结构突变理论及其对上证指数的实证-数量经济学专业论文.docxVIP

詈i— 詈i— A璐TRACT i i[i ．]皇暑詈皇皇皇皇 Abstract Structural change had been put forward by GC．Chow in 1960 directed at increasing the estimation precision of the classical model．As long 8S F statistical value constructed by sectional regression exceeds the given critical value，strl删 change happens．The critical value is exactly the structural change point and the study on this point just constitutes the structural change problem．The flLrther study on this problem is accompanied by the development of the unit root and cointegration theory．Structure change is the most advanced subject of unit root theory and eointegration theory which represents one of the developing trends in Macro-Econometrica．At present，though the theory is far from maturity and the empirical practice is limited，further study and research On the subject carry great significance．The theory needs further clarification ofthe inmde mechanism and the perfection of structure change model．The paper combined the stock index with the study on structure change．On one side it is b。ca噼the stock index apparently has the characteristics of structure change and is representative of it；on the other side， there are many confusing phenomenon arising in Chinese stock market such as going opposite to GDP growth rate while growing in pace wim net exports and currency supply．Therefore，it is one of the bases of studying on Chinese stock market to discover the laws and characteristics ofChinese stock market’S operation． The empirical objectives are composed of discovering the characteristics of Chinese stock market operation from the perspective of quantity and theoretically expounding the economic reasons ofstock markets quantitative characteristics． Structure change Call be classified into unit root related structure change and cointegration structure change．The main subject of this paper is the previous one． The research of unit root related structure change-abroad took place mainly in America inl990s．which included the SO-cal