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》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在教育資源-天天文庫。

1、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：2351-9641轉(zhuǎn)669或0952-068664I.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

2、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)說導(dǎo)出對(duì)模型待估的結(jié)構(gòu)性參數(shù)(structuralparameters)的跨式限制條件(cross-equationrestrictions)。介紹不同類型認(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.課程內(nèi)容1.結(jié)構(gòu)性向量自迴歸模型Ahmed,S.,Ickes,B.W.,Wang,P.andYoo,B.S.(1993).“Internatio

3、nalBusinessCycles.”AmericanEconomicReview,83:335-359.Benassy,Jean-Pascal(1995).“MoneyandWageContractsinanOptimizingModeloftheBusinessCycle.”JournalofMonetaryEconomics.35:303-315.Bernanke,B.(1986).“AlternativeExplanationsoftheMoney-Income6Correlation.”Carnegie-RochesterConferenceSeriesonP

4、ublicPolicy,25:49-100.Blanchard,O.J.(1989).“ATraditionalInterpretationofMacroeconomicFluctuations.”AmericanEconomicReview.79:1146-64.Blanchard,O.J.andQuah,D.(1989).“TheDynamicEffectofAggregateDemandandSupplyDisturbances.”AmericanEconomicReview.79:655-673.Blanchard,O.JandPerotti,R.(2002).

5、“AnEmpiricalCharacterizationoftheDynamicEffectsofChangesinGovernmentSpendingandTaxesonOutput.”QuarterlyJournalofEconomics.117:1329-1368.Cogley,TimothyandNason,JamesM.(1993).“ImpulseDynamicsandPropagationMechanisminaRealBusinessCycleModel.”EconomicsLetter.43(4):77-81.Cogley,TimothyandNaso

6、n,JamesM.(1995).“OutputDynamicsinReal-Business-CycleModels.”TheAmericanEconomicReview.85(3):492-511.Cooley,T.F.andDwyer,M.(1998).“BusinessCycleAnalysiswithoutMuchTheory:ALookatStructuralVARs.”JournalofEconometrics.83:57-88.Gali,Jordi(1992).“HowWellDoestheIS-LMModelFitPostwarU.S.Data?”Qua

7、rterlyJournalofEconomics.709-738.Gali,Jordi(1994).“GovernmentSizeandMacroeconomicStability.”EuropeanEconomicReview.38(1):117-32.Gali,Jordi(1999).“Technology,Employment,andtheBusinessCycle:DoTechnologyShocksExplainAggregateFluctuations?”TheAmericanEconomicReview.89(1):249-