中国分省GDP数据诊断分析

[]2008-12-15[]刘小二(1982-),男,河南济源人,厦门大学经济学院计划统计系博士研究生,研究方向是国民经济核算统计理论与方法中国分省GDP数据诊断分析刘小二1,谢月华2(1.厦门大学经济学院,福建厦门361005;2.中国人民银行赣州市中心支行,江西赣州341000)[]GDP是衡量国民经济发展状况的一个最重要的指标,GDP统计的真实性历来是社会各界关注的焦点文章假设GDP虚增是各省有关部门根据适应性预期对数据进行调整的结果,并利用主成分分析面板数据的有关方法来对我国各省GDP是否存在虚增,各地区的GDP虚增部分是否有关联效应进行了检验[]GDP数据;适应性预期;面板数据;CSD检验[]F222.1[]A[]1007-9556(2009)02-0028-06DiagnosisandAnalysisofGDPofEachProvinceinChinaLIUXiao-er1,XIEYue-hua2(1.SchoolofEconomics,XiamenUniversity,Xiamen361005;2.GanzhouCentralBank,RenminBankofChina,Ganzhou341000,China)Abstract:GDPisthemostimportantindicatortomeasurethedevelopmentofnationaleconomyanditsaccuracyisthefocusofattentionofallsectorsofsociety.ThispaperassumesthatGDPexaggerationofeachprovinceistheresultoftherelateddepartment!sadjustmentbasedonadaptiveexpectations,thispaperusesPrincipalComponentAnalysis,paneldatatoanalyzewhetherthereisexaggerationineachprovinceandwhetherGDPexaggerationofeachprovinceiscorrelated.KeyWords:GDPdata;adaptiveexpectations;paneldata;CSDtest,,,,,,,17%,,2008(∀#20069)(200537):2004GDP(),GDP,3.9,26582:,GDP,,,,,,(∀#2005314)2005,GDP10.2%,,12%(∀#2007119),,,,:,,;,,;,,:∃28∃20092312山/西/财/经/大/学/学/报JournalofShanXiFinanceandEconomicsUniversityFeb.,2009Vol.31No.2,;,(∀#2007123),,20031126∀GDP#((2003)70),GDP,GDP;200416∀GDP#((2004)4),GDP,,GDP?,GDPGDP,,,(1997),,,,(1998),1997,6,56.7%(2000)GDP,,,1992~1997GDP2.5%Rawski(2001)1998GDP-2%~2%,1998~20010.4%~11.4%,7.8%34.5%(2003),GDP,2001,Maddison(2001),1995~1998GDP2.1,GDP,(2002)Rawski,,Rawski,Klein&Ozmucur(2002),,15,GDP(2002),,(2005)1984~2001,GDP,GDP,(2007),1978~2003GDP,2004GDP,,,,,1992~2006,Klein&Ozmucur,GDP,(GDP),GDP,,,(Cagan)1956,:Y*t=Y*t-1+(Yt-1-Y*t-1),Y*ttY,YttY,tt-1,GDP?,,GDP,,GDP,,,∃29∃20092312山/西/财/经/大/学/学/报JournalofShanXiFinanceandEconomicsUniversityFeb.,2009Vol.31No.2,:GDP*t=GDPrt+GDPe+t,GDP*tt,;GDPrttGDP;GDPet-1GDP,GDPeGDP,,GDP,GDPe,GDP,,(一)模型方法概述,GDP,:GDP*t=GDPrt+GDPet+t(1)GDPGDP,,:GDPet=f(gt-1,gt-2,%,gt-n)(2),gt-it-iGDP,:gt-i=GDPt-i-GDPt-i-1GDPt-i-1(3),GDP,GDP,:GDPet=f(gt-1)GDP,,Klein&Ozmucur,10(1),CPI1992,CPI,CPI,,,,,,29,435GDP,,,,,:X*it=Xit-min(Xit)max(Xit)-min(Xit)(4)1ceeleficsexcaCPI%cpiincgrainworGDP%rat():∀#(二)计量分析1992~200629,GDP:,GDP,,,,11(P1~P11),12,:GDPGDP,AR(1),22tpC6.22059111.69660.00000P10.0889986.5942230.00000P20.0282683.9177260.00010P3-0.01551-3.257480.00120P4-0.01111-2.076030.03850P80.0310582.3138790.02120AR(1)1.167758320.4360.00000∃30∃20092312山/西/财/经/大/学/学/报JournalofShanXiFinanceandEconomicsUniversityFeb.,2009Vol.31No.2R20.998DW1.94,,(2)GDP(),33INCfiCPIEXGRAINCARGO0.0050.0270.0040.0170.0420.038ELEWORcecsrat0.0300.0400.0400.0390.010,,GDP,,,2090,;,,;,,,;&&&,,,,&&&GDP,0.01,,,,GDP,:GDPGDP,WaldF,,GDPGDP,,,R2=0.998,DW=1.80,,2915GDP(3)3,29,21,10%,,19.86%16.19%14.94%,,8.57%,,,,,,90,,,,,,,GDP(2004),,,,2%~10%12,GDP,,,GDP,GDP,,:-4.77%,-5.81%,-12.19%,GDP,,,(Non-observedEconomy,NOE),2000,,GDP:GDP1.