中国广义环境库兹涅茨曲线协整分析
The Cointegration Analysis of the Generalized Environmental Kuznets Curve of China
摘要: 根据1998~2013年中国31个省域人均GDP (Yi,t)和SO2 (EPi,t)排放面板数据，对原始EKC回归方程进行改进，建立变指数γ-EKC回归方程。基于协整分析理论对面板数据进行平稳性检验，Fisher-ADF和PP-Fisher检验结论表明Yi,t、Yi,tγ和EPi,t水平序列非平稳，一阶差分序列平稳，即均为一阶单整序列I (1)；分别拟合混合估计模型、个体固定效应模型和个体随机效应模型，当γ=3时，个体固定效应模型残差平方和最小，残差序列非平稳，回归方程非协整。本文的研究结论揭示了现有研究中基于原始二次或三次EKC回归方程之所以非协整，并非因为回归方程本身，而在于污染和收入代理变量之间的“虚假回归”关系。
Abstract: Based on the panel data of per capita GDP (Yi,t) and SO2 (EPi,) emissions across 31 provinces of China during the year 1998 and 2013, this paper improves the conventional regression model of EKC and the variational exponential model is established. Testing the stationarity of panel data according to the theory of cointegration analysis, results of Fisher-ADF test and PP-Fisher test show that the level sequences of Yi,t,Yi,tγ and EPi,t are non-stationary, and the first-order differences of them are stationary, which means they are integrated variables with the order of one (I (1)). Using pooled OLS, entity fixed-effect and entity random-effect techniques to fit the model respectively, we find that when γ=3, the sum of squared residuals (SSR) of the entity fixed-effect model is the smallest, but the residual series are non-stationary, and the regression equation does not reflect a cointegrating relationship. Conclusion dressed from this study implies that the failure of cointegration of the conventional EKC regression in EKC literature is not because of the quadratic or cubic functional form itself, but because of the spurious relationship between the indicators of pollutants and income agent.
文章引用：杨洲木, 蔡京京, 曹蔚. 中国广义环境库兹涅茨曲线协整分析[J]. 统计学与应用, 2021, 10(5): 805-815. https://doi.org/10.12677/SA.2021.105083

