中国CPI八大类子成分通胀持续性研究——基于傅里叶变换的SURKSS面板单位根检验

A Research on Sectorial Inflation Persistence in China——Based on Panel SURKSS Test with a Fourier Function

传统的面板单位根检验普遍存在检验功效偏低的问题,SURADF检验虽然能够兼顾截面异质性和相关性特征,但不适用于变量序列存在非线性趋势的情形。笔者利用基于傅里叶变换的SURKSS面板单位根检验法,研究了中国CPI八大类子成分的通胀持续性问题。结果表明,这八大类子成分通胀率序列均存在"均值回复"特征,外部冲击只能使其暂时偏离长期均衡水平,各子成分通胀率的自身动态传导特性存在一定的差异。

Although panel SURADF test takes into account the cross-sectional heterogeneity and dependence,it is not applicable when variables have nonlinear trends. This paper employs panel SURKSS test with a Fourier function to investigate Chinese aggregate and sectorial inflation persistence. The empirical results suggest that all the sectorial inflation rates are mean reverting processes,which will deviate from their long-term equilibrium levels temporarily. There exist some differences in the dynamics of sectorial inflation rates.Compared with the conventional unit root tests,SURKSS is superior in identifying the structural characteristics of sectorial inflation.