摘要
通过对粮价与物价的格兰杰检验,给出粮价与物价就统计意义上的因果关系.并考虑到物价和粮价可能存在集群性,对粮价和物价建立误差修正-自回归条件异方差混合模型.
The Granger causality relationship between grain price and consumption price is given. Because there is volatility clustering in grain price and consumption price, the errorcorrection-ARCH model is used to analysis their statistical property.
出处
《数学的实践与认识》
CSCD
北大核心
2006年第5期154-159,共6页
Mathematics in Practice and Theory
关键词
粮价
物价
误差修正模型
ARCH模型
协整
格兰杰因果检验
grain price
consumption price
error-correction model
ARCH model
co-integration
Granger causality
