1扩展的单方程计量经济学模型

112/15/2005--AdvancedEconometricsforGraduates12/15/2005--:•••••Email:[e-mail]212/15/2005--•32••••12/15/2005--1.20002.20053.20024.GujaratiD.,BasicEconometrics3McGraw-Hill20005.RSPindyckandDLRubinfeld,Econometricmodelsandeconomicforecasts,McGraw-HillCompaniesInc..1999.116.Dynamiceconometrics,HendryD.F.1998.4.7.199988..C.2002.9.1997BoxG.E.PandJenkinsG.M.,TimeSeriesAnalysis,ForecastingandControl,Holden-dayInc.1994.312/15/2005--•1.(Chow,,)•2AR(p),MA(q),ARMA(p,q),ARIMA(p,d,q)•3DF(DFADF•4Granger)•*5.VARVECM•6ARCHGARCH12/15/2005--•TSP(TimeSeriesProcessor)V.4.3(PaloAlto,California,USA)•EViews(EconometricViews)3.0,4.0,5.0QMS•PcGive(PersonalComputer,GeneralInstrumentalVariableEstimation)V.8.0,9.0,10.0,(J.A.DoomikandD.F.Hendry)•PcFiml(PersonalComputer,FullInformationMaximumLikelihoodEstimation)V.9.0,10.0•RATS(ARCH,GARCH)•Microfit(H.PesaranandB.Pesaran,OxfordUniversity)•MathematicaV.3.0,3.1,4.0•S-PLUSV.5.0•OxV.1.11,•GAUSSV.3.2.19(Kent,Washengton,USA)•SPSS,SAS412/15/2005--•••••••••••Econometrica*,1933•JournalofEconometrics*,1973•JournalofAppliedEconometrics*JohnWiley&Sons1986•EconometricTheory,1985•OxfordBulletinofEconometricsandStatistics*,1936•JournaloftheAmericanStatisticalAssociation*,1888•TheAmericanEconomicReview,•••••512/15/2005--••••12/15/2005--612/15/2005--•——0——1•restrictedregression;•unrestrictedregression12/15/2005--:µββββ+++++=kkXXXYL22110:121=+ββkkββ=−1:*11121110)1(µβββββ++++−++=−−−kkkkXXXXYL:**1133*110*µββββ+++++=−−kkXXXYL(1)(2)712/15/2005--2:1310ˆ,,ˆ,ˆ,ˆ−kββββL12ˆ1ˆββ−=1ˆˆ−=kkββFx2t12/15/2005--F:eXY+=ˆ:**ˆeXY+=:)X(eXeXXYe****ˆˆˆˆˆ−−=−+=−=812/15/2005--RSSR)X(X)(eeee****ˆˆˆˆ−′′−+′=′eeee**′≥′e’eRSSU(*)TSS12/15/2005--RSSRRSSU*RSSRRSSUESSRESSU912/15/2005--RSSR-RSSU)1(~/22−−UUknRSSχσ)1(~/22−−RRknRSSχσ)(~/)(22RUURkkRSSRSS−−χσ)1,(~)1/()/()(−−−−−−−=URUUURUURknkkFknRSSkkRSSRSSF12/15/2005--RSSRRSSUFFkU-kR1012/15/2005--.1.1),,(01PPXfQ=QXP1P0(*)12/15/2005--)/,/(010PPPXfQ=(**)1112/15/2005--32101βββPPAXQ=µββββ++++=031210lnlnln)ln(PPXQ(***)12/15/2005--µβββ+++=)/ln()/ln()ln(012010PPPXQ(****)***:0321=++βββ(****)1212/15/2005--3.5.1X()X1()GP(=100)FP(=100)XC(1990)Q(1990)P0(1990=100)P1(1990=100)1981456.8420.4102.5102.7646.1318.370.7132.11982471.0432.1102.0102.1659.1325.071.5132.91983505.9464.0102.0103.7672.2337.075.3137.71984559.4514.3102.7104.0690.4350.581.0146.71985673.2351.4111.9116.5772.