带结构突变的确定趋势的单位根检验方法——兼对中国工农业产品比价的实证分析  

Unit Root Test of Identify Trends Series with Structure Break

作　　者：莫扬[1] 张捷[1] 

机构地区：[1]暨南大学经济学院

出　　处：《数量经济技术经济研究》2012年第2期126-138,共13页Journal of Quantitative & Technological Economics

基　　金：教育部青年项目(07JC790078);国家社科基金重点项目(09AZD015);广东省教育厅人文社会科学研究重大攻关项目(10ZGXM79005);暨南大学人文社科项目的资助

摘　　要：存在未知结构突变点的DGP关于结构突变的信息是不完全的,理论上不可能得到媲美标准ADF检验或Perron检验的统计特性,且Perron检验比标准ADF检验更适合于作为其单位根统计量的极限分布。本文以Perron(2009)方法为基础,结合minSSR和FGLS详细讨论结构突变的单位根检验的三个步骤,澄清了很多模糊的认识。以我国工农业产品比价和工农业产品价格指数为例,本文的实证研究发现,中国工农业利益分配格局的重大改变是由国际经济事件造成的冲击引起的。DGP existed unknown break point provides only partial information about structure break, so it is impossible to get perfect statistic characteristic in unit root test just like standard ADF test or Perron test. Its unit root statistics should converge to Perron test＇s unlimited distribution rather than ADF test. This paper rechecks unit root test method with unknown structure breaks on the basis of Perron＇s method and clarifies some ambiguous understanding. An empirical test is carried out to show that the price parities between China＇s industry and agriculture products have a trend break in 1997 instead of 1978, which imply the benefit allocation pattern between Chinese industry and agriculture changed mainly by international issues

关 键 词：结构突变 Perron检验 FGLS 工农业产品比价 

分 类 号：F064.1[经济管理—政治经济学]