摘要
本文首先描述了房地产投资与GDP间关系在以2001、2008年为分界点的三个时期上的不同特征;其次用变结构协整模型侦测协整关系的结构变点;再次利用分段协整检验、邹氏断点检验和格兰杰因果检验对变点做进一步验证。结论如下:房地产投资与国民经济发展总体上存在长期协整关系,两者关系的发展呈现三段式:2001年之前两者尚未形成长期均衡关系,协整关系不显著,1998年到2001年是形成期;2001年之后两者形成了长期均衡关系,表现为协整关系比较显著;2008年之后协整关系脱离原均衡水平,向高位发展。加强对房地产行业的监督与调控,促使其与国民经济保持长期均衡,对经济社会持续、健康、协调发展意义重大。
Motivated by the characteristics of the increasing relationship between real estate mves^- merit and GDP on three periods separated by 2001 and 2008, we discovered the structural break points of coitltegration by the test of cointegration with regime shifts. Then we verified the breakpoints with coiutegration test in sections, Chow breakpoint test and Granger causality test. The conclusions are as follows. In general there is cointegration relationship between real estate investment and national economy. But in microscopic view, the development has gone through three stages: first, the long-term equilibrium relationship has not been totally formed before 2001 and the cointegration is not significant, but it begins to form between 1998 and 2001; second, the equilibrium relationship has formed after 2001, representing as significant cointegration; third, the cointegration relationship has changed significantly in 2008, shifting to a higher level. Enhancing supervision and regulation over the real estate industry to maintain stable long-term equilibrium with national economy is important to the sustained, healthy and coordinated development of the economy and society.
出处
《数理统计与管理》
CSSCI
北大核心
2012年第6期1061-1072,共12页
Journal of Applied Statistics and Management
基金
国家自然科学基金项目(71003100)
中国人民大学科学研究基金(中央高校基本科研业务费专项资金资助)项目成果(11xNK027
10xNF020)
关键词
房地产投资
GDP
变结构协整
邹氏断点检验
格兰杰因果检验
real estate investment, GDP, cointegration with regime shifts, Chow breakpoint test,Granger causality test