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会展需求结构突变检验与实证分析

DOI: doi:10.3969/j.issn.1006-7043.2011.01.021

Keywords: 结构突变, 单位根检验, 趋势平稳, 数据生成过程, 自回归

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Abstract:

结构突变理论放松了经典单位根检验的基本假设,有效弥补了单位根检验功效损失,但其提高普适性的同时也造成检验方法的多样性和复杂性.为了解决该问题,采用内生性结构突变的ZA检验判定中国进出口商品交易会需求是一个以改革开放政策的实施为突变时点的,从差分平稳变为含有结构突变的趋势平稳的数据生成过程.在此结论基础上进一步建立了含有结构突变的自回归模型,该模型具有更好的解释能力和预测效果.

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