单整变量之间Granger因果关系的一种检验程序

本文系统研究了含有单整变量的变量之间Granger因果关系基于OLS估计的检验方法,将适用于存在（1,1）阶协整关系的I(1)变量之间Granger因果关系检验的Engle和Granger（1987）两步程序,扩展到了存在协整关系的高阶单整变量的情形,并提出了含有单整变量的变量之间Granger因果关系检验的一般程序。     

中国金融发展与贸易开放的变结构协整分析

本文运用变结构协整技术分析了我国金融发展与贸易开放之间的长期均衡及短期动态关系.采用循序检验法确定结构突变点,发现在1994年和2003年金融发展与贸易开放之间的协整关系发生突变；对1978～2007年的数据进行变结构协整检验,得到两段变结构关系,并建立了误差修正模型.结果表明,即便是在相关序列存在结构性突变的情况下,...     

大连商品交易所期货价格发现功能的实证分析——以大豆和玉米期货为例

本文以在外部经济冲击影响下的大豆和玉米期货价格的长期均衡关系为例,对大连商品交易所期货价格的发现功能进行了实证研究.研究表明:在对价格进行建模时.结构突变是不可忽视的因素;采用允许结构突变的Johansen协整检验,得到了大豆和玉米期货市场的协整关系,从而接受了大连商品交易所期货具备价格发现功能的假设.     

关于机理变化型变结构非线性协整的研究

变结构非线性协整是协整理论发展的必然的趋势,也是经济系统复杂多变的必然需求,文章补充了变结构非线性协整的定义,并提出了机理变化型变结构非线性协整,指出其本质问题即单位根的结构突变检验,总结了几种结构突变的单位根检验方法,讨论了变结构点的估计方法,给出了基于Chow统计量的变结构协整检验和建模方法。     

单整和协整的检验与再检验及其应用

一、单整的检验与再检验 协整检验的第一步是对所涉及到的变量进行单整阶检验。因此，我们首先讨论单整检验。由于大多数经济变量轨迹具有随时间递增的特征，因此，通常假设数据生成过程（ＤＧＦ）为单整阶即非稳定性可能源于时间趋势或漂移。的显著性，因此，我们首先基于（１）式初步检验时间趋势或漂移。的显著性，在α、β均显著时，变换（１）式为基于（２）式的检验忽视了ｕｔ的自相关性，通常采用添加ｙｔ的滞后项以消除自相关即故原假设Ｈｏ与备选假设ＨＡ为。接受儿时，数据ｙｔ为含有显著时间趋势的单位根过程。基于（３）式的检…     

一个时变系数协整回归模型及应用研究

本文通过扩展现有Johansen协整回归模型,允许协整回归模型的系数具有时变特性,并且利用切比雪夫时间多项式来模型化时变系数,提出一个能够捕捉平滑时间转换的时变误差修正模型,并利用极大似然法进行估计。此外,本文还构建了一个用于检验Johansen非时变协整作为原假设的似然比检验,并推断其渐近服从卡方分布。最后应用本文所提出的时变系数协整回归模型检验了人民币汇率购买力平价,结果表明人民币对美元名义汇率、国内消费者价格指数以及美国消费者价格指数之间存在时变协整关系,但系数的符号与理论预期不一致。     

面板数据非线性阈值协整的检验方法

非线性阈值协整是线性协整的后续发展。本文使用两机制TR模型对Westerlund和Edgerton(2005)的面板数据协整向量结构突变模型进行扩展,提出截距项具有阈值效应、截距项和斜率系数都具有阈值效应的面板数据非线性阈值协整模型。在此基础上,本文进而分别构造Zc、Ztc、Zr、Ztr统计量检验阈值协整,并对上述统计量的极限分布进行了数学推导,发现它们都收敛于随机泛函。仿真实验结果表明,有限样本下上述检验统计量具有较小的水平扭曲和较高的检验势。     

国际证券市场联动程度的实证分析

20世纪80年代以来,通过国际证券投资分散风险已经形成一种可行手段,然而,随着全球经济一体化趋势的强化,国际证券市场也正在经历着一体化趋势,证券市场联动关系越来越明显,这必然会使国际投资多样化空间变小,进而会侵蚀掉国际多样化投资收益.有鉴于此,本文使用协相关参数分析、平稳性检验、多元协整检验、协整向量参数零配载限制检验、基于VECM的Granger因果性检验等计量技术测度国际证券市场联动程度,为国际证券投资提供量化参考.     

