我国通货膨胀率动态波动路径的结构性转变特征与统计检验

中国管理科学 ›› 2006, Vol. ›› Issue (1): 1-6.

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我国通货膨胀率动态波动路径的结构性转变特征与统计检验

刘金全, 金春雨, 郑挺国

吉林大学数量经济研究中心, 吉林, 长春, 130021

收稿日期:2005-05-08 修回日期:2005-12-11 出版日期:2006-02-28 发布日期:2012-03-07
基金资助:
吉林大学"985工程"项目"中国宏观经济分析与预测"创新基地;国家自然科学基金资助项目(70471016、05BJL019);教育部人文社会科学重点研究基地2005年度重大研究项目(05JJD790078)

Tests for the Structural Changes in the Volatilities of Inflation Rates Path of China's Economy

LIU Jin-quan, JIN Chun-yu, ZHENG Ting-guo

Quantitative Research Center of Economics, Jilin University, Changchun Taxation college, Jili 130021, China

Received:2005-05-08 Revised:2005-12-11 Online:2006-02-28 Published:2012-03-07

摘要/Abstract

摘要： 本文运用参数稳定性检验方法研究我国通货膨胀率的动态变化路径,发现我国通货膨胀率序列具有明显的结构转变特征;利用包含结构转变点的最小二乘估计方法,获得了我国通货膨胀率的结构转变点估计和区间估计;结合我国宏观经济运行事实,分析并刻画了具有结构转变特征的通货膨胀率动态过程,准确地给出自1984年以来的两次高通货膨胀区间.

关键词: 通货膨胀率, 结构转变, 稳定性检验

Abstract: In this paper,we use the parameter stability tests to analyze the dynamic path of inflation rate of China's economy.We find that there is the significant structural breaks in China's inflation rate.By using the least square estimation on structural breaks,we have the point estimator and interval estimator for the autoregression model of inflation rate.Based on the China's economic situations,we established the inflation model by structural model,and described the high inflation periods since 1984.

Key words: inflation rate, structural break, stability tests

中图分类号:

F224

刘金全, 金春雨, 郑挺国. 我国通货膨胀率动态波动路径的结构性转变特征与统计检验[J]. 中国管理科学, 2006, (1): 1-6.

LIU Jin-quan, JIN Chun-yu, ZHENG Ting-guo. Tests for the Structural Changes in the Volatilities of Inflation Rates Path of China's Economy[J]. Chinese Journal of Management Science, 2006, (1): 1-6.

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我国通货膨胀率动态波动路径的结构性转变特征与统计检验

Tests for the Structural Changes in the Volatilities of Inflation Rates Path of China's Economy

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