總體經濟時間序列分析.doc
《總體經濟時間序列分析.doc》由会员分享,可在线阅读,更多相关《總體經濟時間序列分析.doc(6页珍藏版)》请在得力文库 - 分享文档赚钱的网站上搜索。
1、1總體經濟時間序列分析總體經濟時間序列分析總體經濟時間序列分析總體經濟時間序列分析授課老師:林向愷 研究室:經研所 316 室 聯絡電話:2351-9641 轉 669 或 0952-068664I. I. I. 課程目標課程目標課程目標課程目標本課程為總體經濟時間序列的計量分析 (econometric analysis of macroeconomic time series) 而非統計分析。本課程著重時間序列模型 (尤其是向量自迴歸模型) 的認定與估計。時間序列模型需要額外條件才能讓模型得以認定。第一種方法是以結構性向量自迴歸模型 (structural VAR model)為架構,並透
2、過額外認定條件賦予干擾項經濟意義。這種方法主要係藉由經濟理論對干擾項變異數,共變異數矩陣中待定係數找出認定所需的額外條件。由於額外條件僅讓結構性向量自迴歸模型足以認定 (just identified),故有無法利用統計檢定方法檢驗認定這些條件是否成立缺點。第二種方法則是利用完整設定的經濟模型以及理性預期假設說導出對模型待估的結構性參數 (structural parameters) 的跨式限制條件 (cross-equation restrictions)。介紹不同類型認定條件後,本課程亦將介紹如何估計結構性時間序列模型以及檢定不同型式的限制條件。II.II.II. 課程內容課程內容課程內容
3、課程內容21. 1. 1. 結構性向量自迴歸模型結構性向量自迴歸模型結構性向量自迴歸模型結構性向量自迴歸模型Ahmed, S., Ickes, B.W., Wang, P. and Yoo, B.S. (1993). “International Business Cycles.” American Economic Review, 83:335-359.Benassy, Jean-Pascal (1995). “Money and Wage Contracts in an Optimizing Model of the Business Cycle.” Journal of Monetary
4、 Economics. 35:303-315.Bernanke, B. (1986). “Alternative Explanations of the Money-Income Correlation.”Carnegie-Rochester Conference Series on Public Policy, 25:49-100.Blanchard, O.J. (1989). “A Traditional Interpretation of Macroeconomic Fluctuations.” American Economic Review. 79:1146-64.Blanchard
5、, O.J. and Quah, D. (1989). “The Dynamic Effect of Aggregate Demand and Supply Disturbances.” American Economic Review. 79:655-673.Blanchard, O.J and Perotti, R. (2002). “An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output.” Quarterly Journal of
6、 Economics. 117:1329-1368.Cogley, Timothy and Nason, James M. (1993). “Impulse Dynamics and PropagationMechanism in a Real Business Cycle Model.” Economics Letter. 43(4):77-81.Cogley, Timothy and Nason, James M. (1995). “Output Dynamics in Real-Business-CycleModels.” The American Economic Review. 85
7、(3):492-511.Cooley, T.F. and Dwyer, M. (1998). “Business Cycle Analysis without Much Theory: ALook at Structural VARs.” Journal of Econometrics. 83:57-88.Gali, Jordi (1992). “How Well Does the IS-LM Model Fit Postwar U.S. Data?” QuarterlyJournal of Economics. 709-738.Gali, Jordi (1994). “Government
8、Size and Macroeconomic Stability.” European EconomicReview. 38(1):117-32.Gali, Jordi (1999). “Technology, Employment, and the Business Cycle: DoTechnology Shocks Explain Aggregate Fluctuations?” The American Economic Review. 89(1):249-271.Gregory, Allan W. and Smith, Gregor W. (1991). “Calibration a
9、s Testing: Investment inSimulated Macroeconomic Models.” Journal of Business and Economic Statistics. 9(3):297-303.Keating, J.W. (1990). “Identifying VAR Models under Rational Expectations Models.”Journal of Monetary Economics. 25:453-476.King, R.G. and Plosser, C.I. (1984). “Money, Credit and Price
10、s in a Real Business Cycle.”American Economic Review. 74:195-232.3King, Robert G. and Watson, Mark W. (1994). “The Post-War U.S. Phillips Curve: ARevisionist Econometric History.” Carnegie-Rochester Conference Series on Public Policy. 41:157-220.King, Robert G. and Watson, Mark W. (1996). “Money Pri
11、ces, Interest Rates and the Business Cycle.” Review of Economics and Statistics. 78(1):35-53.King, R.G., Plosser, C.I., Stock, J. and Watson, M. (1991). “Stochastic Trend and Economic Fluctuations.” American Economic Review. 81:819-846.Leamer, Edward E. (1985). “Vector Autoregressions for Causal Inf
12、erence?” in K. Brunner and A. Meltzer, eds., Understanding Monetary Regimes, Carnegie-Rochester Conference Series on Public Policy (North-Holland, Amsterdam). 255-303.Lippi, Marco and Reichlin, Lucrezia (1993). “The Dynamic Effects of Aggregate Demand and Supply Disturbances: Comment.” The American
13、Economic Review. 83(3): 642-658.Litterman, R.B. and Weiss, L. (1985). “Money, Real Interest Rates, and Output: A Reinterpretation of Postwar U.S. Data,” Econometrica, 53(1): 129-156.McCallum, B.T. (1983). “A Reconsideration of Sims Evidence Concerning Monetarism.” Economic Letters. 13:167-171.Sims,
14、C.A. (1972). “Money, Income and Causality.” The American Economic Review, LXII(4): 540-552. Rotemberg, Julio J. (1996). “Prices, Output, and Hours: An Empirical Analysis Based on a Sticky Price Model.” Journal of Monetary Economics. 37:505-533.2. 變數外生性與政策分析變數外生性與政策分析Chamberlain, Gary (1982). “The Ge
15、neral Equivalence of Granger and SimsCausality.” Econometrica. 50: 569-582.Chang, P., and S. Sakata (2007). “Estimation of Impulse Response Functions Using Long Autoregressions.” Econometrics Journal. 10: 453-469.Cooley, T.F. and LeRoy, S.F. (1985). “Atheoretical Macroeconometrics: A Critique.” Jour
16、nal of Monetary Economics. 16: 283-308.Engle, Robert E., David F. Hendry and Jean-Francois Richard (1983), “Exogeneity.” Econometrica. 51: 277-304.Koop, Gary, Pesaren, M. Hashem, and Potter, Simon M. (1996). “Impulse Response Analysis in Nonlinear Multivariate Models.” Journal of Econometrics. 74:11
- 配套讲稿:
如PPT文件的首页显示word图标,表示该PPT已包含配套word讲稿。双击word图标可打开word文档。
- 特殊限制:
部分文档作品中含有的国旗、国徽等图片,仅作为作品整体效果示例展示,禁止商用。设计者仅对作品中独创性部分享有著作权。
- 关 键 词:
- 總體 經濟 時間 序列 分析
限制150内