Analysis on structural changes in the macroeconomic data series with the empirical evidence from China
Analysis on structural changes in the macroeconomic data series with the empirical evidence from China
LI Zinai1, ZHOU Jian2
1.School of Economics and Management, Tsinghua University, Beijing, 100084, China; 2.School of Economics, Shanghai University of Finance and Economics, Shanghai, 200433, China;
Abstract：Analysis on structural changes in macroeconomic data series has been the key issue for studying data quality. This paper studies the structural changes in China s 36 macroeconomic time series using joint estimation model, and we find out the characteristics and movement pattern for the outliers. Our results show that most outliers show up more or less in groups, indicating that there is a significant correlation between them. The isolated outliers are not the main characteristic of China s macroeconomic time series. Nearly all the original series contain the obvious skewness and kurtosis; hence, the hypothesis of normality is significantly rejected. Most original and outlier correction series show the non-autoregressive conditional heteroskedasticity (ARCH) characteristic, but the p value for ARCH2, ARCH4, and ARCH8 is very different.
出版日期: 2006-06-05
引用本文:
. Analysis on structural changes in the macroeconomic data series with the empirical evidence from China[J]. Frontiers of Economics in china, 2006, 1(2): 155-170.
LI Zinai, ZHOU Jian. Analysis on structural changes in the macroeconomic data series with the empirical evidence from China. Front. Econ. China, 2006, 1(2): 155-170.