天然气消费与经济增长的动态均衡与因果关系分析

本文运用协整理论和Granger因果关系检验两种日益流行的计量经济分析技术,考察了1991～2011年期间我国天然气消费与经济增长之间的动态均衡关系和因果关系,协整分析结果表明：我国天然气消费与经济增长之间存在长期的均衡关系,进一步考虑建立误差修正模型来研究两者之间的短期情况,结果表明天然气消费与经济增长之间也存在着短期动态均衡关系。为了更好地观察天然气消费和经济增长之间的短期动态关系,本文考虑了脉冲响应函数,研究结果显示：天然气消费量的随机扰动项对我国的经济增长正向冲击作用先缓慢下降后上升的趋势;最后,Granger因果性检验表明,我国天然气消费对经济增长有着显著的促进作用,而经济增长对天然气消费的影响并不显著,原因在于我国的经济发展存在“能源高耗”及“能源依赖”的现象。     

我国银行和地产类股票价格的联动性研究

本文采用ADF单位根检验、Granger因果检验、Johansen协整检验等计量方法,对银行类股价和地产类股价变动的的相关关系进行了实证研究,结果发现两者之间存在长期的协整关系,并且银行股指是地产股指变动的原因。     

Panel Stationarity Test with Structural Breaks*

In this paper, we extend the heterogeneous panel data stationarity test of Hadri [Econometrics Journal, Vol. 3 (2000) pp. 148–161] to the cases where breaks are taken into account. Four models with different patterns of breaks under the null hypothesis are specified. Two of the models have been already proposed by Carrion‐i‐Silvestre et al. [Econometrics Journal, Vol. 8 (2005) pp. 159–175]. The moments of the statistics corresponding to the four models are derived in closed form via characteristic functions. We also provide the exact moments of a modified statistic that do not asymptotically depend on the location of the break point under the null hypothesis. The cases where the break point is unknown are also considered. For the model with breaks in the level and no time trend and for the model with breaks in the level and in the time trend, Carrion‐i‐Silvestre et al. [Econometrics Journal, Vol. 8 (2005) pp. 159–175] showed that the number of breaks and their positions may be allowed to differ across individuals for cases with known and unknown breaks. Their results can easily be extended to the proposed modified statistic. The asymptotic distributions of all the statistics proposed are derived under the null hypothesis and are shown to be normally distributed. We show by simulations that our suggested tests have in general good performance in finite samples except the modified test. In an empirical application to the consumer prices of 22 OECD countries during the period from 1953 to 2003, we found evidence of stationarity once a structural break and cross‐sectional dependence are accommodated.     

Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey–Fuller statistics

Trend breaks appear to be prevalent in macroeconomic time series, and unit root tests therefore need to make allowance for these if they are to avoid the serious effects that unmodelled trend breaks have on power. Carrion-i-Silvestre et al. (2009) propose a pre-test-based approach which delivers near asymptotically efficient unit root inference both when breaks do not occur and where multiple breaks occur, provided the break magnitudes are fixed. Unfortunately, however, the fixed magnitude trend break asymptotic theory does not predict well the finite sample power functions of these tests, and power can be very low for the magnitudes of trend breaks typically observed in practice. In response to this problem we propose a unit root test that allows for multiple breaks in trend, obtained by taking the infimum of the sequence (across all candidate break points in a trimmed range) of local GLS detrended augmented Dickey–Fuller-type statistics. We show that this procedure has power that is robust to the magnitude of any trend breaks, thereby retaining good finite sample power in the presence of plausibly-sized breaks. We also demonstrate that, unlike the OLS detrended infimum tests of Zivot and Andrews (1992), these tests display no tendency to spuriously reject in the limit when fixed magnitude trend breaks occur under the unit root null.     

Cointegration in Panel Data with Structural Breaks and Cross‐Section Dependence

The power of standard panel cointegration statistics may be affected by misspecification errors if structural breaks in the parameters generating the process are not considered. In addition, the presence of cross‐section dependence among the panel units can distort the empirical size of the statistics. We therefore design a testing procedure that allows for both structural breaks and cross‐section dependence when testing the null hypothesis of no cointegration. The paper proposes test statistics that can be used when one or both features are present. We illustrate our proposal by analysing the pass‐through of import prices on a sample of European countries. Copyright © 2013 John Wiley & Sons, Ltd.     

Testing for Panel Cointegration with Multiple Structural Breaks*

This paper proposes a Lagrange multiplier (LM) test for the null hypothesis of cointegration that allows for the possibility of multiple structural breaks in both the level and trend of a cointegrated panel regression. The test is general enough to allow for endogenous regressors, serial correlation and an unknown number of breaks that may be located at different dates for different individuals. We derive the limiting distribution of the test and conduct a small Monte Carlo study to investigate its finite sample properties. In our empirical application to the solvency of the current account, we find evidence of cointegration between saving and investment once a level break is accommodated.     

