2013.

12

()

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vs.

()

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,
(structural changes), (structural breaks)
,

, 1929 , 1970 ,
1997 , , 1972
(Bretton Woods system) ,
,

()

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Hansen (2001), , ,
...structural change is a statement about parameters, which
only have meaning in the context of a model.
, , ,

()

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AR(1) ,
y t = + y t1 + e t ,
e t i.i.d. (0, 2 ).

(, , 2 )
, ,

()

()

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y t AR(1) ,
y t = + y t1 + 0 D t () + 1 [D t () y t1 ] + e t

D t () = 0, if t <
D t () = 1, if t

(break date)

()

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, , y t ,
yt = {

+ y t1 + e t ,
if t <
( + 0 ) + ( + 1 )y t1 + e t , if t

H0 0 = 1 = 0

()

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,
H0 0 = 1 = 0,

F Wald , Chow
(Chow test)

()

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AR(p) Chow :
p

j=1

j=1

y t = + j y t j + 0 D t () + j [D t () y t j ] + e t ,

D t () = 0, if t <
D t () = 1, if t

0 = 1 = 2 = = p = 0.

()

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y t = + j y t j + 0 D t () + j [D t () y t j ] + e Ut R ,
j=1

j=1

SUR : SUR = t (etUR )2

y t = + j y t j + e tR ,
j=1

S R : S R = t (etR )2

()

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Chow F
F=

(S R SUR )/(p + 1)
,
SUR /(T 2p 2)

Chow Wald
W = (p + 1)F.

()

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Chow , , ,
,
1
2

(prior information)
,

,
Chow

()

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HansenB(2001), 1520 ,
:
1

()

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, Chow max-Chow

Quandt(1060) 1960 ,
[0 , 1 ] ,
Chow , Chow ,
max-Chow sup-F

()

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, 0 = T 1 = (1 )T (), T

= 0.15 , 15% (trimming),

70%

()

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,
y t = + y t1 + 0 D t () + 1 [D t () y t1 ] + e t .

F() Chow
0 1 ,
sup-F = max [F( 0 ), F( 0 + 1), F( 0 + 2), ..., F( 1 1), F( 1 )]

()

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Chow ,
Quandt(1960) , 30
, sup-F ! ,

90 , Andrews (1993) sup-F

(asymptotic distribution) , sup-F
Chow , sup-F Quandt-Andrews

()

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xt = {

0.5 + 0.30x t1 + a t t = 1972M1 1997M5

1.5 + 0.90x t1 + a t t = 1997M6 2006M12

()

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: AR(1)
X
20
16
12
8
4
0
-4
75

()

80

85

90

95

00

05

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AR(1) x
xt = 0.11 + 0.98 x t1 ,
(0.07) (0.01)

, AR(1) , = 0.98, AR(1)

, y t 1 = 0.30
2 = 0.90

()

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: Chow F
CHOWF
90
80
70
60
50
40
30
20
10
0
1975

()

1980

1985

1990

1995

2000

2005

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: (, 1981M42007M8)
LEX_KO
7.6

7.4

7.2

7.0

6.8

6.6

6.4
82

()

84

86

88

90

92

94

96

98

00

02

04

06

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: Chow F
CHOWF_KO
25

20

15

10

0
82

84

()

86

88

90

92

94

96

98

00

02

04

06

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,

()
(homoskedastic) ,
sup-F
= arg max [F( 0 ), F( 0 + 1), F( 0 + 2), ..., F( 1 1), F( 1 )] .

()

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Bai (1997)
(c

2
+ 1) ,
Q

= 2 1 ,
X X
Q =
,
T
e2
2 = t t .
T
1 2 , Q 2
95% , c = 11; 99% , c = 7
()

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 vs.

vs.

x t
xt = {

0.5 + 0.30x t1 + a t t = 1972M1 1997M5

1.5 + 0.90x t1 + a t t = 1997M6 2006M12

a t i.i.d. N(0, 1).

AR(1) , AR(1) ,
= 0.98, , x t
,

()

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 vs.

vs.

: x t

()

5%

ADF
DF-GLS
PP
KPSS
ERS

-0.31
-0.02
-0.82
1.71
26.98

-2.87
-1.94
-2.87
0.46
3.26

NP
MZa
MZt
MSB
MPT

0.13
0.07
0.49
19.32

-8.10
-1.98
0.23
3.17

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 vs.

vs.

, x t
(KPSS x t ) ,
(break stationary series), ,

Perron(1989) ,
3 , (crash)
(trend-break) (),

()

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 vs.

vs.

Nelson and Plosser (1982) ,

Perron (1989) ,
,
!

()

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 vs.

vs.
(Perron (1989) )
1

( Perron (1989) A)
{

H 0 y t = a 0 + y t1 + 1 D T B (t) + e t
H 1 y t = a 0 + a 2 t + (a 1 a 0 )D U (t) + e t

D T B (t) = {
D U (t) = {

()

1,
0,
1,
0,

if t = + 1
otherwise
if t >
if t

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 vs.

vs.

(Perron (1989) ())

3

y t = a 0 + a 1 y t1 + a 2 t + 2 D U (t) + 3 D T B (t) + i y ti + e t
i=1

a 1 = 1 t Perron (1989) 1376

IV.B

()

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 vs.

vs.

Chow , Perron(1989)

Zivot and Andrews(1992) Perron(1989)

, max-Chow :
,
, Perron-ADF

, Zivot-Andrews , Perron

()

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 vs.

vs.

(Zivot-Andrews )
ADF() Perron-ADF
Zivot-Andrews = inf ADF()

Zivot and Andrews (1992) Perron (1989) ,

, Nelson and Plosser (1982)
,

()

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