带有结构突变的单位根检验——文献综述被引量：41

Unit Root Test Allowing for Structural Breaks:A Literature Review

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摘要单位根检验是时间序列分析的基础,而是否考虑结构突变对单位根检验的结论有着重要影响,因此,考虑结构突变的单位根检验已成为计量经济学界的一个前沿热点问题。本文回顾了这一问题的发展历史,总结了该领域已取得的一些重要研究成果,最后对该问题最新的发展动向加以概括。 Unit root test is the basis for time series analysis. However, whether allowing for structural breaks or not has great influence on the conclusion of unit root test. Thus unit root test with structural changes has been a hot research area for econometricians. This paper looks back on the history of the issue, and summarizes some important results achieved in this field. Finally, we point out some recent development routes for this issue.

作者栾惠德

机构地区南开大学国际经济研究所

出处《数量经济技术经济研究》 CSSCI 北大核心 2007年第3期152-160,F0003,共10页 Journal of Quantitative & Technological Economics

基金国家社会科学基金(批准号:03BJY014) 国家自然科学基金(批准号:70571039)的资助

关键词结构突变单位根检验趋势平稳 Structural Break Unit Root Test Trend Stationary

分类号 F224.0 [经济管理—国民经济]

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参考文献42

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二级参考文献44

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