辨析经济时间序列趋势问题的探讨

Discussion of the Two Trend Process about Time Series

本文讨论了趋势平稳过程和与随机趋势过程在概念和经济涵义上的区别,利用渐近分布理论对于两种过程参数的统计关系进行了研究,从实践和理论上说明警惕单位根检验低功效的必要性,认为陆懋祖的观点值得商榷。最后针对单位根检验理论本身及国内学者在实践应用中存在的一些问题提出对策与建议。

This paper first summarizes the differences between Trend-Stationary Process and Difference- Stationary Process on definitions and economic meaning. And then analyses the statistic characteristics using asymptotic distribution theory, by which shows that it is necessary to warning the lower power of unit root test. It points out an opinion disagreeing with Lu. Some advises on the applications are discussed as well.