季节单位根检验和结构多重突变估计——对中国入境旅游(1990.1~2014.12)的实证分析  

Seasonal Unit Root Test and Multiple Structural Breaks Estimate—An Empirical Study of China’s Inbound Tourists (1990.1-2014.12)

作　　者：陈志宗[1] 

机构地区：[1]同济大学,经济与管理学院,上海

出　　处：《管理科学与工程》2018年第4期250-258,共9页Management Science and Engineering

摘　　要：对中国入境旅游月度数据做季节单位根检验,HEGY检验结果表明,该时间序列不含季节性单位根,但含有长期单位根。此外,最小LM单位根检验结果显示该月度序列是带双突变的平稳序列。最后,使用Bai和Perron方法确定3个突变点,由此该时间序列构成4个不同趋势的发展阶段,并对各阶段的趋势改变的原因用社会、经济的外部事件做了合理的解释。Using seasonal unit root tests on monthly data of China’s inbound tourists, the results of HEGY test show that no seasonal unit roots but one long-term unit root exist in the time series. Furthermore, the evidence of stationarity with two breaks is found in this monthly data by the minimum LM unit root test. Finally, three beaks are determined by using the Bai &Perron’s method, and the time se-ries exhibits four phases of different trends, for which a reasonable explanation of the so-cio-economic events is provided that might have contributed the shifting trends.

关 键 词：中国入境旅游 HEGY检验 LM单位根检验 多重结构突变 Bai和Perron方法 

分 类 号：F2[经济管理—国民经济]