我国工业增加值季节波动非线性研究——基于SEATV-STAR模型

doi:10.16381/j.cnki.issn1003-207x.2016.04.002

中国管理科学 ›› 2016, Vol. 24 ›› Issue (4): 10-18.doi: 10.16381/j.cnki.issn1003-207x.2016.04.002

我国工业增加值季节波动非线性研究——基于SEATV-STAR模型

危黎黎^1,2, 向书坚³

1. 湖北大学应用数学湖北省重点实验室, 湖北武汉 430062;
2. 湖北大学数学与统计学学院, 湖北武汉 430062;
3. 中南财经政法大学科学研究部, 湖北武汉 430073

收稿日期:2014-10-26 修回日期:2015-04-17 出版日期:2016-04-20 发布日期:2016-04-29
通讯作者: 危黎黎(1980-),女(汉族),河南信阳人,湖北大学数学与统计学学院,讲师,研究方向:宏观经济统计,国民经济核算,E-mail:weili@hubu.edu.cn. E-mail:weili@hubu.edu.cn
基金资助:
国家社会科学基金资助重点项目(15ATJ003);国家自然科学基金资助项目(71162017)

Research on the Nonlinearity of Seasonal Fluctuations of China's Industrial Added Value——Based on SEATV-STAR model

WEI Li-li^1,2, XIANG Shu-jian³

1. Hubei Key Laboratory of Applied Mathematics, Hubei University, Wuhan 430062, China;
2. School of Mathematics and Statistics, Hubei University, Wuhan 430062, China;
3. Department of Scientific Research, Zhongnan University of Economics and Law, Wuhan 430073, China

Received:2014-10-26 Revised:2015-04-17 Online:2016-04-20 Published:2016-04-29

摘要/Abstract

摘要： 多数宏观经济变量时间序列有季节波动,如果季节波动是非线性的,采用经季节调整过的数据或传统季节模型等线性处理季节波动的方法可能就不再适用。本文基于季节时变平滑转换自回归(SEATV-STAR)模型,运用"特殊到一般"的非线性检验策略对我国工业增加值季度增长率季节波动进行研究。结果表明:(1)工业增加值的季节波动兼有结构时变和非线性改变,工业增加值的周期波动是线性的。(2)技术进步、体制变迁等因素使得工业增加值季节波动发生连续的结构时变,它们是季节波动变化的主要影响因素。(3)工业增加值周期波动对其季节波动有非对称影响;在工业增加值的波峰阶段,其季节波幅会减小,且1、2季度工业增长率有明显提高。

关键词: SEATV-STAR模型, 平滑转换, 结构时变, 季节波动变化

Abstract: Most of the macroeconomic time series have seasonal fluctuations and if the seasonal fluctuations are truly nonlinear, then the methods of seasonal adjusted or traditional season models using linear methods to deal with seasonal fluctuations are may be improper. Based on SEATV-STAR model, "from the special to general" testing strategies ware applied to investigate the seasonal fluctuation of China's industrial added value and the results are as follows: seasonal fluctuation of industrial added value has the properties of structural time-varying and nonlinear change, while the periodic fluctuation is linear. The factors such as technological progress and economic system transition are the main influence factors to cause seasonal fluctuation's continuous structural change. Besides, cyclical fluctuation of industrial added value results in seasonal fluctuation's asymmetric change. In the peak periods of industrial added value, seasonal amplitude reduce while quarter 1th&2nd's growth speed improve significantly.

Key words: SEATV-STAR model, smooth transition, structural time-varying, seasonal fluctuation change

中图分类号:

F402.4

危黎黎, 向书坚. 我国工业增加值季节波动非线性研究——基于SEATV-STAR模型[J]. 中国管理科学, 2016, 24(4): 10-18.

WEI Li-li, XIANG Shu-jian. Research on the Nonlinearity of Seasonal Fluctuations of China's Industrial Added Value——Based on SEATV-STAR model[J]. Chinese Journal of Management Science, 2016, 24(4): 10-18.

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我国工业增加值季节波动非线性研究——基于SEATV-STAR模型

Research on the Nonlinearity of Seasonal Fluctuations of China's Industrial Added Value——Based on SEATV-STAR model

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