總體經(jīng)濟(jì)時(shí)間序列分析

1、1總體經(jīng)濟(jì)時(shí)間序列分析總體經(jīng)濟(jì)時(shí)間序列分析總體經(jīng)濟(jì)時(shí)間序列分析總體經(jīng)濟(jì)時(shí)間序列分析授課老師：林向愷研究室：經(jīng)研所316室聯(lián)絡(luò)電話(huà)：23519641轉(zhuǎn)669或0952068664I.I.I.課程目標(biāo)課程目標(biāo)課程目標(biāo)課程目標(biāo)本課程為總體經(jīng)濟(jì)時(shí)間序列的計(jì)量分析(econometricanalysisofmacroeconomictimeseries)而非統(tǒng)計(jì)分析。本課程著重時(shí)間序列模型(尤其是向量自迴歸模型)的認(rèn)定與估計(jì)。時(shí)間序列模型需要額外

2、條件才能讓模型得以認(rèn)定。第一種方法是以結(jié)構(gòu)性向量自迴歸模型(structuralVARmodel)為架構(gòu)，並透過(guò)額外認(rèn)定條件賦予干擾項(xiàng)經(jīng)濟(jì)意義。這種方法主要係藉由經(jīng)濟(jì)理論對(duì)干擾項(xiàng)變異數(shù)，共變異數(shù)矩陣中待定係數(shù)找出認(rèn)定所需的額外條件。由於額外條件僅讓結(jié)構(gòu)性向量自迴歸模型足以認(rèn)定(justidentified)，故有無(wú)法利用統(tǒng)計(jì)檢定方法檢驗(yàn)認(rèn)定這些條件是否成立缺點(diǎn)。第二種方法則是利用完整設(shè)定的經(jīng)濟(jì)模型以及理性預(yù)期假設(shè)說(shuō)導(dǎo)出對(duì)模型待估的結(jié)構(gòu)性

3、參數(shù)(structuralparameters)的跨式限制條件(crossequationrestrictions)。介紹不同類(lèi)型認(rèn)定條件後，本課程亦將介紹如何估計(jì)結(jié)構(gòu)性時(shí)間序列模型以及檢定不同型式的限制條件。II.II.II.課程內(nèi)容課程內(nèi)容課程內(nèi)容課程內(nèi)容3KingRobertG.WatsonMarkW.(1994).“ThePostWarU.S.PhillipsCurve:ARevisionistEconometricHisty.

4、”CarnegieRochesterConferenceSeriesonPublicPolicy.41:157220.KingRobertG.WatsonMarkW.(1996).“MoneyPricesInterestRatestheBusinessCycle.”ReviewofEconomicsStatistics.78(1):3553.KingR.G.PlosserC.I.StockJ.WatsonM.(1991).“Stocha

5、sticTrendEconomicFluctuations.”AmericanEconomicReview.81:819846.LeamerEdwardE.(1985).“VectAutegressionsfCausalInference”inK.BrunnerA.Meltzereds.UnderstingMoaryRegimesCarnegieRochesterConferenceSeriesonPublicPolicy(NthHol

6、lAmsterdam).255303.LippiMarcoReichlinLucrezia(1993).“TheDynamicEffectsofAggregateDemSupplyDisturbances:Comment.”TheAmericanEconomicReview.83(3):642658.LittermanR.B.WeissL.(1985).“MoneyRealInterestRatesOutput:AReinterpret

7、ationofPostwarU.S.Data”Econometrica53(1):129156.McCallumB.T.(1983).“AReconsiderationofSim’sEvidenceConcerningMoarism.”EconomicLetters.13:167171.SimsC.A.(1972).“MoneyIncomeCausality.”TheAmericanEconomicReviewLXII(4):54055

8、2.RotembergJulioJ.(1996).“PricesOutputHours:AnEmpiricalAnalysisBasedonaStickyPriceModel.”JournalofMoaryEconomics.37:505533.2.變數(shù)外生性與政策分析變數(shù)外生性與政策分析ChamberlainGary(1982).“TheGeneralEquivalenceofGrangerSimsCausality.”Econome

9、trica.50:569582.ChangP.S.Sakata(2007).“EstimationofImpulseResponseFunctionsUsingLongAutegressions.”EconometricsJournal.10:453469.CooleyT.F.LeRoyS.F.(1985).“AtheeticalMacroeconometrics:ACritique.”JournalofMoaryEconomics.1

10、6:283308.EngleRobertE.DavidF.HendryJeanFrancoisRid(1983)“Exogeneity.”Econometrica.51:277304.KoopGaryPesarenM.HashemPotterSimonM.(1996).“ImpulseResponseAnalysisinNonlinearMultivariateModels.”JournalofEconometrics.74:11914