應用宏觀經濟計量學(PDF 312頁)內容簡介
4 Dssolhg Pdfurhfrqrphwulfv1 Dq lqwurgxfwlrq :
414 Lqwurgxfwlrq :
415 Iurp wk HRu| wr gdwd= wkh qhz0fodvvlfdo jurzwk prgho1 :
416 Wkh hvwlpdwlrq sureohp= Ruglqdu| Ohdvw Vtxduhv 43
41614 Surshuwlhv ri wkh ROV hvwlpdwhv 44
417 ROV hvwlpdwlrq ri wkh Vrorz jurzwk prgho 48
418 Uhvlgxdo dqdo|vlv 49
419 Hohphqwv ri glvwulexwlrq wk HRu| 4;
41914 Wkh qrupdo glvwulexwlrq 4;
41915 Glvwulexwlrqv ghulyhg iurp wkh qrupdo 53
41: Lqihuhqfh lq wkh olqhdu uhjuhvvlrq prgho 54
41:14 Whvwlqj wkh vljqlfdqfh ri vxevhw ri frh!flhqwv 57
41; Hvwlpdwlrq xqghu olqhdu frqvwudlqwv 5:
41;14 Wkh Uhvwulfwhg Ohdvw Vtxduhv +UOV, hvwlpdwru 5;
41< Wkh hhfwv ri plv0vshflfdwlrq 63
41<14 Xqghu0sdudphwhulvdwlrq 63
41<15 Ryhu0sdudphwhul}dwlrq 64
4143 Kxpdq fdslwdo lq wkh Vrorz*v jurzwk prgho 65
4144 Wkh lpsruwdqfh ri wlph0vhulhv lq pdfurhfrqrplfv 67
4145 Dowhuqdwlyh vwudwhjlhv ri uhvhdufk lq pdfurhfrqrphw0
ulfv 69
Uhihuhqfhv 6<
5 Wkh suredelolvwlf vwuxfwxuh ri wlph vhulhv gdwd 73
514 Lqwurgxfwlrq= zkdw lv d wlph0vhulhv B 73
515 Dqdo|}lqj wlph0vhulhv= wkh ixqgdphqwdov1 76
51514 Frqglwlrqdo dqg xqfrqglwlrqdo ghqvlwlhv 77
51515 Vwdwlrqdulw| 78
51516 DUPD surfhvvhv 79
51517 Ghwhuplqlvwlf dqg Vwrfkdvwlf Wuhqgv 7;
516 Shuvlvwhqfh1 D Prqwh0Fduor h{shulphqw 83
517 Wkh wudglwlrqdo vroxwlrq= dv|pswrwlf wk HRu| 86
51714 Edvlf hohphqwv ri dv|pswrwlf wk HRu| 86
51715 Dssolfdwlrq wr prghov iru vwdwlrqdu| wlph0vhulhv 87
518 Vwrfkdvwlf0wuhqgv dqg vsxulrxv uhjuhvvlrqv 88
51814 Qrq0vwdwlrqdulw| dqg wkh olnholkrrg ixqfwlrq1 8:
519 Xqlyduldwh ghfrpsrvlwlrqv ri wlph0vhulhv 93
51914 Ehyhulgjh0Qhovrq ghfrpsrvlwlrq ri dq LPD+4/4,
surfhvv 95
51915 Ehyhulgjh0Qhovrq ghfrpsrvlwlrq ri dq DULPD+4/4,
surfhvv 95
51916 Ghulylqj wkh Ehyhulgjh0Qhovrq ghfrpsrvlwlrq lq
sudfwlfh 96
51917 Dvvhvvlqj wkh Ehyhulgjh0Qhovrq ghfrpsrvlwlrq 97
5
51: Pxowlyduldwh ghfrpsrvlwlrqv dqg g|qdplf prghov 9:
51:14 Frlqwhjudwlrq dqg Huuru Fruuhfwlrq Prghov 9:
51:15 Frlqwhjudwlrq lq d pxowlyduldwh iudphzrun :5
51:16 Wkh Mrkdqvhq Surfhgxuh :7
51:17 Lghqwlfdwlrq ri pxowlsoh frlqwhjudwlqj yhfwruv ::
51:18 K|srwkhvlv whvwlqj zlwk pxowlsoh frlqwhjudwlqj
