Chap单方程估计中的高级问题实用PPT课件

1、 几何滞后模型（无限分布滞后模型的特况）：The long-run response: The mean lag: 0sttssYw X/(1)smww00sssssM L第1页/共17页 分布滞后模型的参数估计 设有限分布滞后模型为： Almon polynomial distributed lag method01122ttttst stY a bX bXbXbX 第2页/共17页Assumption:将此代入模型方程并整理后可得2012Kk=0 =(, 0)KiKkkbddi did idi K si s 第3页/共17页0011011121222tttKKtttttt stttt sK

2、KKtttt sYad Zd Zd ZZXXXZXXsXZXXs X其中 第4页/共17页ExampleIf , then 3, 2sK0011220123112321232349ttttttttttttttttttYad Zd Zd ZZXXXXZXXXZXXX其中001012201230122439bdbdddbdddbddd第5页/共17页 A case study：Y-库存量，X-销售额（lag=3)PDL expression: pdl(series_name,lags,order,options) The constraint options are: 1constrain the

3、 near end of the distribution to zero. 2constrain the far end of the distribution to zero. 3constrain both the near and far end of the distribution to zero.By default, EViews does not constrain the endpoints of the PDL. 第6页/共17页 设无限分布滞后模型为 Koyck method: Koyck assumption It is easy to obtain00112200

4、=tttttit itiYab XbXb XabX0 (01)iibb 0011(1 )tttttY abXY 第7页/共17页Adaptive expectation models其中 的预期值。Expectation assumption:易得这是自回归模型。 *01tttYbb X*ttXX表示*1(1)tttXrXr X 011(1)ttttYb rbrXr Y1(1)tttr第8页/共17页Partial(stock) adjustment models整理得这也是自回归模型。（ 期盼的值）*01tttYbb X*1(1)tttYYY0111(1)tttYbbXY*YY表示 所第9页

5、/共17页 How to Estimate Them? Instrument variable method Instrument variable: (Y对X的滞后项的回归，s值适当选取) The equations to be estimated become 1011tttst sZYaa Xa X012ttttYXZcov(,)0ttZ第10页/共17页 How to test for serial correlation of order 1 In this case, the DW test does not hold good.可用Durbins h 统计量 滞后项数的选择：R-

6、sq, AIC and SC21var()nhn222log()loglog()iiekA ICnneknSCnn第11页/共17页Examples9.1 and 9.2(PP147149)第12页/共17页因果关系检验(Tests for Causality):A problem: if changes in one variable are a cause of changes in another.A method for this problem is the test for causality introduced by Granger and Sims.第13页/共17页认定X是

7、Y变化的原因必须满足二条件：1. X有助于预测Y; 2. Y不应当有助于预测X.如何检验 原假设: X不是引起Y变化的原因对以下两回归模型进行估计:01101 (UR) (R)mmtit iit iiiimtit iiiYYXYY第14页/共17页Now we are about to testTest statistic is (k=2m+1, q=m)Example9.3(P151)001210:0 VS :0(1)miHHim22RURURR,2URUR(ESSESS )/()/ESS/()(1)/()q n kqRRqFn kRn k第15页/共17页Homework:我们已经对单方程模型的建模方法有了较完整的认识. 找一个你感兴趣的实际问题, 利用所学经济计量学方法, 对问题尽可能做详细的建模与分析. 要求: 1. 保存原始数据并标明来源; 2