經(jīng)濟(jì)計(jì)量模型的合理性問(wèn)題-資料下載頁(yè)
2025-03-26 03:18本頁(yè)面
【正文】 0。=229。[(y0)i(b p+e p)],E=ABC2x x2i i1isi2如果模型參數(shù)的誤差互不相關(guān)，則上面式中的r=0；而若所有的觀測(cè)數(shù)據(jù)都有同樣的標(biāo)準(zhǔn)差，則有：si=s，上面的結(jié)果還能簡(jiǎn)化。一個(gè)有意思的結(jié)果是，如果我們?cè)诮r(shí)不考慮模型參數(shù)的先驗(yàn)信息（即不考慮理論誤差），這時(shí)可取1sb174。165。,se174。165。，得：WM=0，這時(shí)（），（）變?yōu)椋?m=(GTWD1G)1GTWD1doutWm39。=(GTWD1G)1我們看到，這一結(jié)果與廣義最小二乘法估計(jì)相似。所以，我們達(dá)到了想要的結(jié)果，既反演最小二乘法確是現(xiàn)有計(jì)量經(jīng)濟(jì)模型估計(jì)方法的推廣。五、結(jié)論經(jīng)濟(jì)系統(tǒng)是一個(gè)復(fù)雜的人文系統(tǒng)，要對(duì)其進(jìn)行定量分析，通過(guò)觀測(cè)系統(tǒng)產(chǎn)出來(lái)推斷系統(tǒng)行為的經(jīng)濟(jì)計(jì)量模型因?yàn)槭艿綌?shù)據(jù)和理論假設(shè)誤差的影響而會(huì)出現(xiàn)不適定的結(jié)果。要消除不適定利用反演方法，將數(shù)據(jù)和理論假設(shè)誤差考慮進(jìn)模型是一種可行的方法，而且在不考慮理論假設(shè)誤差時(shí)該方法與一般經(jīng)濟(jì)計(jì)量模型估計(jì)方法一致。所以，反演方法既能消除Lucas批判中提出的問(wèn)題，又是經(jīng)濟(jì)計(jì)量模型估計(jì)方法的推廣。參考文獻(xiàn)Amemiya,T,(1983),NonlinearRegressionModels,In：HandbookofEconometrics.edby:and,Amsterdam:NorthHolland.Cameron,andTrivedi,(1986),EconometricModelsBasedonCountData:ComparisionsandApplicationsofSomeEstimatorsandTests,JournalofAppliedEconometrics,1,2953.Chow,(1981),EconometricAnalysisbyControlMethods,NewYork:JohnWiley.Christ,(1966),EconometricModelsandMethods,NewYork:JohnWiley.Debreu,G,(1959),TheoryofValue–AAxiomaticAnalysisofEconomicEquilibrium,NewYork:JohnWileyamp。Sons,Inc.and,(2002),DanamicInconsistencies:CounterfactualImplicationsofaClassofRationalExpectationsModels,TheAmericanEconomicReview,Voll:92,No:40,10131028.Frisch,R,(1933),Editorial,Econometrica,14.,(1993),EconometricAnalysis,PrenticeHall,Inc.Griliches,Z(1986),EconomicDataIssues,In：HandbookofEconometrics.edby:and,Amsterdam:NorthHolland.Haavelmo,T,(1944),The Probability Approach in Econometrics, Econometrica12,Supplement,1118.(1992),Some Aspects of Generalized Method Moments Estimation, in,and(eds),HandbookofStatistics,Vol11:Econometrics,Amsterdam:NorthHolland.Hansen,andSargent,T,J,(1980),FormulatingandEstimatingDynamicLinearRationalExpectationsModels,JournalofEconomicDynamicsandControl,2,746.Kress,R,(1989),LinearIntegralEquations,SpringerVerlag.Klein,L,R,(1947),TheUseofEconometricModelsasaGuidetoEconomicPolicy,Econometrica,15,111151.Lucas,(1976),EconometricPolicyEvaluation:ACritique,LournalofMonetaryEconomics,SupplementarySeries1976,1(2),1946.Marschak,J(1953),EconomicMeasurementsforPolicyandPrediction,In:StudiesinEconometricMethod,ed,andKoopmans,CowlesCommissionforResearchinEconomicsMonograph,,NewYork:JohnWiley. and (2000),Local Bayesian inversion : Theoreticaldevelopments,141(3):713723.Morozov,(1984),MethodsforSolvingIncorrectlyPosedProblems,NewYork:SpringerVerlag.Pesaran, and Smith,(1985),Evaluation of Macroeconometric Models,In：HandbookofEconometrics.edby:and,Amsterdam:NorthHolland.Pindyck,and,(1998),EconometricModelsandEconomicForecasts,TheMcGrawHillCompanies,Inc.Samuelson,Koopmans,andStone,(1954),ReportoftheEvaluativeCommitteeforEconomitrica,Economitrica22,141146.Stokey,andLucas,(1989),RecursiveMethodsinEconomicsDynamics,HarvardUniversityPress.Tikhonov,and,(1977),SolutionsofIllPosedProblems,Washington:WinstonandSons.(1987),InverseProblemTheory—Methodsfordatafittingandmodelparameterestimation,ElsevierSciencePublishers.Abstract: Econometricmodelisamethodofthroughtheanalysisofeconomicaldatatogettheeconomicalresult,itistheinverseprobleminmathematics,butmanyofthiskindofquestionareillposedproblems.Thereforewecan39。tusetheeconometricmodeltogetforecastmodelortakepolicyanalysis,thereasonisthattheerrorofdata andtheintrinsicwarpoftheoreticalmodel. Thisarticleinspectedthelogicfoundationofeconometricmodelingeneralframe,wethoughtthattheillposedproblemseliminatedbytheimprovementofestimatemethod
環(huán)評(píng)公示相關(guān)推薦
鄂ICP備17016276號(hào)-1