6408.487.186.11986799.0418.9107.0107.2826.6437.896.795.71987884.4472.9108.8112.0899.4490.398.396.519881104.0567.0120.7125.21085.5613.8101.792.419891211.0660.0116.3114.41262.5702.295.994.019901278.9693.8101.398.81278.9693.8100.0100.019911453.8782.5105.1105.41344.1731.3108.2107.019921671.7884.8108.6110.71459.7809.5114.5109.319932110.81058.2116.1116.51694.7943.1124.6112.219942851.31422.5125.0134.22118.41265.6134.6112.419953537.61766.0116.8123.62474.31564.3143.0112.919963919.51904.7108.8107.92692.01687.9145.6112.819974185.61942.6103.1100.12775.51689.6150.8115.019984331.61926.999.496.92758.91637.2157.0117.719994615.91932.198.795.72723.01566.8169.5123.320004998.01958.3100.897.62744.81529.2182.1128.120015309.02014.0100.7100.72764.01539.9192.1130.8XX1GPFPXC90Q90P01990=100P1990=10012/15/2005--2004006008001000120014001600180082848688909294969800Q1981~199519951312/15/2005--1981~1994)ln(92.0)ln(08.0)ln(05.163.3)ˆln(01PPXQ−−+=(9.03)(25.35)(-2.28)(-7.34)12/15/2005--)/ln(09.0)/ln(07.183.3)ˆln(010PPPXQ−+=75.86(52.66)(-3.62)01010ln98.0ln09.0ln07.183.3)ln(ln09.0)ln(ln07.183.3ˆlnPPXPPPXQ−−+=−−−+=1412/15/2005--)ln(92.0)ln(08.0)ln(05.163.3)ˆln(01PPXQ−−+=12/15/2005--231.010/003240.01/)003240.0003315.0(=−=FRSSU=0.00324kU=3RSSR=0.00332KR=2n=14kU-kR=3-2=11512/15/2005--α=5%F0.05(1,10)=4.9612/15/2005--µβββ++++=kkXXYL110µβββββ++++++=++++qkqkkkkkXXXXYLL11110(*)(**)(*)**H0021====+++qkkkβββL1612/15/2005--))1(,(~))1(/(/)())1(/(/)(++−++−−=++−−=qknqFqknRSSqESSESSqknRSSqRSSRSSFURUUUR))1(/()1(/)(222++−−−=qknRqRRFURU12/15/2005--Xk+1,…,Xk+qF1712/15/2005--µβββ++++=kkXXYL1101,2,…n1n1+1,…n1+n21110µβββ++++=kkXXYL2110µααα++++=kkXXYL12/15/2005--(1,2,…n1n1+1,…n1+n2)⎟⎟⎠⎞⎜⎜⎝⎛+⎟⎟⎠⎞⎜⎜⎝⎛⎟⎟⎠⎞⎜⎜⎝⎛=⎟⎟⎠⎞⎜⎜⎝⎛212121X00XYYα=βH0:α=β(*)(*)⎟⎟⎠⎞⎜⎜⎝⎛+⎟⎟⎠⎞⎜⎜⎝⎛=⎟⎟⎠⎞⎜⎜⎝⎛212121XXYY**1812/15/2005--F)]1(2,[~)]1(2/[/)(2121+−++−+−=knnkFknnRSSkRSSRSSFUURRSS1RSS221RSSRSSRSSU+=)]1(2,[~)]1(2/[)(/)]([21212121+−++−+++−=knnkFknnRSSRSSkRSSRSSRSSFR12/15/2005--1RSS1RSS22RSSR1912/15/2005--3FFChowtestforparameterstability12/15/2005--n2kn2kChowtestforpredictivefailuren1n22012/15/2005--βα22222222111X(XXXYXY++=+−+=+=+=)(X2−=(*)12/15/2005--γ0α=β(*)⎟⎟⎠⎞⎜⎜⎝⎛+⎟⎟⎠⎞⎜⎜⎝⎛⎟⎟⎠⎞⎜⎜⎝⎛=⎟⎟⎠⎞⎜⎜⎝⎛21n2121IX0XYY2n1kβγn2X2(α-β)(**)2112/15/2005--γ0⎟⎟⎠⎞⎜⎜⎝⎛+⎟⎟⎠⎞⎜⎜⎝⎛=⎟⎟⎠⎞⎜⎜⎝⎛212121XXYY(***)*****⎟⎟⎠⎞⎜⎜⎝⎛+⎟⎟⎠⎞⎜⎜⎝⎛⎟⎟⎠⎞⎜⎜⎝⎛=⎟⎟⎠⎞⎜⎜⎝⎛21n2121IX0XYY212/15/2005--)1/(/)()1/()/()(1121−−−=−−−−=knRSSnRSSRS