【作者】 张晓进；

【导师】 周少甫；

【作者基本信息】 华中科技大学 ， 数量经济学， 2006， 硕士

【摘要】 文中首先回顾并总结了关于计量经济模型结构变化在国内外的研究历史、现状及成果,接着简要讨论了与结构密切相关的异常点的问题及目前在处理结构变化过程中常用的两种方法—Chow检验法及虚拟变量法。文中还非常详细的讨论了VAR模型结构变化的建模问题,并将模型推广到多变量情形,而结构的变化也推广到同时存在水平漂移、斜率变化及时间趋势的情形。最后,也就是本文的核心内容,首先简要的介绍了单位根过程和协整理论,并将协整结构变化分为参数变化型协整、部分变化型协整及机理变化型协整。对参数型变结构协整模型进行了全面的建模分析;对部分型变结构协整模型,深入到其统计量的构建及其统计上的渐近性质上来;在对机理变化型变结构协整模型的过程中,深入到其本质问题—单位根的结构突变检验。在最后一章中,用实证的方法对中国1986—2004年的GDP增长率与城镇和农村PDI增长率进行了协整分析,并发现在92年前后其参数结构发生了一定的变化。更多还原

【Abstract】 At the beginning of this paper reviewed and summarized about models of structural break in domestic and international research history, status quo and fruits, and then a brief discussion of the outliers which are closely related to the structural problems and how to deal with structural break at two commonly used methods which called Chow Test and Dummy Variables. The article also discussion the structural break about VAR models in detail, and extend to multi- variable situations, the structural break also extend to existence of standard drift, slope changes and the time trend cases in the same time. Finally, as the core content, first introduced the theory of unit roots and cointegration in briefly, and then classify the cointegration structural break into parameters break of cointegration structural, portion break of cointegration structural and mechanisms break of cointegration structural. and gives a comprehensive analysis for the parameters break of cointegration structural; for the portion break of cointegration structural, embed it to the statistical conformation and gradual possibility; for the mechanisms break of cointegration structural, go deep into the core which about the unit roots structural break test. In the final chapter, the empirical methods used GDP growth rates and PDI growth rates of urban and rural in China from 1986 to 2004 to conducted for the cointegration analysis, and then find out that in 1992 the structure has undergone a change of parameters.更多还原