Analysis on structural changes in the macroeconomic data series with the empirical evidence from China

Zinai Li () and Jian Zhou
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Zinai Li: School of Economics and Management, Tsinghua University, Beijing, 100084, China
Jian Zhou: School of Economics, Shanghai University of Finance and Economics, Shanghai, 200433, China

Frontiers of Economics in China-Selected Publications from Chinese Universities, 2006, vol. 1, issue 2, 155-170

Abstract: Analysis on structural changes in macroeconomic data series has been the key issue for studying data quality. This paper studies the structural changes in China s 36 macroeconomic time series using joint estimation model, and we find out the characteristics and movement pattern for the outliers. Our results show that most outliers show up more or less in groups, indicating that there is a significant correlation between them. The isolated outliers are not the main characteristic of China s macroeconomic time series. Nearly all the original series contain the obvious skewness and kurtosis; hence, the hypothesis of normality is significantly rejected. Most original and outlier correction series show the non-autoregressive conditional heteroskedasticity (ARCH) characteristic, but the p value for ARCH2, ARCH4, and ARCH8 is very different.

Keywords: statistical data; structural change; outlier; macroeconomics (search for similar items in EconPapers)
JEL-codes: B22 B23 C22 (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:fec:journl:v:1:y:2006:i:2:p:155-170

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