参考文献

[1] Grossman, G.M. and Krueger, A.B. (1991) Environmental Impacts of a North American Free Trade Agreement. Working Paper No. 3914, National Bureau of Economic Research, Cambridge.
[Google Scholar] [CrossRef] 
[2] Panayotou, T. (1997) Demystifying the Environmental Kuznets Curve: Turning a Black Box into a Policy Tool. Environment and Development Economics, 2, 465-484.
[Google Scholar] [CrossRef] 
[3] Torras, M. and Boyce, J.K. (1998) Income, Inequality, and Pollution: A Reassessment of the Environmental Kuznets Curve. Ecological Economics, 25, 147-160.
[Google Scholar] [CrossRef] 
[4] Shafik, N. and Bandyopadhyay, S. (1998) Economic Growth and Environmental Quality: Time Series and Cross-Country Evidence. Background Papers No. 904, World Bank, Washington DC.
[5] Tenaw, D. and Beyene, A.D. (2021) Environmental Sustainability and Economic Development in Sub-Saharan Africa: A Modified EKC Hypothesis. Renewable and Sustainable Energy Reviews, 143, Article ID: 110897.
[Google Scholar] [CrossRef] 
[6] Galeotti, M., Lanza, A. and Pauli, F. (2006) Reassessing the Environmental Kuznets Curve for CO2 Emissions: A Robustness Exercise. Ecological Economics, 57, 152-163.
[Google Scholar] [CrossRef] 
[7] Granger, C.W.J. (1981) Some Properties of Time Series Data and Their Use in Econometric Model Specification. Journal of Econometrics, 16, 121-130.
[Google Scholar] [CrossRef] 
[8] Granger, C.W.J. (1983) Cointegrated Variable and Error Correction Models. Discussion Paper No. 83-13a, University of California, San Diego.
[9] Granger, C.W.J. and Weiss, A.A. (1983) Time Series Analysis of Error-Correcting Models. In: Karlin, S., Amemiya, T. and Goodman, L.A., Eds., Studies in Econometrics, Time Series and Multivariate Statistics, Academic Press, New York, 255-278.
[Google Scholar] [CrossRef] 
[10] Engle, R.F. and Granger, C.W.J. (1987) Co-Integration and Error Correction: Representation, Estimation and Testing. Econometrica, 55, 251-276.
[Google Scholar] [CrossRef] 
[11] Stock, J.H. (1987) Asymptotic Properties of Least Squares Estimates of Cointegration Vectors. Journal of the American Statistical Association, 83, 1097-1107.
[Google Scholar] [CrossRef] 
[12] Phillips, P.C.B. and Quliaris, S. (1988) Testing for Cointegration Using Principal Components Methods. Journal of Economic Dynamics and Control, 12, 205-230.
[Google Scholar] [CrossRef] 
[13] Phillips, P.C.B. (1988) Spectral Regression for Cointegrated Time Series. No.872, Cowls Foundation, ‎New Haven.
[14] Phillips, P.C.B. (1991) Optimal Inference in Cointegrated Systems. Econometrica, 59, 283-306.
[Google Scholar] [CrossRef] 
[15] Johansen, S. (1988) Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12, 231-254.
[Google Scholar] [CrossRef] 
[16] Johansen, S. and Juselius, K. (1990) Maximum Likelihood Estimation and Inference on Cointegration—With Application to the Demand for Money. Oxford Bulletin of Economics and Statistics, 52, 169-210.
[Google Scholar] [CrossRef] 
[17] Johansen, S. and Juselius, K. (1990) Some Structural Hypotheses in a Multivariate Cointegration Analysis of the Purchasing Power Parity and the Uncovered Interest Parity for UK. University of Copenhagen, Copenhagen, No. 90-05.
[18] Phillips, P.C.B. and Park, Y.J. (1988) Asymptotic Equivalence of OLS and GLS in Regression with Integrated Regressors. Journal of the American Statistical Association, 83, 111-115.
[Google Scholar] [CrossRef] 
[19] Phillips, P.C.B. and Hansen, B.E. (1990) Statistical Inference with I(1) Processes. Review of Economic Studies, 57, 99-125.
[Google Scholar] [CrossRef] 
[20] Park, Y.J. and Phillips, P.C.B. (1988) Statistical Inference in Regressions with Integrated Processes: Part 1. Econometric Theory, 4, 468-497.
[Google Scholar] [CrossRef] 
[21] Park, Y.J. and Phillips, P.C.B. (1989) Statistical Inference in Regressions with Integrated Processes: Part 2. Econometric Theory, 5, 95-131.
[Google Scholar] [CrossRef] 
[22] Park, Y.J. (1988) Canonical Cointegrating Regressions. CAE Working Paper No. 88-29, Cornell University, Ithaca.
[23] Sims, C.A., Stock, J.H. and Watson, M.W. (1990) Inference in Linear Time Series Models with Some Unit Roots. Econometrica, 58, 113-144.
[Google Scholar] [CrossRef] 
[24] Johansen, S. (1991) Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models. Econometrica, 59, 1551-1580.
[Google Scholar] [CrossRef] 
[25] Perman, R. and Stern, D.I. (2003) Evidence from Panel Unit Root and Cointegration Tests that the Environmental Kuznets Curve Does Not Exist. Australian Journal of Agricultural and Resource Economics, 47, 325-347.
[Google Scholar] [CrossRef] 
[26] Esteve, V. and Tamarit, C. (2012) Threshold Cointegration and Nonlinear Adjustment between CO2 and Income: The Environmental Kuznets Curve in Spain, 1857-2007. Energy Economics, 34, 2148-2156.
[Google Scholar] [CrossRef] 
[27] Jiang, Q., Khattak, S.I. and Rahman, Z.U. (2021) Measuring the Simultaneous Effects of Electricity Consumption and Production on Carbon Dioxide Emissions (CO2e) in China: New Evidence from an EKC-Based Assessment. Energy, 229, Article ID: 120616.
[Google Scholar] [CrossRef] 
[28] Ben Cheikh, N., Ben Zaied, Y. and Chevallier, J. (2021) On the Nonlinear Relationship between Energy Use and CO2 Emissions within an EKC Framework: Evidence from Panel Smooth Transition Regression in the MENA Region. Research in International Business and Finance, 55, Article ID: 101331.
[Google Scholar] [CrossRef] 
[29] Tiwari, A.K., Shahbaz, M. and Hye, O.M.A. (2013) The Environmental Kuznets Curve and the Role of Coal Consumption in India: Cointegration and Causality Analysis in an Open Economy. Renewable and Sustainable Energy Reviews, 18, 519-527.
[Google Scholar] [CrossRef] 
[30] Kanjilal, K. and Ghosh, S. (2013) Environmental Kuznet’s Curve for India: Evidence from Tests for Cointegration with Unknown Structural Breaks. Energy Policy, 56, 509-515.
[Google Scholar] [CrossRef] 
[31] Shahbaz, M., Lean, H.H. and Shabbir, M.S. (2012) Environmental Kuznets Curve Hypothesis in Pakistan: Cointegration and Granger Causality. Renewable and Sustainable Energy Reviews, 16, 2947-2953.
[Google Scholar] [CrossRef] 
[32] Wang, Y.-C. (2013) Functional Sensitivity of Testing the Environmental Kuznets Curve Hypothesis. Resource and Energy Economics, 35, 451-466.
[Google Scholar] [CrossRef] 
[33] Pedroni, P. (1999) Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors. Oxford Bulletin of Economics and Statistics, 61, 653-670.
[34] 威廉·H·格林. 计量经济分析[M]. 北京: 中国人民大学出版社, 2011.
[35] 张晓峒. EViews使用指南与案例[M]. 北京: 机械工业出版社, 2007.
[36] Dinda, S. (2004) Environmental Kuznets Curve Hypothesis: A Survey. Ecological Economics, 49, 431-455.
[Google Scholar] [CrossRef] 

为你推荐