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非线性阈值协整理论及其在中国的应用研究

Research on Nonlinear Threshold Cointegration Theory and Its Application in China

欧阳志刚

计量经济学

2010-11-01

978-7-5004-9161-3

313

23

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  • 内容简介
  • 书籍目录
  • 参考文献
内容简介

2003年,Granger因系统阐述标准线性协整理论而获得诺贝尔经济学奖。非线性阈值协整正是基于现实经济研究的需要,针对标准协整理论的缺陷而进行的扩展和改进,因而得到西方学者的青睐并成为国际计量经济学的前沿热点领域之一。本文基于实际经济背景和现实数据特征,特别是我国宏观经济结构的动态变化特征,针对现有阈值协整理论文献的不足而进行扩展和改进,并应用相关方法实证研究我国重要的现实经济问题。书中内容主要包含理论研究和应用研究两部分:1、理论研究包括:(1)非线性误差校正模型的估计与检验方法;(2)协整平滑机制转移模型的估计与检验方法;(3)非线性协整面板数据的估计与检验方法;2、应用本书扩展和改进的方法,对我国实际经济问题中的热点问题进行应用研究。(1)我国城乡收入差距与经济增长相关问题研究;(2)我国货币政策相关问题研究;(3)我国菲利普斯曲线的非线性研究;(4)农民医疗卫生支出研究。

In 2003, Granger won the Nobel Prize in Economics for his systematic formulation of standard linear cointegration theory. Nonlinear threshold cointegration is based on the needs of real economic research, and the expansion and improvement of standard cointegration theory is carried out, so it has been favored by Western scholars and has become one of the frontier hot fields of international econometrics. Based on the actual economic background and actual data characteristics, especially the dynamic change characteristics of China's macroeconomic structure, this paper expands and improves the existing literature on threshold cointegration theory, and applies relevant methods to empirically study important real economic problems in China. The content of the book mainly includes two parts: theoretical research and applied research: 1. Theoretical research includes: (1) estimation and testing methods of nonlinear error correction models; (2) Estimation and testing method of cointegration smoothing mechanism transfer model; (3) Estimation and testing methods of nonlinear cointegrated panel data; 2. Apply the methods of expansion and improvement of this book to carry out applied research on hot issues in China's actual economic problems. (1) Research on the problems related to urban-rural income gap and economic growth in China; (2) Research on issues related to China's monetary policy; (3) Nonlinear study of Phillips curve in China; (4) Research on farmers' medical and health expenditure.

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