摘要
本文采用四种方法对我国的产出缺口进行估计。实证研究表明 ,采用单、多变量状态空间———卡尔曼滤波方法估计的潜在产出和产出缺口在经济解释上更加合理。特别是 ,在采用多变量状态空间———卡尔曼滤波方法估计潜在产出和产出缺口时 ,我们同时也估计了菲利浦斯曲线 ,而且统计检验也证实了这一方法的合理性和优越性。
This paper deals with the estimation of output gap in China, for which four different approaches are implemented respectively. The empirical results indicate that the output gap and potential output estimated by univariate and multivariate state-space methods with Kalman filter are more reasonable in economics. In particular, the Phillips curve is simultaneously estimated while using multivariate state-space methods with Kalman filter to estimate the output gap. The statistical tests also show the multivariate method is more efficient.
出处
《金融研究》
CSSCI
北大核心
2001年第10期69-77,共9页
Journal of Financial Research
基金
国家自然科学基金 ( 70 0 71 0 4 5 )
