| 结构突变对实证估计方法选择的影响：以人民币汇率为例 |
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| 引用本文： | 陈龙江.结构突变对实证估计方法选择的影响：以人民币汇率为例[J].海南金融,2008(12):17-20. |
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| 作者姓名： | 陈龙江 |
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| 作者单位： | 仲恺农业工程学院,经济与管理学院,广东,广州,510225 |
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| 基金项目： | 国家自然科学基金
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| 摘 要： | 本文在详细归纳结构突变的单位根检验方法基础上，以2002—2007年间人民币汇率为例探讨了结构突变对于模型估计方法选择的影响。采用结构突变的单位根检验方法得到的检验结果否定了不考虑结构突变的传统ADF检验结果，揭示出人民币兑日元汇率时间序列为结构突变的平稳序列。本文结论表明，是否考虑结构突变将会导致对估计方法作出截然不同的选择，不考虑结构突变可能会带来“伪协整”问题。
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| 关 键 词： | 结构突变 估计方法 人民币汇率 单位根 影响 |
The Impact of Structural Break on the Choice of Estimation Methods:A Case of RMB Exchange Rate |
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| CHEN Long-jiang.The Impact of Structural Break on the Choice of Estimation Methods:A Case of RMB Exchange Rate[J].Hainan Finance,2008(12):17-20. |
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| Authors: | CHEN Long-jiang |
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| Institution: | CHEN Long-jiang (School of Economics and Management, Zhongkai University of Agricuhure and Engineering, Guangzhou 510225, China) |
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| Abstract: | This paper,taking RMB exchange rate from 2002 to 2007 as a case,exploits the impact of structural break on the choice of estimation methods based on a survey of unit root tests with structural break..The results from the test with structural break differ from those from that without structural break,showing that RMB exchange rate is a stationary series with structural break.This conclusion reveals that if structural break is taking into unit root test will lead to different choic-es on estimation methods and that unit root test without structural break may lead to problem. |
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| Keywords: | Structural Break Estimation Methods RMB Exchange Rate Unit Root |
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