yhfwruv :<
51:19 Frlqwhjudwlrq dqg Frpprq Vwrfkdvwlf Wuhqgv ;3
51:1: YHFP dqg frpprq wuhqgv uhsuhvhqwdwlrqv ;5
51; Pxowlyduldwh frlqwhjudwlrq= dq dssolfdwlrq wr XV gdwd ;7
51;14 Vshflfdwlrq ri wkh YDU ;7
51;15 Vhohfwlrq ri wkh ghwhuplqlvwlf frpsrqhqwv lq wkh
YHFP vshflfdwlrq ;:
51;16 Whvw iru wkh udqn ri ;;
51;17 Vshflfdwlrq dqg whvwlqj ri wkh orqj0uxq uhvwulf0
wlrqv <3
51< Pxowlyduldwh ghfrpsrvlwlrqv= vrph frqvlghudwlrqv <5
Uhihuhqfhv <8
6 Wkh lghqwlfdwlrq sureohp lq pdfurhfrqrphwulfv <<
614 Lqwurgxfwlrq <<
61414 Lghqwldelolw| 433
615 Lghqwlfdwlrq lq wkh Frzohv Frpplvvlrq dssurdfk 436
61514 Dq looxvwudwlrq= lghqwli|lqj wkh LV0OP0DG0DV
prgho 436
616 Wkh juhdw fulwltxhv 439
617 Lghqwlfdwlrq lq wkh OVH phwkrgrorj| 43<
618 Lghqwlfdwlrq lq wkh YDU phwkrgrorj| 444
619 Lghqwlfdwlrq lq lqwhuwhpsrudoo| rswlpl}hg prghov 448
Uhihuhqfhv 44;
7 Wkh Frzohv Frpplvvlrq*v dssurdfk 453
714 Lqwurgxfwlrq 453
715 Hvwlpdwlrq lq wkh Frzohv Frpplvvlrq Dssurdfk 453
71514 Khwhurvfhgdvwlflw|/ dxwrfruuhodwlrq dqg wkh JOV
hvwlpdwru 454
71515 Hqgrjhqhlw| 457
71516 JLYH hvwlpdwruv 458
71517 Wkuhh0vwdjh ohdvw vtxduhv +6VOV, dqg Vhhplqjo|
Xquhodwhg Uhjuhvvlrqv +VXUH, hvwlpd0
wruv 45;
71518 ILPO hvwlpdwru 468
716 Vlpxodwlrq 468
717 Srolf| Hydoxdwlrq 46:
6
718 D prgho ri wkh prqhwdu| wudqvplvvvlrq phfkdqlvp 46;
71814 Vshflfdwlrq ri wkh wk HRuhwlfdo prgho 46;
71815 Hvwlpdwlrq ri wkh sdudphwhuv ri lqwhuhvw 473
71816 Vlpxodwlqj wkh hhfw ri prqhwdu| srolf| 475
719 Dvvhvvlqj hfrqrphwulf hydoxdwlrq ri prqhwdu| srolf|1 479
71: Zkdw lv zurqj zlwk hfrqrphwulf srolf| hydoxdwlrqB 47;
Uhihuhqfhv 484
8 Wkh OVH dssurdfk 485
814 Lqwurgxfwlrq 485
815 Wkh OVH gldjqrvlv1 486
816 Wkh uhgxfwlrq surfhvv 487
817 Whvw/ whvw dqg whvw 48:
81714 Whvwlqj dxwrfruuhodwhg uhvlgxdov 48:
81715 Whvwlqj khwhurvfhgdvwlf uhvlgxdov 48;
81716 Whvwlqj uhvlgxdov qrupdolw| 48<
81717 Whvwlqj sdudphwhuv vwdelolw| 493
818 Whvwlqj wkh Frzohv Frpplvvlrq prgho 494
819 Vhdufklqj iru d frqjuxhqw vshflfdwlrq 494
81: Frlqwhjudwlrq Dqdo|vlv 496
81; Vshfli|lqj wkh vwuxfwxudo prgho 498
81;14 H{rjhqhlw| 498
81;15 H{rjhqhlw| lq HFP uhsuhvhqwdwlrqv 49:
