单根、共积与误差修正模型——理论、方法和应用

Unit Root, Cointegration and Error Correction Model——Theory, Technique and Application

本文从变量的非平稳性导致传统计量方法出现的虚假回归问题入手 ,系统地介绍了单根及其检定、共积关系及其检定和误差修正模型。最后把所介绍的理论和方法运用到中国宏观经济问题之中 ,分析了中国工业总产值与投资需求、消费需求、出口和进口之间的关系。

It emerges spurious regression in traditional metric technique when variable is unstationary, this paper starts with the problem and introduces unit root and its test, co integration and its test, error correction model. Then, we apply these theory and technique to Chinese economy and analyze the relationship between investment, consume demand, export, inport and industrial output.