协整理论与误差修正模型在实证应用中几个问题的研究  

Study on the Problems of Empirical Analysis of Co-Integration and Error Correction Model

作　　者：李国璋[1] 江金荣[1] 陈敏[1] 

机构地区：[1]兰州大学经济学院,甘肃兰州730000

出　　处：《统计与信息论坛》2010年第4期21-24,共4页Journal of Statistics and Information

基　　金：兰州大学第二批学科建设项目行动计划<中国区域经济模型方法与应用>(582634)

摘　　要：随着协整理论与误差修正模型应用方面文章的不断推出,已给读者很多的启示,但在实际应用中却出现了一些问题,包括自然对数处理、非均衡误差平稳性的检验以及误差修正模型中差分变量滞后期的选择等问题。故立足于协整与误差修正模型的基本思想,分析在运用协整与误差修正模型进行研究时出现的错误及其产生的原因,同时规范其分析方法并提出相关建议。There are lots of documents relying on Co - Integration and Error Correction Model which give us much inspiration, but there also appear some problems when it be applied in practice, for example the treatment of natural logarithm, the test of non-equilibrium stationary error and the lag＇s selection of variable differential in Error Correction Model. This article, based on the basic principle of Co- Integration and Error Correction Model, studied the mistake we often make during practical application , and explain the reason for the mistakes, at last, normalize the analytical method and give some meaningful proposes

关 键 词：协整理论 误差修正模型 平稳性 

分 类 号：F224.0[经济管理—国民经济]