81;16 Whvwlqj h{rjhqhlw| 49<
81< D prgho ri wkh prqhwdu| wudqvplvvlrq phfkdqlvp 4:7
81<14 Vlpxodwlqj prqhwdu| srolf| 4:8
81<15 Prgho Hydoxdwlrq 4::
81<16 Whvwlqj wkh Oxfdv fulwltxh 4:;
8143 Zkdw kdyh zh ohduqhgB 4;3
Uhihuhqfhv 4;5
9 Wkh YDU dssurdfk 4;6
914 Lqwurgxfwlrq= zk| YDU prghov B 4;6
915 Lghqwlfdwlrq dqg Hvwlpdwlrq 4;8
91514 Fkrohvnl Ghfrpsrvlwlrq 4;:
91515 Vwuxfwxudo prghov zlwk frqwhpsrudq HRxv uhvwulf0
wlrqv 4;:
91516 Vwuxfwxudo prgho zlwk orqj0uxq uhvwulfwlrqv 4<3
91517 Lghqwlfdwlrq lq frlqwhjudwhg YDUv 4<5
916 Zk| vkrfnv B 4<6
917 Ghvfulswlrq ri YDU prghov 4<8
918 Prqhwdu| srolf| lq forvhg hfrqrplhv 4<:
7
919 Prqhwdu| srolf| lq rshq hfrqrplhv 534
91914 Uhsolfdwlqj wkh hpslulfdo hylghqfh 53:
91915 Rplwwhg yduldeohv 543
91: YDU dqg qrq0YDU phdvxuhv ri prqhwdu| srolf|1 546
91:14 Qrq0YDU phdvxuhv ri prqhwdu| srolf| vkrfnv 546
91; Hpslulfdo uhvxowv 558
91;14 Forvh hfrqrp| +XV, 558
91;15 Rshq hfrqrp| +XV0Jhupdq|, 563
91< Frqfoxvlrqv 566
Uhihuhqfhv 568
: Lqwhuwhpsrudo Rswlplvdwlrq dqg wkh JPP phwkrg 56<
:14 Lqwurgxfwlrq 56<
:15 Hxohu Htxdwlrqv dqg forvhg irup vroxwlrqv= 573
:16 Hvwlpdwlqj Hxohu htxdwlrqv= Wkh JPP phwkrg1 577
:1614 Fryduldqfh Pdwul{ Hvwlpdwlrq 57:
:17 Wkh olplwv wr wkh Hxohu Htxdwlrq0JPP dssurdfk 584
:1714 Wk HRuhwlfdo sureohpv 584
:1715 Hpslulfdo Sureohpv 586
:18 Dq dssolfdwlrq wr wkh frqvxphu*v sureohp 587
:19 JPP dqg prqhwdu| srolf| uxohv 589
:1914 Wkh hvwlpdwlrq ri d edvholqh srolf| uxoh iru wkh
IHG 58;
:1915 Grhv wkh Ihg fduh iru wkh orqj0whup lqwhuhvw udwh
B 593
:1: Lqwhuhvw udwh uxohv dqg fhqwudo edqnv* suhihuhqfhv 595
Uhihuhqfhv 599
; Lqwhuwhpsrudo rswlplvdwlrq dqg fdoleudwlrq 59;
;14 Lqwurgxfwlrq 59;
;15 Edvlf vhw0xs 59<
;1514 Wkh krxvhkrog*v sureohp 5:3
;1515 Wkh jryhuqphqw 5:5
;16 G|qdplf htxloleulxp 5:6
;17 Dq LV0OP lqwhusuhwdwlrq 5:8
;18 Fdoleudwlrq 5:8
;19 Wkh NSU surfhgxuh 5:<
;1914 Orj0olqhdul}dwlrq 5:<
;1915 Wkh olqhdul}hg v|vwhp 5;5
;1916 Wkh Eodqfkdug0Nkdq dojrulwkp 5;7
;1917 Yduldeohv ri lqwhuhvw 5;:
;1918 PDWODE frgh 5;:
;1: Lpsxovh uhvsrqvh ixqfwlrqv 5<3
;1; Vwrfkdvwlf vlpxodwlrqv 5<4
..............................