方法概述,(Cross-SectionalDependence),,GDP:yit=i!∋xit+uit(i=1,%,Nt=1,%,T)(5),uit(i.i.d),,uit∃31∃20092312山/西/财/经/大/学/学/报JournalofShanXiFinanceandEconomicsUniversityFeb.,2009Vol.31No.2,:H0(∀ij=∀ji=Cov(uit,ujt)=0i)jH1(∀ij=∀ji)0i)j,∀ij,:∀ij=∀ji=∗Tt=1uit,ujt∗Tt=1u2it∗Tt=1u2jt(6),,CSD:Pesaran(2004)CD;Friedman(1937)Friedman;Frees(1995,2004)Frees2.检验结果GDPGDP,GDPe,,GDPGDPeit=#1GDPeit-1+#2GDPeit-2+%+vit(7),(7),5%,Friedman5%,,44CSDPPFrees3.0552.639Pesaran7.5860.00005.4750.0000Friedman42.9840.03430.9260.3204:Q1%0.42524,FreesPesaran1%,Friedman5%GDP,,GDP,,CSDGDPGDP,,GDP??:115.89283853.5712553.5712521.75954615.9958769.5671231.34386912.2169981.7841240.5755145.23194987.0160650.4554544.14048891.1565560.3234052.9400594.096670.2550232.31839296.4149980.1970271.79115898.2061590.0888950.8081499.01429100.0600670.54606299.56035110.0483610.4396451002p1p2p3p4p5p6inc0.3291080.0033220.1393980.2740850.618790.568801fi0.3857270.182820.11680.0925880.0197750.05837cpi0.086010.4697660.5094930.4466810.3647260.142759ex0.32550.230380.2796160.292870.0783850.37673Grain0.1902570.4710020.460560.167560.1017960.291501Cargo0.3484880.1822830.143760.164190.057670.424Ele0.3876230.038840.0250.005950.128910.15971Wor0.2526350.4971550.176090.2549720.1055870.19372Ce0.3064490.296750.0512290.221550.6286880.405472Cs0.3930510.046950.051320.056370.1240020.132641rat0.0971460.3143280.5995720.677250.159570.03108p7p8p9p10p11inc0.0557230.228940.1133620.007450.149212fi0.052030.0273330.1494460.025840.87483cpi0.3376130.1975710.0655650.03920.02362∃32∃20092312山/西/财/经/大/学/学/报JournalofShanXiFinanceandEconomicsUniversityFeb.,2009Vol.31No.2ex0.471430.1389730.3268930.188670.380696Grain0.248840.3945420.4220790.103070.00864Cargo0.6060960.295110.3030310.232580.11935Ele0.2309160.5096920.195870.6607190.132022Wor0.353170.485420.344650.2529840.03423Ce0.0572450.314480.1210890.2483430.167803Cs0.0582230.225070.640440.578460.075498rat0.209690.027670.041320.0242440.0121831992~2006GDP(15)GDPGDPGDP19.86%5.86%1.77%16.19%4.68%1.28%14.94%4.62%1.13%9.10%3.81%1.07%8.57%3.64%0.08%8.52%3.48%-1.11%6.42%2.45%-1.16%6.04%1.79%-1.53%-1.73%-2.50%-4.77%-5.81%-12.19%[][1]RafaelE.DeHoyos,VasilisSarafidis:TestingforCross-sectionalDependenceinPanelDataModel