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

【摘要】：本文從結(jié)構(gòu)突變的視角對金融危機前后我國CPI漲跌(π)序列進行了內(nèi)生結(jié)構(gòu)變動的單位根檢驗,證明了其數(shù)據(jù)生成過程(DGP)為兩次結(jié)構(gòu)突變的趨勢平穩(wěn)過程而非單位根過程。并運用考慮結(jié)構(gòu)突變的時序模型對π序列進行了擬合,擬合優(yōu)度達到了97.28%,克服了簡單地用差分序列進行建模而造成數(shù)據(jù)信息大量損失的缺陷,同時,對模型的殘差序列進行ARCH效應(yīng)檢驗,結(jié)果顯示,金融危機前后我國CPI漲跌的波動并不存在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)濟學(xué)院;暨南大學(xué)經(jīng)濟學(xué)院統(tǒng)計系;
【分類號】：F222.33
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本文編號：1858418