摘要
本文分析了我国利用外资与经济增长之间的关系。运用协整分析方法,考虑数据结构突变的可能性,本文研究发现,对结构突变的数据序列,恩格尔—葛兰杰检验没有检测到协整关系;通过设定虚拟变量,成功检测到该协整关系,并建立误差修正模型。基于现有数据的实证结果表明我国经济增长与利用外资之间的协整关系在1997年发生了变化。
The relationship between foreign capital and economic growth in China is analyzed in this paper. Using the method of co - integration analysis and considering the possibility of structural changes, this paper finds that Engle - Granger test cannot detect the co - integration subject to structural changes series. Through specifying the dummy var- iable, this co - integration is successfully detected. In addition, error correction model is built. The empirical result based on real data indicates the change of the co - integration between foreign capital and economic growth in 1997 in China.
出处
《数理统计与管理》
CSSCI
北大核心
2007年第2期273-278,共6页
Journal of Applied Statistics and Management
基金
国家自然科学基金资助项目(70371035)
关键词
变结构协整
经济增长
虚拟变量
误差修正模型
co - integration with structural changes
economic growth
dummy variable
error correction model
