协整还是协变:来自中国进出口时间序列的经验证据(1950—2004)

Cointegration or Co-breaking:Empirical Eevidence from China's Imports and Exports Time Series(1950—2004)

结构突变是经典计量经济学所面临的难题之一,也是当前国际计量经济学界的一个前沿热点问题。本文采用带有内生结构突变的单位根检验,判定我国进出口时间序列服从具有两次结构变动的趋势平稳过程,而不是单位根过程。在此基础上进一步建立了同期协同结构突变向量自回归模型,即协变模型,得出了一些与常规的协整分析不同的结论,该模型具有更强的解释能力和更好的预测效果。

Structural break is one of the puzzles that classical econometrics meet with. It has been a heated research area for econometricians. Based on the unit root test with two structural breaks, this paper justifies that China＇s imports and exports time, series are all trend stationary with two structural changes against unit root hypothesis. Then a VAR model with contemporaneous structural breaks is built, i.e. co-breaking model. Some empirical findings are contrast with those come from conventional cointegration methodology. The model has more powerful explanatory capability and forecast performance.