摘要
迪基、弗勒和佩伦是非平稳时间序列计量经济学领域极具影响力的经济学家。迪基和弗勒提出了时间序列分析中单位根的DF检验和ADF检验等,佩伦在非平稳时间序列统计分析领域的突出贡献则包括PP检验、MIC准则以及结构突变的单位根检验等,这些研究极大地推动了非平稳时间序列的统计建模和分析,被科睿唯安公司授予2020年度经济学领域的“引文桂冠奖”,并被预测可能问鼎未来的诺贝尔经济学奖。本文对这三位计量经济学大师在非平稳时间序列计量经济学领域做出的卓越贡献进行评介。
Dickey,Fuller,and Perron are highly influential economists in the field of non-stationary time series econometrics.Dickey and Fuller proposed statistical tests for unit roots in time series analysis:DF test and ADF test.Perron's outstanding contributions in the field of non-stationary time series statistical analysis mainly include PP test,MIC criterion and the unit root test with structural breaks,which greatly promoted the statistical modeling and analysis of non-stationary time series.These three economists are the 2020 Clarivate Citation Laureates in Economics,and are predicted to win the Nobel Memorial Prize in Economics in the future.This article reviews the outstanding contributions of these three econometric masters in the field of non-stationary time series econometrics.
作者
陈黎明
张智
冮建伟
CHEN Liming;ZHANG Zhi;GANG Jianwei(Hunan University, Changsha, China)
出处
《经济学动态》
CSSCI
北大核心
2020年第11期145-158,共14页
Economic Perspectives
基金
2019年度湖南省哲学社会科学基金一般项目(19YBA069)。
关键词
迪基
弗勒
佩伦
非平稳时间序列
协整
引文桂冠奖
Dickey
Fuller
Perron
Non-stationary Time Series
Cointegration
Citation Laureates
