协整理论在中国的应用情况研究  

Study on the Applications of Co-integration Theory in China

作　　者：王瑞泽[1] 周观君[2] 张丽峰[3] 

机构地区：[1]天津工业大学经济学院,天津300384 [2]上海市信息化委员会发展规划处,上海200040 [3]东北大学秦皇岛分校经济系,河北秦皇岛066004

出　　处：《统计与信息论坛》2007年第4期21-25,共5页Journal of Statistics and Information

摘　　要：协整理论是20世纪80年代由格兰杰等人发展起来的计量经济学工具,但是2003年之前在中国学术界的应用并不广泛。自从格兰杰因首先创立协整理论而获得2003年诺贝尔经济学奖之后情况发生了根本性变化,大量介绍或应用协整理论的经济文献涌现出来,甚至到了泛滥的地步。以从《中国期刊网》上得到的资源为依托,对这一现状进行探索性地剖析,认为目前中国学术界对协整理论的应用既有合理的地方,也有盲目跟风甚至是相互矛盾的地方,总体上来说运用质量有待提高。Although the cointegration theory was developed by the G. W. J Granger and omer people m the eighties of the twentieth century, it was not widely used in China until C. W. J Granger was awarded Nobel Pprize in 2003. Since then a lot of economics papers introducing or applying co - integration theory have emerged, and the phenomenon of misuse of this theory possibly arose at the same time. Based on some of these papers obtained from web site www. cnki. net, we analyze the applications of co- integration theory in China and draw some initial conclusions. Most of these applications are reasonable, but some of them are a bit blindfold or even contradictory, which indicates that the overall application quality has a large room to get improved and this phenomenon should be paid more attention by academe.

关 键 词：协整 误差修正模型 单位根检验 

分 类 号：F064.1[经济管理—政治经济学]