储蓄——收入模型的转变点分析

The Application of Change Point Analysis on Residents' Deposit and Income

本文利用线性回归模型分析改革开放以来我国居民储蓄与收入的关系 ,并引入转变点理论研究二者关系发生结构性转变的问题 ,最后讨论了影响储蓄增长的几个因素 .实证研究表明 ,90年代以来 ,随着经济环境的巨大变化 ,居民储蓄与收入的关系有所改变 ,储蓄的增长速度已经超过了收入的增长速度 .我们的研究还表明 ,当用时间跨度较大的样本时 ,结论虽符合长期趋势 ,但考虑到其可信度及从时效性角度看对近期宏观政策的现实指导意义 ,常规的回归分析应该加入转变点检验 ,以防忽略系统结构性转变 .

In this paper,we use the linear regression model to analyze the relation of the residents' deposit and income,and introduce change point analysis to study the problem of the relation has structural change in an unknown time point.We find that,in the 1990's,with the economic environment enormously changed,the relation of the residents' deposit and income chahged too.Our research also show that if the span of time is long,there should be one more general test including F-test and t-test in the procedure of regression to find whether there is an change of structure.