Cointegration analysis with structural changes between consumption and economic growth in China  

中国经济增长与消费的变结构协整分析(英文)

作　　者：郭建平[1] 何建敏[1] 

机构地区：[1]东南大学经济管理学院,南京210096

出　　处：《Journal of Southeast University(English Edition)》2006年第2期238-241,共4页东南大学学报（英文版）

摘　　要：In order to investigate the existence of a stable long-run equilibrium relationship between economic growth and consumption in China, the relationship between the gross domestic product （GDP） and consumption in China was investigated by the cointegration analysis method. Using the Engle-Granger （EG） test and considering the possibility of structural changes, the impact of external economic shocks on the long-run equilibrium relationship between economic growth and consumption in China was analyzed. Analysis results show that without considering structural changes, the EG test cannot detect cointegration in the series subjected to structural changes; in considering structural changes, cointegration is successfully detected by specifying the dummy variable. In addition, the error correction models were constructed in different periods. This study verifies the existence of a long-run equilibrium relationship between economic growth and consumption in China, and this relationship has significantly changed in 1989 and 1997, respectively.为了研究中国经济增长与消费之间是否具有长期稳定均衡关系,用协整分析方法检验了中国国内生产总值(GDP)与消费水平之间的关系.采用恩格尔葛兰杰(EG)检验并考虑数据结构变化的可能,研究了外部经济环境冲击对中国经济增长与消费之间长期均衡关系的影响.分析结果表明如不考虑样本数据的结构变化,对于变结构时间序列数据,EG方法没有检验到协整关系;如考虑结构变化,通过设定虚拟变量,协整关系被成功测出.并且建立了不同时期的误差修正模型.研究表明我国经济增长与消费之间已形成长期稳定均衡关系,该关系分别于1989年和1997年产生显著变化.

关 键 词：cointegration with structural changes economic growth dummy variable CONSUMPTION error correction model 

分 类 号：F224.0[经济管理—国民经济]