| 中国投资与消费不均衡发展的实证研究:基于因子-Copula模型 |
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| 引用本文： | 王璐,王沁. 中国投资与消费不均衡发展的实证研究:基于因子-Copula模型[J]. 数理统计与管理, 2012, 0(6): 951-957 |
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| 作者姓名： | 王璐 王沁 |
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| 作者单位： | 西南交通大学数学学院统计系 |
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| 基金项目： | 国家自然科学基金(71201131);教育部人文社会科学青年研究基金(10YJCZH157);中央高校基本科研业务费专项资金(SWJTU12CX057、SWJTU12ZT14);四川省统计科学研究计划项目(2012sc139);西南交通大学希望之星项目 |
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| 摘 要： | 在现有对投资与消费关系研究缺乏定量研究的基础上,引入Copula函数来探讨投资与消费的变动关系。首先利用因子分析进行投资与消费高维指标的降维处理,这样有效避免了Copula函数在多维变量下的建模复杂性;接着利用半参数建模方法选择了Cumbel函数来描述当前二者的关系;结果显示当前我国投资与消费存在显著不均衡关系,同时二者具有非对称性、非线性等数量特征;最后对上述研究结论进行了经济解释分析。
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| 关 键 词： | 投资 消费 因子分析 Copula |
The Empirical Research on Imbalance Development Between Investment and Consumption in China Based on Factor-Copula Model |
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| WANG Lu,WANG Qin. The Empirical Research on Imbalance Development Between Investment and Consumption in China Based on Factor-Copula Model[J]. Application of Statistics and Management, 2012, 0(6): 951-957 |
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| Authors: | WANG Lu WANG Qin |
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| Affiliation: | (Department of Statistics,School of Mathematics,Southwest Jiaotong University,Sichuan Chengdu 610031,China) |
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| Abstract: | After the lack of quantitative research on investment and consumption pointed out,the copula model is used to study the relationship between investment and consumption.Firstly,high dimensions of investment and consumption are reducted by factor analysis,which avoids the complexity on copula model at the case of the multi-dimensional variable.Then,the Gumbel copula is used to describe the relationship by semi-parametric approach.The result shows that the development of investment and consumption in China is unbalance and the relationship is non-symmetry and nonlinear.Finally,the result is explaned by economic. |
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| Keywords: | investment consumption factor analysis copula |
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