金融學(xué)外文翻譯------加工貿(mào)易與經(jīng)濟增長：基于中國的實證分析-國際貿(mào)易(編輯修改稿)
2025-06-25 14:52 本頁面
【文章內(nèi)容簡介】 time series is usually nonstationary． Engle and Granger(1987)point that if the linear bination of two nonstationary time series is smtionary,the two nonstationary time series have a cointegration relationship， that is， the two series have a mon time tendency， so it can be viewed that there exists a longrun equilibrium relationship． Therefore， we can apply cointegration test approach to test whether there exists the longterm equilibrium cointegration relationship between series． Presently, cointegration test methods mainly include EngleGranger’s twostage Cointegration test and Johansen Cointegration test． EngleGranger Cointegration test was put forward by Engle and GrangeL which only takes the bivariant process into account,and this process call merely possess nought or only one cointegration vector． While Johansen Cointegration test was first put forward by Johansen and Juselius， which is applied to test the cointegration relationship between multivariables by using maximum likelihood estimation in vector autoregression(VAR) system． This paper, by adopting EngleGranger’s twostage Cointegration test method， has a cointegration test of time series． The steps of EngleGranger’s twostage test method go as follows： Step 1： use mon least square method(OLS) to estimate the longterm static regression equation and calculate nonequilibrium error． Step 2： use ADF statistics test to estimate the stationarity of the residual error series． If the residual error series is estimated to be stationary, it suggests there exists a cointegration relationship between variables． . Error Correction Model(ECM) Error correction model was firstly adopted by Sargon， and then its application was promoted by Herdry, Anderson and Davidson． The main purpose of the initial application of errorcorrection model is to set up shortterm dynamic model so as to make up for the shortings of longterm static model． It can reflect the mechanism of the shortterm deviation to longrun equilibrium as well as the longrun equilibrium relationship between different time series． In recent years， errorcorrection method has bee one of the prevailing analyzing methods in applying economic measurement time series model ． Adopting the method of errorcorrection model can,through its longterm 5 equilibrium item, concentratively displays the modification mechanism of explained variables to nonequilibrium， driven by the longterm equilibrium rule in economic theory． Meanwhile， as there does not usually exist remarkable statistic relativity between shortterm dynamic perturbation item and longterm equilibrium item， thus we can make an economic explanation respectively． Because so long as we explain there is a cointegration relationship between variables and explained variables， there surely exists the only Grangercausality relationship， to set up models by applying errorcorrection method won’t result in“ false regression” , as is usually shown in traditional econotnio measurement model building， therefore， it call clearly reveal the mechanism of action between economic variables． Granger Formulation Theorem put forward by Engle and Granger(1987) suggests that if two ariables X and Y are cointegration， there is always an error correction model(ECM) to define their shortterm nonequilibrium relationship． That is： Where is nonequilibrium error item (longrun equalization
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