414 Lqwurgxfwlrq :
415 Iurp wk HRu| wr gdwd= wkh qhz0fodvvlfdo jurzwk prgho1 :
416 Wkh hvwlpdwlrq sureohp= Ruglqdu| Ohdvw Vtxduhv 43
41614 Surshuwlhv ri wkh ROV hvwlpdwhv 44
417 ROV hvwlpdwlrq ri wkh Vrorz jurzwk prgho 48
418 Uhvlgxdo dqdo|vlv 49
419 Hohphqwv ri glvwulexwlrq wk HRu| 4;
41914 Wkh qrupdo glvwulexwlrq 4;
41915 Glvwulexwlrqv ghulyhg iurp wkh qrupdo 53
41: Lqihuhqfh lq wkh olqhdu uhjuhvvlrq prgho 54
41:14 Whvwlqj wkh vljqlfdqfh ri vxevhw ri frh!flhqwv 57
41; Hvwlpdwlrq xqghu olqhdu frqvwudlqwv 5:
41;14 Wkh Uhvwulfwhg Ohdvw Vtxduhv +UOV, hvwlpdwru 5;
41< Wkh hhfwv ri plv0vshflfdwlrq 63
41<14 Xqghu0sdudphwhulvdwlrq 63
41<15 Ryhu0sdudphwhul}dwlrq 64
4143 Kxpdq fdslwdo lq wkh Vrorz*v jurzwk prgho 65
4144 Wkh lpsruwdqfh ri wlph0vhulhv lq pdfurhfrqrplfv 67
4145 Dowhuqdwlyh vwudwhjlhv ri uhvhdufk lq pdfurhfrqrphw0
ulfv 69
Uhihuhqfhv 6<
5 Wkh suredelolvwlf vwuxfwxuh ri wlph vhulhv gdwd 73
514 Lqwurgxfwlrq= zkdw lv d wlph0vhulhv B 73
515 Dqdo|}lqj wlph0vhulhv= wkh ixqgdphqwdov1 76
51514 Frqglwlrqdo dqg xqfrqglwlrqdo ghqvlwlhv 77
51515 Vwdwlrqdulw| 78
51516 DUPD surfhvvhv 79
51517 Ghwhuplqlvwlf dqg Vwrfkdvwlf Wuhqgv 7;
516 Shuvlvwhqfh1 D Prqwh0Fduor h{shulphqw 83
517 Wkh wudglwlrqdo vroxwlrq= dv|pswrwlf wk HRu| 86
51714 Edvlf hohphqwv ri dv|pswrwlf wk HRu| 86
51715 Dssolfdwlrq wr prghov iru vwdwlrqdu| wlph0vhulhv 87
518 Vwrfkdvwlf0wuhqgv dqg vsxulrxv uhjuhvvlrqv 88
51814 Qrq0vwdwlrqdulw| dqg wkh olnholkrrg ixqfwlrq1 8:
519 Xqlyduldwh ghfrpsrvlwlrqv ri wlph0vhulhv 93
51914 Ehyhulgjh0Qhovrq ghfrpsrvlwlrq ri dq LPD+4/4,
surfhvv 95
51915 Ehyhulgjh0Qhovrq ghfrpsrvlwlrq ri dq DULPD+4/4,
surfhvv 95
51916 Ghulylqj wkh Ehyhulgjh0Qhovrq ghfrpsrvlwlrq lq
sudfwlfh 96
51917 Dvvhvvlqj wkh Ehyhulgjh0Qhovrq ghfrpsrvlwlrq 97
5
51: Pxowlyduldwh ghfrpsrvlwlrqv dqg g|qdplf prghov 9:
51:14 Frlqwhjudwlrq dqg Huuru Fruuhfwlrq Prghov 9:
51:15 Frlqwhjudwlrq lq d pxowlyduldwh iudphzrun :5
51:16 Wkh Mrkdqvhq Surfhgxuh :7
51:17 Lghqwlfdwlrq ri pxowlsoh frlqwhjudwlqj yhfwruv ::
51:18 K|srwkhvlv whvwlqj zlwk pxowlsoh frlqwhjudwlqj
yhfwruv :<
51:19 Frlqwhjudwlrq dqg Frpprq Vwrfkdvwlf Wuhqgv ;3
