,单击此处编辑母版标题样式,单击此处编辑母版文本样式,第二级,第三级,第四级,第五级,#,A general lagged variable model,:,:,滞后时期数,1),如,称为分布滞后模型,(1),又如 有限,称为有限分布滞后模型,(2),又如 无限,称为无限分布滞后模型,2,）,如 ，称为自回归模型。,A general lagged variable mode,1,几何滞后模型（无限分布滞后模型的特况）：,The long-run response:,The mean lag:,几何滞后模型（无限分布滞后模型的特况）：,2,分布滞后模型的参数估计,设有限分布滞后模型为：,Almon polynomial distributed lag,method,单方程估计中的高级问题课件,3,Assumption:,将此代入模型方程并整理后可得,Assumption:,4,单方程估计中的高级问题课件,5,Example,If ,then,Example,6,A case study,：,Y-,库存量，,X-,销售额（,lag=3),PDL expression:,pdl(series_name,lags,order,options),The constraint options are:,1constrain the near end of the distribution to zero.,2constrain the far end of the distribution to zero.,3constrain both the near and far end of the distribution to zero.,By default,EViews does not constrain the endpoints of the PDL.,A case study：Y-库存量，X-销售额（,7,设无限分布滞后模型为,Koyck method:,Koyck assumption,It is easy to obtain,设无限分布滞后模型为,8,Adaptive expectation models,其中 的预期值。,Expectation assumption:,易得,这是自回归模型。,Adaptive expectation models,9,Partial(stock)adjustment models,整理得,这也是自回归模型。,（期盼的值）,Partial(stock)adjustment mode,10,How to Estimate Them?,Instrument variable method,Instrument variable:,(,Y,对,X,的滞后项的回归，,s,值适当选取,),The equations to be estimated become,How to Estimate Them?,11,How to test for serial correlation of order 1,In this case,the DW test does not hold good.,可用,Durbin,s h,统计量,滞后项数的选择：,R-sq,AIC and SC,How to test for serial correla,12,Examples9.1 and 9.2(PP147,149),Examples9.1 and 9.2(PP147149),13,因果关系检验,(Tests for Causality):,A problem:if changes in one variable are a cause of changes in another.,A method for this problem is the test for causality introduced by Granger and Sims.,因果关系检验(Tests for Causality):,14,认定,X,是,Y,变化的原因必须满足二条件：,1.X,有助于预测,Y;2.Y,不应当有助于预测,X.,如何检验 原假设,:X,不是引起,Y,变化的原因,对以下两回归模型进行估计,:,认定X是Y变化的原因必须满足二条件：,15,Now we are about to test,Test statistic is (,k=2m+1,q=m,),Example9.3(P151),Now we are about to test,16,Homework:,我们已经对单方程模型的建模方法有了较完整的认识,.,找一个你感兴趣的实际问题,利用所学经济计量学方法,对问题尽可能做详细的建模与分析,.,要求,:1.,保存原始数据并标明来源,;2.,要有建模过程并说明理由,;3.,按论文的形式表述建模与分析过程,;4.,将整个包含,1.,2.,3.,的文件以你的姓名和学号作标题用,Email,发至,:,时限,:12,月,15,日之前,.,Homework:,17,