本文選題：結(jié)構(gòu)突變 + CPI漲跌��； 參考：《產(chǎn)經(jīng)評(píng)論》2010年01期

【摘要】：本文從結(jié)構(gòu)突變的視角對(duì)金融危機(jī)前后我國(guó)CPI漲跌(π)序列進(jìn)行了內(nèi)生結(jié)構(gòu)變動(dòng)的單位根檢驗(yàn),證明了其數(shù)據(jù)生成過(guò)程(DGP)為兩次結(jié)構(gòu)突變的趨勢(shì)平穩(wěn)過(guò)程而非單位根過(guò)程。并運(yùn)用考慮結(jié)構(gòu)突變的時(shí)序模型對(duì)π序列進(jìn)行了擬合,擬合優(yōu)度達(dá)到了97.28%,克服了簡(jiǎn)單地用差分序列進(jìn)行建模而造成數(shù)據(jù)信息大量損失的缺陷,同時(shí),對(duì)模型的殘差序列進(jìn)行ARCH效應(yīng)檢驗(yàn),結(jié)果顯示,金融危機(jī)前后我國(guó)CPI漲跌的波動(dòng)并不存在ARCH效應(yīng)。
[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.
【作者單位】： 暨南大學(xué)經(jīng)濟(jì)學(xué)院;暨南大學(xué)經(jīng)濟(jì)學(xué)院統(tǒng)計(jì)系;
【分類號(hào)】：F222.33
，

本文編號(hào)：1858418