51:1: YHFP dqg frpprq wuhqgv uhsuhvhqwdwlrqv ;5
51; Pxowlyduldwh frlqwhjudwlrq= dq dssolfdwlrq wr XV gdwd ;7
51;14 Vshflfdwlrq ri wkh YDU ;7
51;15 Vhohfwlrq ri wkh ghwhuplqlvwlf frpsrqhqwv lq wkh
YHFP vshflfdwlrq ;:
51;16 Whvw iru wkh udqn ri ;;
51;17 Vshflfdwlrq dqg whvwlqj ri wkh orqj0uxq uhvwulf0
wlrqv <3
51< Pxowlyduldwh ghfrpsrvlwlrqv= vrph frqvlghudwlrqv <5
Uhihuhqfhv <8
6 Wkh lghqwlfdwlrq sureohp lq pdfurhfrqrphwulfv <<
614 Lqwurgxfwlrq <<
61414 Lghqwldelolw| 433
615 Lghqwlfdwlrq lq wkh Frzohv Frpplvvlrq dssurdfk 436
61514 Dq looxvwudwlrq= lghqwli|lqj wkh LV0OP0DG0DV
prgho 436
616 Wkh juhdw fulwltxhv 439
617 Lghqwlfdwlrq lq wkh OVH phwkrgrorj| 43<
618 Lghqwlfdwlrq lq wkh YDU phwkrgrorj| 444
619 Lghqwlfdwlrq lq lqwhuwhpsrudoo| rswlpl}hg prghov 448
Uhihuhqfhv 44;
7 Wkh Frzohv Frpplvvlrq*v dssurdfk 453
714 Lqwurgxfwlrq 453
715 Hvwlpdwlrq lq wkh Frzohv Frpplvvlrq Dssurdfk 453
71514 Khwhurvfhgdvwlflw|/ dxwrfruuhodwlrq dqg wkh JOV
hvwlpdwru 454
71515 Hqgrjhqhlw| 457
71516 JLYH hvwlpdwruv 458
71517 Wkuhh0vwdjh ohdvw vtxduhv +6VOV, dqg Vhhplqjo|
Xquhodwhg Uhjuhvvlrqv +VXUH, hvwlpd0
wruv 45;
71518 ILPO hvwlpdwru 468
716 Vlpxodwlrq 468
717 Srolf| Hydoxdwlrq 46:
6
718 D prgho ri wkh prqhwdu| wudqvplvvvlrq phfkdqlvp 46;
71814 Vshflfdwlrq ri wkh wk HRuhwlfdo prgho 46;
71815 Hvwlpdwlrq ri wkh sdudphwhuv ri lqwhuhvw 473
71816 Vlpxodwlqj wkh hhfw ri prqhwdu| srolf| 475
719 Dvvhvvlqj hfrqrphwulf hydoxdwlrq ri prqhwdu| srolf|1 479
71: Zkdw lv zurqj zlwk hfrqrphwulf srolf| hydoxdwlrqB 47;
Uhihuhqfhv 484
8 Wkh OVH dssurdfk 485
814 Lqwurgxfwlrq 485
815 Wkh OVH gldjqrvlv1 486
816 Wkh uhgxfwlrq surfhvv 487
817 Whvw/ whvw dqg whvw 48:
81714 Whvwlqj dxwrfruuhodwhg uhvlgxdov 48:
81715 Whvwlqj khwhurvfhgdvwlf uhvlgxdov 48;
81716 Whvwlqj uhvlgxdov qrupdolw| 48<
81717 Whvwlqj sdudphwhuv vwdelolw| 493
818 Whvwlqj wkh Frzohv Frpplvvlrq prgho 494
819 Vhdufklqj iru d frqjuxhqw vshflfdwlrq 494
81: Frlqwhjudwlrq Dqdo|vlv 496
81; Vshfli|lqj wkh vwuxfwxudo prgho 498
81;14 H{rjhqhlw| 498
81;15 H{rjhqhlw| lq HFP uhsuhvhqwdwlrqv 49:
81;16 Whvwlqj h{rjhqhlw| 49<
