中国宏观经济变量的时间趋势属性研究

Research on the Time Trend Properties of China's Macroeconomic Variables

本文提出了一种新的时间趋势属性的检验方法,该方法融合了非线性模型与线性模型。本文构建了三个Wald类检验统计量及一个稳健检验统计量,推导出了这些统计量的极限分布并分析了其有限样本下的统计性质。应用该检验程序,本文分析了我国24个重要宏观经济变量的时间趋势属性,结果表明,其中22个经济变量具有非线性平滑转移特征,其时间趋势属性表现为确定性。

This paper proposes a new test procedure on the time trend, which combines linear and nonlinear models. Three Wald test statistics and a robust statistic are established, and their limiting distributions and finite sample properties are derived. Based on the proce- dure, this paper tests for the time trends of 24 variables in China, and the results show that 22 variables present deterministic nonlinear smooth transition time trend properties.