基于协整系统内共同因子的真实GDP估计  

Estimation of Real GDP based on the Common Factor in A Cointegrated System

作　　者：赵昕东[1] 

机构地区：[1]华侨大学数量经济研究院,福建厦门361021

出　　处：《数理统计与管理》2013年第6期1115-1123,共9页Journal of Applied Statistics and Management

基　　金：国家自然科学基金面上项目(71273096);教育部新世纪优秀人才支持计划(NCET-12-0673)的资助

摘　　要：能否准确统计GDP对于判断一个国家的经济形势与制定合理的经济政策有着重要意义.GDP有三种统计方法,分别是生产法、支出法与收入法,上述三种方法统计的GDP存在显著的统计偏差,因此单独使用其中任何一种方法统计的GDP反映经济形势都是不科学的。本文根据Gonzalo和Granger(1995)提出的共同因子模型估计中国支出法GDP与生产法GDP组成的协整系统中的共同因子,而该共同因子反映了两种GDP观测值的共同趋势,因此可以作为真实GDP的估计.本文的实证结果表明用上述方法估计的真实GDP优于目前广泛使用的生产法GDP.The accuracy of GDP is very important for the judgment of economic situation and economic policies decision. There are three kinds of statistical methods to account GDP, they are by production, by expenditure and by income. The so called GDP discrepancy between different statistical methods is very significant in practice. Obviously using any GDP alone to reflect the economic situation is not reasonable. In this paper we applied the Common Factor Model proposed by Gonzalo and Granger （1995） to the estimation of the common factor of a cointegrated system consisting of GDP production and GDP calculated by expenditure. This common factor reflects the common trend of two kinds of GDP and can be used as the estimate of China＇s real GDP. The empirical results show that the estimated real GDP is prior to the generally used production GDP.

关 键 词：真实GDP 协整系统 共同因子 

分 类 号：O212[理学—概率论与数理统计]