| 单位根检验与结构变化 |
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| 引用本文： | 田延宾,王振全.单位根检验与结构变化[J].北京石油化工学院学报,2008,16(2):57-62. |
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| 作者姓名： | 田延宾 王振全 |
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| 作者单位： | 北京化工大学经济管理学院,北京,100029;北京石油化工学院经济管理系,北京,102617 |
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| 摘 要： | 在对DF检验介绍的基础上,笔者对带有结构变化的单位根检验——外生和内生结构变化模型进行了详尽介绍。运用两种方法Mont Carlo模拟了有限样本的精确临界值。参照此临界值,对我国的出口序列进行结构变化检验,结果发现该序列是分段趋势平稳的。
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| 关 键 词： | 数据生成过程 单位根 结构变化 分段趋势平稳 |
Unit Root Test and Structural Change |
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| Tian Yanbin,Wang Zhenquan.Unit Root Test and Structural Change[J].Journal of Beijing Institute of Petro-Chemical Technology,2008,16(2):57-62. |
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| Authors: | Tian Yanbin Wang Zhenquan |
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| Affiliation: | Tian Yanbin Wang Zhenquan (1. College of Economics and Management, Beijing University of Chemical Technology, Beijing 100029; 2. Department of Economics and Management, Beijing Institute of Petro-chemical Technology, Beijing 102617) |
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| Abstract: | A detailed introduction to the unit root test with structural change, exogenous or endogenous breakpoint, is presented based on the introduction of the traditional DF （ADF） tests. The critical values of finite samples through Mont Carlo simulation with two methods are also presented. Based on these critical values, the unit root test with endogenous breakpoint on the export series is performed. The result shows that the export is segmented trend stationary. |
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| Keywords: | data generating process unit root structural change Mont Carlo simulation |
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