GDP时间序列的ARIMA模型研究

在经典计量经济学建模过程中,通常假定经济时间序列是平稳的,而且主要以某种经济理论或对某种经济行为的认识来确定计量经济学的模型理论的关系式.然而在经济领域中,许多时间序列数据不是由平稳过程产生的,基于此,研究了国内生产总值GDP随时间位移而持续增长的特性,确定了模型的自回归阶数,建立了ARIMA模型,并对ARIMA模型进行了检验,确定了模型的平稳性与模型自回归影响的持久性.

Research on ARIMA Model of GDP Time Series

In the process of classic econometric modeling, the correlated formula of econometrics model theory is determined by supposing that economic time series is stable and mainly by certain economic theory or by the understanding of certain economic behavior, however, Gross Domestic Product （GDP） studied in this paper is continuously growing with the time displacement, the auto-regression order number of the model is determined, based on this, ARIMA Model is set up, the ARIMA Model is tested then, and finally the stability of the model and the duration of the influence of the model auto-regression are determined.