变结构协整问题研究  

Study on cointegration with structural changes

作　　者：杨宝臣[1] 张世英[1] 

机构地区：[1]天津大学管理学院,天津300072

出　　处：《系统工程学报》2002年第1期26-31,共6页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目 ( 7940 0 0 14 )

摘　　要：提出了变结构协整的定义及分类 .将变结构协整分为 3种类型 :参数变化型协整 ,部分变化型协整和机理变化型协整 .对于第一种类型提出了基于 ADF检验统计量的变结构协整检验和建模方法 .并对中国国民收入与社会总消费进行了协整分析 .结果表明 。In this paper, we proposed the concepts and types of cointegration with structural changes, and divided the cointegration with structural changes into three types: cointegration with coefficients shift, partially cointegration, and cointegration with mechanismic change, respectively. The paper developed the ADF-type statistic for testing of cointegration with coefficients shift and associated modeling procedure. An empirical study for testing for cointegration with structural change between the gross national income and the general consumption was provided. The result indicates that the cointegration coefficients have been shifted since the introduction of economic reform policy in China.

关 键 词：经济系统 变结构协整问题 建模 研究 

分 类 号：F224.12[经济管理—国民经济]