论文部分内容阅读
传统的面板单位根检验普遍存在检验功效偏低的问题,SURADF检验虽然能够兼顾截面异质性和相关性特征,但不适用于变量序列存在非线性趋势的情形。笔者利用基于傅里叶变换的SURKSS面板单位根检验法,研究了中国CPI八大类子成分的通胀持续性问题。结果表明,这八大类子成分通胀率序列均存在“均值回复”特征,外部冲击只能使其暂时偏离长期均衡水平,各子成分通胀率的自身动态传导特性存在一定的差异。
The traditional panel unit root test generally has the problem of low test efficiency. Although the SURADF test can take into account the cross-sectional heterogeneity and the correlation characteristics, it is not suitable for the non-linear trend of the variable series. The author uses SURKSS panel unit root test method based on Fourier transform to study the problem of inflation persistence of the eight categories of CPI in China. The results show that the inflation rate sequences of these eight categories of components all have the characteristic of “average response ”. The external shock can only temporarily deviate from the long-term equilibrium level, and there are some discrepancies in the dynamic conduction characteristics of each sub-component of the inflation rate.