中国宏观经济总量的非线性增长动态研究

Studying on the Stationarity of China's Macroeconomic Series

宏观经济总量平稳性特征或者是否具有单位根,对研究变量的长期趋势以及变量间因果关系具有重要意义。本文采用Enders和Lee(2012)提出的傅里叶序列逼近单位根检验研究了中国宏观经济1952—2011年间的实际产出、实际人均产出、实际消费、实际工资和实际进出口5个指标的动态特征。实证结果表明,所有指标为包含结构变化的非线性平稳序列,这对于研究宏观经济变量的长期趋势以及分析变量间的关系具有重要启示,也表明以往建立在单位根结果基础上的协整分析及格兰杰因果分析值得商榷。

Whether a series can be characterized by a unit process or not is important for studying its long-run growth trend,as well as its relationship with other macro-economic series. By employing a new unit root testing approach proposed by Enders ~ Lee（2012） using a Fourier series to approximate smooth breaks, this paper studies the dynamic characterization of 5 main macro-economics in China during 1952 2011, namely Real GDP, Real GDP per cap, Real Consumption,Real Trade and Real Wages. It is important to note that,empirically result reveals that all the series are stationary with smooth breaks,an implication of the findings is that previous studies derived by co-integration or Granger Causality should be treated seriously.