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金融危机前后我国CPI涨跌的路径分析——基于结构突变理论的实证研究

发布时间:2018-05-07 20:50

  本文选题:结构突变 + CPI涨跌 ; 参考:《产经评论》2010年01期


【摘要】:本文从结构突变的视角对金融危机前后我国CPI涨跌(π)序列进行了内生结构变动的单位根检验,证明了其数据生成过程(DGP)为两次结构突变的趋势平稳过程而非单位根过程。并运用考虑结构突变的时序模型对π序列进行了拟合,拟合优度达到了97.28%,克服了简单地用差分序列进行建模而造成数据信息大量损失的缺陷,同时,对模型的残差序列进行ARCH效应检验,结果显示,金融危机前后我国CPI涨跌的波动并不存在ARCH效应。
[Abstract]:In this paper, the unit root test of the endogenous structural change of the CPI fluctuation (蟺) sequence before and after the financial crisis is made from the point of view of structural mutation. It is proved that the data generation process is a trend stationary process of two structural mutations rather than a unit root process. The 蟺 sequence is fitted with a time-series model considering structural mutation, and the goodness of fit reaches 97.28, which overcomes the defect of simple modeling with difference sequence, which results in a large loss of data information, at the same time. The ARCH effect of the model residuals is tested. The results show that there is no ARCH effect in the fluctuation of CPI before and after the financial crisis in China.
【作者单位】: 暨南大学经济学院;暨南大学经济学院统计系;
【分类号】:F222.33


本文编号:1858418

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