的阶段性划分和经济波动的非对称性_基于马尔可夫区制转移模型的

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:2008(08JJD790133);(2009JYJR014):,,,,:;,,:BurnsA1F1,MitchellW1C1,MeasuringBusinessCycles,NewYork:NationalBureauofEconomicResearch,19461Hamilton,J1D1,ANewApproachtotheEconomicAnalysisofNonstationaryTimeSeriesandtheBusinessCycle,Econometrica,Vol157(2),1989,pp1357-384.(,130012):19901200712,,,,;,:;;MS;:F12418:A:0257-0246(2009)06-0085-06,,,,100,,,,,,,,,,,,Hamilton(Markovswitching),Terasverta58(STAR),TiaoTsayLeamerPotter(TAR),,,,,,,Sichel,TiaoTsay,,Markov,,,,,1996,1996;,,,,,,,,,KrolzigMarcellinoMizon(MS-VECM),,19901200712GDP,,,VARxt=(y1t,y2t),y1ty2tVAR(p)(VEC):xt=c+7xt-1+6p-1i=1ixt-i+t(1)6820096Terasvirta,T1andAnderson,H1M1,CharacterizingNonlinearitiesinBusinessCyclesUsingSmoothTransitionAutoregressiveMod2els,Econometrics,1992,APP1,pp1119-136.Leamer,E1andS1Potter,ANonlinearModeloftheBusinessCycle,Manuscript,FederalReserveBankofNewYork,20031Sichel,D1E1,InventoriesandtheThreePhasesoftheBusinessCycle,JournalofBusinessEconomicsandStatistics,12,1994,pp1269-278.Tiao,G1C1andTsayR1S1,SomeAdvancesinNon-linearandAdaptiveModellinginTimeSeries,JournalofForecasting13,1994,pp1109-131.:,20035;:,200510Krolzig,MarcellinoandMizon,AMarkov-SwitchingVectorEquilibriumCorrectionModeloftheUKLabourMarket,EmpiricalEconomics,27,2002,pp1233-254.c,tJohansen,fb:7=(2),,(1):xt=c+[xt-1]+6p-1i-1ixt-i+t(3)Hamilton,VECst{l,,m},{st}mMarkov,:pij=P[st=j|st-1=i](4):6mj=1pij=1,i=l,,m(5),MarkovMS(m)-VECM(p):xt=cst+st[xt-1]+6p-1i=1ixt-i+t(6)(6)c,:xt-st=st[xt-1]+6p-1i=1i[xt-i-st-i]+t(7)stHamilton,MS-VECM,,,,Hamilton,KimandNelson(6)(7)stHamiltonMS,;,,(VAR),VAR,MS-VAR,VARMarkov,MS-VECM,HamiltonMS(3)-VECM(p)12,3,ii,:123,78Johansen,S1,StatisticalAnalysisofCointegrationVector,JournalofEconomicDynamicsandControl,12,1988,pp1231-254.Hamilton,J1D1,ANewApproachtotheEconomicAnalysisofNonstationaryTimeSeriesandtheBusinessCycle,Econometrica,Vol57(2),1989,pp1357-384.Kim,C1J1andNelson,C1R1,State-SpaceModelswithRegimeSwitching:ClassicalandGibbs-SamplingApproacheswithApplica2tions,TheMITPress,19991Krolzig,MarcellinoandMizon,AMarkov-SwitchingVectorEquilibriumCorrectionModeloftheUKLabourMarket,EmpiricalE2conomics,27,2002,pp1233-254.,,ytt13241ADFADFY1-1139Y1-71703-2188P1-1184P1-31823-21882JohansenLR01153261943141071010233171331763t-1010980101751698320121401023913503301620010312010733101042010152183532019790103925103833-0119401039-419213119901200712GDP()(,),,,1(35%,)Yt8820096(19901,100)Pt1,I(1),xt=(Yt,Pt),2JohansenGDP,:et=Yt-11903Pt+11298(8)et,,19931996,,,2001,,2003,(7)si=(1si,2si)si=(1si,2si),(7)p3,:xt-st=st[xt-1]+62i=1i[xt-i-st-i]+t(9)xt=(yt,t),ytt(,)Ox-MSVAR3()41(i)2(i)3(i)1(i)0194901000012322(i)0100001637015173(i)0105101362012515113401651191532410120521763290114411343,918%2114%62%,;,,12,,;3,,242,1996,,,;3,,;4,19931995,,4pij5,D(Si):D(Si)=11-pij(10)45,,101949,,,6511%,8216%120,301051;,201637,98Krolzig,H.M.,Markov-SwitchingVectorAutoregressions:Modelling,StatisticalInferenceandApplicationtoBus2inessCycleAnalysis,Springer,19972015%,1117%0,01362,;,301251,1414%,517%3201517,101232,13(01051),31(01232),,(),:101072,201798,3-01179,,:,;,,MS(3)-VECM(3),,:(1)3(),,,,918%,,,,(2),,5,;,(9419%6317%,511%3612%),(7419%,2511%),,,,(3),,(Tobineffects),;,,:0920096Tobin,J.,Moneyandeconomicgrowth,Econometrica,32,1965,pp1671-684.

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