单位根，还是趋势间断?——基于中国宏观经济变量的实证研究

Unit-Root Hypothesis,or Trend Breaks?——An Empirical Investigation on Macroeconomic Time Series of China

在内生单个趋势间断备择假设下,进出口量与真实利率拒绝了单位根的原假设;而在内生多个趋势间断备择假设下,包括通货膨胀率、进出口量、工业增加值与真实利率在内的主要宏观经济变量都拒绝了单位根的原假设。基于不同的备择假设,我们可能得到完全相背的平稳性推断结论。因此,深入考察各个变量自身的生成机制,无论是对于经济理论或实证研究,抑或政策评价,都具有重要的现实意义。

Ex - import and real interest rate reject the null under one - time endogenous trend - break point alterna- tive, while main macroeconomic variables, including inflation, ex - import, industry- value- added and real interest rate reject the null under multiple endogenous trend - break points alternatives. We can establish different conclusion based on different alternatives. Therefore, it is of great importance to investigate the characteristics of data generating mechanism of the variable itself, no matter for theoretical and empirical purposes, or in policy evaluation.