Study Of Cointegration Structural Break Problems

At the beginning of this paper reviewed and summarized about models of structural break in domestic and international research history, status quo and fruits, and then a brief discussion of the outliers which are closely related to the structural problems and how to deal with structural break at two commonly used methods which called Chow Test and Dummy Variables. The article also discussion the structural break about VAR models in detail, and extend to multi- variable situations, the structural break also extend to existence of standard drift, slope changes and the time trend cases in the same time. Finally, as the core content, first introduced the theory of unit roots and cointegration in briefly, and then classify the cointegration structural break into parameters break of cointegration structural, portion break of cointegration structural and mechanisms break of cointegration structural. and gives a comprehensive analysis for the parameters break of cointegration structural; for the portion break of cointegration structural, embed it to the statistical conformation and gradual possibility; for the mechanisms break of cointegration structural, go deep into the core which about the unit roots structural break test. In the final chapter, the empirical methods used GDP growth rates and PDI growth rates of urban and rural in China from 1986 to 2004 to conducted for the cointegration analysis, and then find out that in 1992 the structure has undergone a change of parameters.