随着社会的进步,统计数据由过去的年度数据变为如今的季度、月度和日度数据,有些以实时交易为基础的超高频金融数据达到了按秒为间隔的频率,这些数据被称为季节时间序列。季节时间序列研究已经成为近十年来经济计量学和统计学中的热点,J...随着社会的进步,统计数据由过去的年度数据变为如今的季度、月度和日度数据,有些以实时交易为基础的超高频金融数据达到了按秒为间隔的频率,这些数据被称为季节时间序列。季节时间序列研究已经成为近十年来经济计量学和统计学中的热点,Journal of Econometrics(1993,volume55)就此问题进行了专题讨论。本文按照历史发展顺序对季节性时间序列理论进行了系统地介绍,并对这一领域的前沿热点问题进行了评述和展望。展开更多
This paper analyses the nature of seasonal fluctuation of quarterly real GDP in China covering the period 1984.1～2004.4 by means of the Barsky’s model and the seasonal unit root tests (HEGY).The results show that th...This paper analyses the nature of seasonal fluctuation of quarterly real GDP in China covering the period 1984.1～2004.4 by means of the Barsky’s model and the seasonal unit root tests (HEGY).The results show that the seasonality in the real GDP changes over time because there are two unit roots in this series.展开更多
文摘随着社会的进步,统计数据由过去的年度数据变为如今的季度、月度和日度数据,有些以实时交易为基础的超高频金融数据达到了按秒为间隔的频率,这些数据被称为季节时间序列。季节时间序列研究已经成为近十年来经济计量学和统计学中的热点,Journal of Econometrics(1993,volume55)就此问题进行了专题讨论。本文按照历史发展顺序对季节性时间序列理论进行了系统地介绍,并对这一领域的前沿热点问题进行了评述和展望。
文摘This paper analyses the nature of seasonal fluctuation of quarterly real GDP in China covering the period 1984.1～2004.4 by means of the Barsky’s model and the seasonal unit root tests (HEGY).The results show that the seasonality in the real GDP changes over time because there are two unit roots in this series.
