计量经济学的地位_作用和局限

©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:3,,:361005;:[e-mail],2006,,,,,;,,,,,,,,,,,,;,,;,,,,,,,,,(durationanalysis),,93120075©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:,,:,(empiricalstylizedfacts),(Engelscurve),;(Phillipscurve),();,,,,(volatilityclustering),,(unitroot)(cointegration),NelsonandPlossor(1982),,,,,,,,,,,,,,(),,,,,,,(Cournot,1838)(marginalrevolution),,,,(Walras,1874),;(VonNeumannandMorgenstern,1944)041:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:,,(Keynes,1936),(),()::Y=C+I+G:C=+Y,Y,C,I,G,,,,(,GDP):5Y5G=11-,,,,,,,,,,,,,n,iDi(P),Si(P),nP=(p1,p2,,pn)P3,Di(P3)=Si(P3),i=1,,n,,,(Arrow)(Debreu)(fixedpointtheorem),,,,,,,,,,,?,,,,,,,,,,?,,,,,,,,,,14120075©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:11(stochasticprocess)21()(datageneratingprocess)(realizations),,(chaoticprocess),,Grangeretal(1993)Lucas(1977),,(Samuelson,1939)-,,,,,,,Frisch(1933)(structuralpropagationmechanism),(lawofeconomicmotions),,,,,,,,(pointforecast),,,,,,,,,,,,,,,,,,,,,,241:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(Hansen,1982)(generalizedmethodofmomentsestimation,GMM),,,(maximumlikelihoodestimation,MLE)(rationalexpectationsmodels),(EngleandGranger,1987;Phillips,1987)NelsonandPlosser(1982),,,,,,(ARMA),,,,PSID(PanelStudiesofIncomeDynamics)NLS(NationalLongitudinalSurveys)Penn2WorldTables,,;,,,(censoring)(endogeneity),,,,,,,,,,Fisher(1933):,,,,,,,,;,,34120075©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:()();();(),,,411:,,(Keynesmodel)Yt=Ct+It+GtCt=+Yt+t,,t,,,:5Yt5Gt=11-,8%,,,,,,,,,,,,,,,(PaganandUllah,1999)412:,U=nt=0tu(Ct)=nt=0tCt-1,0,0,u(),Ctt,IttRt=PtPPt-1t-1t(Ptt)Ct=PtqtWt+Ptqt-1,{Ct}max{Ct}E(U),qtt,Wtt(marginalrateofintertemporalsubstitution)MRSt+1()=(5P5Ct+1)U(Ct+1)(5P5Ct)U(Ct)=Ct+1Ct-1,=(,)441:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[MRSt+1()Rt+1|It]=1,1(HansenandSingelton,1982),??,MLE,,,GMM,,(MehraandPrescott,1985)(riskpremiumpuzzle),,CampbellandCochrance(1999),413:,,iLiKi,Yi,(Li,Ki)(Yi):Yi=exp(i)F(Li,Ki),i(Yi,i)(constantreturntoscale,CRS),0,F(Li,Ki)=F(Li,Ki)CRSCRS,(increasingreturntoscale),,,,CRSCRS-,F(Li,Ki)=ALiKi,CRS(,)H0:+=1+1,,t2,(conditionalheteroskedasticity)(),t2(conditionalhomoskedasticity)(White,1980),,CRSH0:+=1-,CRS,CRSH0:+=1,414:,,54120075©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.():lnYit=lnAit+lnLit+lnKit+lnBONUSit+CONTRACTit+iti=1,,n,t=1,,T,ii,tt,BONUSit,CONTRACTit()(Hsiao,2003)2080,,,,(Groves,Hong,McMillanandNaughton,1994),H0:==0,,tF,YitBONUSit,,,,itBONUSit,OLS,tF,,,(instrumentalvariablesestimation,IV),,H0:==0,,,(),,H0:==0,415:,,,Ytt,It-1={Yt-1,yt-2,}t-1(weakformofefficientmarkethypothesis,EMH),,:E(Yt|It-1)=E(Yt)E(Yt|It-1)It-1Yt,t-1It-1;E(Yt)Yt,,-(buy2and2holdtradingstrategy)EMH,EMH,,,EMH,p(AR(p)):Yt=0+pj=1jYt-j+t,t=1,,T,p,tE(|It-1)=0EMH641:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.=2==p=0j,1jp,EMH,EMHj,var(t|It-1)=2,F,,var(t|It-1),,F,,BoxandPiercepQ(BoxandPierce,1970),Q2,(,2003),j,1jp,,EMH,,AR(p),j,EMH,EMH,AR(p)EMH416:(volatilityclustering)ARCH,,,,2070,,,,,,(volatilityspillover)(financialcontagion)(optionspricing)(valueatrisk),t-1It-1,It2t=var(Yt|It-1)Engle(1982)(autoregressiveconditionalheteroskedasticitymodel,ARCH)ARCH(q)Yt=t+t,t=tzt,{zt}i.i.d.(0,1)t=E(Yt|It-1),2t=+qj=1j2t-j,0,j0,1jq,,,Bollerslev(1986)GARCH(generalizedARCHmodel),,,t2t,{zt}E(zt|It-1)=0E(z2t|It-1)=1{zt},Yt,MLE,{zt}i.i.d.N(0,1),It-1Yt,MLEzti.i.d.N(0,1),,{Yt},t2t,,zt,zt(quasi2MLE,QMLE,White,1994)QMLE74120075©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(likelihoodratiotest)Yt2,QMLE,MLE,QMLE,(White,1994)417:,,(durationanalysis)(),,,Ti(),f(t),F(t),,(survivalfunction):S(t)=P(Tit)=1-F(t)(hazardrate):(t)=lim0+P(tTit+|Tit)=f(t)S(t)(t)t,,(t)f(t),,,(t),(t),Xi,:i(t)=exp(Xi)(t)(proportionalhazardmodel),Cox(1972)=(5P5Xit)Pni(t)Xi,iXi,Tii,,,,Kiefer(1988)Lancaster(1990)Xi,Tifi(t)=i(t)Si(t),Si(t)=exp[-t0i(s)ds]Ti,MLE,,,,,,,,,,,,,841:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),(Granger(2001)),,,,,,,,,,,,,,,,,,Yi=Xi+i,i=1,,nYi,Xi(),Xi,(i),YiXii,iXii,,iYii,iXi,OLS,,,Yii,,LoandMackinlay(1988)(varianceratiotest),(serialcorrelation),,(informed),;(uninformed),LoandMackinlay(1988),informeduninformed,,,,(Samuelson,2005),,,,13,,94120075©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.{Yt}:Y1997Y1998Y1999Y2000Y2001Y2002Y2003Y2004Y2005Y2006913%718%716%814%813%911%1010%1011%919%1017%GDP,Yt,,,,,(stationarity)(homogeneity),(),GDP{Yt},GDP{Yt},,(),,,,,:,(difference2stationaryprocess