摘要
结构突变理论放松了经典单位根检验的基本假设,有效弥补了单位根检验功效损失,但其提高普适性的同时也造成检验方法的多样性和复杂性.为了解决该问题,采用内生性结构突变的ZA检验判定中国进出口商品交易会需求是一个以改革开放政策的实施为突变时点的,从差分平稳变为含有结构突变的趋势平稳的数据生成过程.在此结论基础上进一步建立了含有结构突变的自回归模型,该模型具有更好的解释能力和预测效果.
The theory of structural breaks leaves the basic assumption of classical unit root test structure,which makes up unit root test power loss,unchanged,but increases the universality,diversity,and complexity of test methods.The ZA unit root test of endogenous structural breaks was used to determine the demand for the China Import and Export Fair.This test used the implementation of the policy reform as the mutation point in time and was the data generation process from differing stationary into trend stationary with structural breaks.On this basis,further auto-regression models with structural breaks were set up,which have better explanatory power and forecast effects.
出处
《哈尔滨工程大学学报》
EI
CAS
CSCD
北大核心
2011年第1期114-118,共5页
Journal of Harbin Engineering University
基金
国家自然科学基金资助项目(70672063)
关键词
结构突变
单位根检验
趋势平稳
数据生成过程
自回归
structural break
unit root test
trend stationary
data generation process
auto-regression
