格指数周期波动并不存在非对称性,因此以价格名义变量来解释我国GDP增长率周期波动的非对称性是不成立的.
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| 关 键 词： | TAR模型 M-TAR模型 Bootstrap自助法 非对称性 |
| 文章编号： | 1671-1181(2008)02-0007-04 |
| 修稿时间： | 2007-11-22 |
Research into a Statistic Method of Asymmetry in China's GDP Fluctuations and Test |
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| LIU Han-zhong. Research into a Statistic Method of Asymmetry in China's GDP Fluctuations and Test[J]. Journal of Hunan Institute of Engineering(Social Science Edition), 2008, 18(2): 7-10 |
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| Authors: | LIU Han-zhong |
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| Affiliation: | LIU Han-zhong (College of Economics , Commerce,Hunan University of Commerce,Changsha 410205,China) |
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| Abstract: | This paper analyses the theory and steucture of Threshold Autoregressive model and Momentum Threshold Autoregressive model,and proposes a method to test this asymmetry in china's GDP fluctuations.We obtain asymptotic P-value or asymptotic critical value of test statistic through using Hansen's Bootstrap method.Then,we use this method to research into the deepness and sharpness features of China's GDP fluctuations,and find a fairly strong evidence of deepness in China's real GDP fluctuations,but we don't fin... |
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| Keywords: | Threshold Autoregression model Momentum-TAR Bootstrap method asymmetry |
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