81< D prgho ri wkh prqhwdu| wudqvplvvlrq phfkdqlvp 4:7
81<14 Vlpxodwlqj prqhwdu| srolf| 4:8
81<15 Prgho Hydoxdwlrq 4::
81<16 Whvwlqj wkh Oxfdv fulwltxh 4:;
8143 Zkdw kdyh zh ohduqhgB 4;3
Uhihuhqfhv 4;5
9 Wkh YDU dssurdfk 4;6
914 Lqwurgxfwlrq= zk| YDU prghov B 4;6
915 Lghqwlfdwlrq dqg Hvwlpdwlrq 4;8
91514 Fkrohvnl Ghfrpsrvlwlrq 4;:
91515 Vwuxfwxudo prghov zlwk frqwhpsrudq HRxv uhvwulf0
wlrqv 4;:
91516 Vwuxfwxudo prgho zlwk orqj0uxq uhvwulfwlrqv 4<3
91517 Lghqwlfdwlrq lq frlqwhjudwhg YDUv 4<5
916 Zk| vkrfnv B 4<6
917 Ghvfulswlrq ri YDU prghov 4<8
918 Prqhwdu| srolf| lq forvhg hfrqrplhv 4<:
7
919 Prqhwdu| srolf| lq rshq hfrqrplhv 534
91914 Uhsolfdwlqj wkh hpslulfdo hylghqfh 53:
91915 Rplwwhg yduldeohv 543
91: YDU dqg qrq0YDU phdvxuhv ri prqhwdu| srolf|1 546
91:14 Qrq0YDU phdvxuhv ri prqhwdu| srolf| vkrfnv 546
91; Hpslulfdo uhvxowv 558
91;14 Forvh hfrqrp| +XV, 558
91;15 Rshq hfrqrp| +XV0Jhupdq|, 563
91< Frqfoxvlrqv 566
Uhihuhqfhv 568
: Lqwhuwhpsrudo Rswlplvdwlrq dqg wkh JPP phwkrg 56<
:14 Lqwurgxfwlrq 56<
:15 Hxohu Htxdwlrqv dqg forvhg irup vroxwlrqv= 573
:16 Hvwlpdwlqj Hxohu htxdwlrqv= Wkh JPP phwkrg1 577
:1614 Fryduldqfh Pdwul{ Hvwlpdwlrq 57:
:17 Wkh olplwv wr wkh Hxohu Htxdwlrq0JPP dssurdfk 584
:1714 Wk HRuhwlfdo sureohpv 584
:1715 Hpslulfdo Sureohpv 586
:18 Dq dssolfdwlrq wr wkh frqvxphu*v sureohp 587
:19 JPP dqg prqhwdu| srolf| uxohv 589
:1914 Wkh hvwlpdwlrq ri d edvholqh srolf| uxoh iru wkh
IHG 58;
:1915 Grhv wkh Ihg fduh iru wkh orqj0whup lqwhuhvw udwh
B 593
:1: Lqwhuhvw udwh uxohv dqg fhqwudo edqnv* suhihuhqfhv 595
Uhihuhqfhv 599
; Lqwhuwhpsrudo rswlplvdwlrq dqg fdoleudwlrq 59;
;14 Lqwurgxfwlrq 59;
;15 Edvlf vhw0xs 59<
;1514 Wkh krxvhkrog*v sureohp 5:3
;1515 Wkh jryhuqphqw 5:5
;16 G|qdplf htxloleulxp 5:6
;17 Dq LV0OP lqwhusuhwdwlrq 5:8
;18 Fdoleudwlrq 5:8
;19 Wkh NSU surfhgxuh 5:<
;1914 Orj0olqhdul}dwlrq 5:<
;1915 Wkh olqhdul}hg v|vwhp 5;5
;1916 Wkh Eodqfkdug0Nkdq dojrulwkp 5;7
;1917 Yduldeohv ri lqwhuhvw 5;:
;1918 PDWODE frgh 5;:
;1: Lpsxovh uhvsrqvh ixqfwlrqv 5<3
;1; Vwrfkdvwlf vlpxodwlrqv 5<4
..............................
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