带结构突变的确定趋势的单位根检验方法——兼对中国工农业产品比价的实证分析

存在未知结构突变点的DGP关于结构突变的信息是不完全的,理论上不可能得到媲美标准ADF检验或Perron检验的统计特性,且Perron检验比标准ADF检验更适合于作为其单位根统计量的极限分布。本文以Perron(2009)方法为基础,结合minSSR和FGLS详细讨论结构突变的单位根检验的三个步骤,澄清了很多模糊的认识。以我国工农业产品比价和工农业产品价格指数为例,本文的实证研究发现,中国工农业利益分配格局的重大改变是由国际经济事件造成的冲击引起的。     

Testing for structural breaks in dynamic factor models

In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest procedures for testing for structural breaks. It is shown that structural breaks severely inflate the number of factors identified by the usual information criteria. The hypothesis of a structural break is tested by using LR, LM and Wald statistics. The LM test (which performs best in our Monte Carlo simulations) is generalized to test for structural breaks in factor models where the break date is unknown and the common factors and idiosyncratic components are serially correlated. The proposed test procedures are applied to datasets from the US and the euro area.     

Unemployment hysteresis in Australia: evidence using nonlinear and stationarity tests with breaks

This study is an attempt to test the hysteresis versus the natural rate hypothesis in unemployment rate using time series data of the Australia covering the period 1978: 2–2010:12. For the analysis, we employed nonlinear as well as different linear tests (with incorporation of endogenously determined structural breaks) of unit root. We found that the Australian unemployment rate is nonlinear process, has a partial unit root and trend reverting. Therefore, we provide support for the structuralist hypothesis. This finding provides the importance of accounting for exogenous shocks in the series and gives support to the shifting natural-rate hypothesis of the Australian unemployment rate.     

Functional coefficient regression models with time trend

We consider the problem of estimating a varying coefficient regression model when regressors include a time trend. We show that the commonly used local constant kernel estimation method leads to an inconsistent estimation result, while a local polynomial estimator yields a consistent estimation result. We establish the asymptotic normality result for the proposed estimator. We also provide asymptotic analysis of the data-driven (least squares cross validation) method of selecting the smoothing parameters. In addition, we consider a partially linear time trend model and establish the asymptotic distribution of our proposed estimator. Two test statistics are proposed to test the null hypotheses of a linear and of a partially linear time trend models. Simulations are reported to examine the finite sample performances of the proposed estimators and the test statistics.     

Unit root testing under a local break in trend

Recent approaches to testing for a unit root when uncertainty exists over the presence and timing of a trend break employ break detection methods, so that a with-break unit root test is used only if a break is detected by some auxiliary statistic. While these methods achieve near asymptotic efficiency in both fixed trend break and no trend break environments, in finite samples pronounced “valleys” in the power functions of the tests (when mapped as functions of the break magnitude) are observed, with power initially high for very small breaks, then decreasing as the break magnitude increases, before increasing again. In response to this problem, we propose two practical solutions, based either on the use of a with-break unit root test but with adaptive critical values, or on a union of rejections principle taken across with-break and without-break unit root tests. These new procedures are shown to offer improved reliability in terms of finite sample power. We also develop local limiting distribution theory for both the extant and the newly proposed unit root statistics, treating the trend break magnitude as local-to-zero. We show that this framework allows the asymptotic analysis to closely approximate the finite sample power valley phenomenon, thereby providing useful analytical insights.     

Are unemployment rates in OECD countries stationary? Evidence from univariate and panel unit root tests

This paper revisits the dynamics of unemployment rate for 29 OECD countries over the period of 1980–2013. Numerous empirical studies of the dynamics of unemployment rate are carried out within a linear framework. However, unemployment rate can show nonlinear behaviour as a result of business cycles or some idiosyncratic factors specific to labour market (Cancelo, 2007). Thus, as a testing strategy, we first perform Harvey, Leybourne, and Xiao (2008) linearity unit root test and then apply the newly ESTAR nonlinear unit root test suggested by Kruse (2011). This test has higher power than conventional unit root tests when time series exhibits nonlinear behaviour. Our empirical findings provide significant evidence in favour of unemployment rate stationarity for 25 countries. For robustness purpose, we have also used panel unit root tests without and with structural breaks. The empirical results show that unemployment hysteresis hypothesis is strongly rejected, when taking into account the cross-sectional and structural break assumptions. Thus, unemployment rate is expected to return back to their natural levels without executing any costly macroeconomic labour market policies by the OECD’s governments.