The Times Series Properties Of China's Macroeconomic Data

The most important significance of the unit root theory is that, on the one hand, if a macroeconomic time series contains unit root, then its trend is a random one accumulated by innovations. Every innovation has a long persistent effect on the series' future movement orbit. Any random shock in real life could have a long-time influence on the economic system. On the other hand, if a macroeconomic time series does not contain unit root, it shall fluctuate randomly within the defined balanced zone. The outer impact only affects economic development temporarily instead of becoming a perpetual shock of it. It is very important to ascertain whether macroeconomic time series contains unit root, as the two views above play different roles in guiding the government macroeconomic control.However, common methods which test the unit root, such as ADF test and PP test, do not take into consideration the situation when the macroeconomic time series experience structural breaks after a major strike. If structural break is contained in the series data generating process while being neglected by the common unit root test, the result could be the acceptance of the null hypotheses of the unit root, thus the effect of the test is dramatically reduced. In order to ensure the correctness of the test, we shall bring the structural break into the unit root test.Unit root test with structural breaks could be considered as a new field of research. Sometimes economists can get different results even from the same time series. So it is necessary to grasp the most effective way out of miscellaneous methods. Summing up the advancement and deficiency of the main theoretic models will not only mergers and perfects present unit root test theories with structural breaks, but also provides a clear foundation to further and deepen the development of this research. What's more, it can provide a point of view to the practical study and can ensure the validity of the empirical analysis.This research chooses the overseas and domestic unit root theories which contain the structural break, and analyses every factor which affects the precision of the test. We choose 16 macroeconomic time series of China to test, trying to find out the most proper model. Once the model is decided, it shall be used to test the fluctuation trend of China's macroeconomic time series.The structure of this research is as follows:The first part is introduction. We start from the source of unit root test and point out the importance of the unit root test theory. By utilizing the Eviews programme, we also make Monte Carlo Experience about the common unit root test and unit root test which contains one structural break. We demonstrate that the proper use of the unit root test could be decisive for the correctness of the test result.The second part is about the progress of the unit root test theory which contains structural breaks. We summarize and comment on the related literatures both domestic and abroad, and also make comparisons of them.The third part is a comparison analysis of the unit root test containing structural breaks. Previous research shows that the correctness of the unit root test containing structural breaks relies on the following factors: whether the test is reasonable, whether the data fits the model, whether the structural break is precisely defined, and the choice of the truncation lag parameter and the significance level. Based on this, we compare different test methods and test models, and give the significance level table we used.The fourth part is an empirical analysis about China's macroeconomic time series' fluctuation. We utilize a mature model to test China's 16 macroeconomic time series by the method of unit root test containing structural breaks. The result is that 15 series are consistent with the hypothesis when we adopt the common unit root test; 7 series are consistent with the hypothesis when we adopt the unit root test containing one structural break.The fifth part is the conclusion. We analyze China's macroeconomic time series' fluctuation trend which has been tested, and point out the significance of the result.