GDP数据的协整分析.pdf

GDP 数据的协整分析 摘 要 协整理论在研究时间序列之间的关系式有着及其重要的作用，其将概率论方 法、数理统计方法与计量经济动态模型设定方法有机结合起来，能够使得时间序列 的建模能够更有效、更准确地反映经济系统内部的客观规律。改革开放以来，我国 的经济得到了突飞猛进的发展，GDP 是衡量一个国家经济活力最重要的指标之一， 在一定程度上，GDP 计算中是由第一产业、第二产业和第三产业的部分年产值所 构成，所以 GDP 和这三个因素之间存在着某种关系，也就是说，通过第一产业、 第二产业和第三产业的历年产值应该可以看出我国的经济发展方向。本文使用协整 理论分别从第一产业、第二产业和第三产业三个方面与我国 GDP 之间的关系进行 协整分析，并且在单变量与 GDP 的协整分析的基础上建立模型研究第一产业、第 二产业第三产业和我国 GDP 之间的协整关系，并从中得知，目前工业生产是影响 我国经济发展的主要因素，但我国第三产业的发展呈上升趋势，我国将来的发展方 向将指向第三产业。 关键词：协整理论，时间序列，GDP，预测 I GDP 数据的协整分析 Abstract Co-integration theory is very important in the researching of the relationship between time series. It can lead the model of time series to reflect economic laws effectively and accurately. After the reform and opening up, the economic of China are developing fast. GDP is one of indicators which can Measure Economic vitality of a country. To some extent, GDP is composed by the output value of the Primary industry, the secondary industry and the tertiary industry. Therefore, there may be some relationship between the four factors, and we can see the develop director of China from the statistic of the output of he Primary industry, the secondary industry and the tertiary industry in the past years. This paper do empirical analysis about the relationship between the primary industry output value and GDP, the secondary industry value output and GDP, the tertiary industry value output and GDP, and establish relation model about the Primary industry output value, the secondary industry value output, the tertiary industry value output, GDP. In addition, the paper make