中值无偏估计及其Bootstrap仿真计算——以人民币实际汇率半生命期的中值无偏估计计算为例被引量：5

The Median Unbiased Estimation and It's Calculation Based on the Bootstrap Simulation

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摘要带滞后因变量的小样本最小二乘法参数估计会产生低估偏误,中值无偏估计是修正偏误的一个很好的方法。基于AR(1)的中值无偏估计存在确定解,本文将应用Boostrap仿真实验对计算其数值解作出尝试。本文根据1994年1月至2004年5月期间人民币实际汇率月度数据,用中值无偏估计的方法计算了人民币实际汇率单位扰动半生命期(HLS),根据仿真计算的结果为11·5个月。 The estimation of OLS with lagged independent variables has a downward bias. Median - unbiased estimation is a good method to solve such problem, which has exactly solution in the AR （1） models This paper will try to give a numerical solution based on the Bootstrap simulation. Also this paper will calculate the HLS of Chinese RMB＇s real exchange rate with a sample duration of 1994. 01 to 2004. 05 by using the method of Median - unbiased estimation, and gets the result of 11.5 months based on the Bootstrap simulation.

作者徐国希王少平

机构地区华中科技大学经济学院

出处《数量经济技术经济研究》 CSSCI 北大核心 2005年第11期78-85,共8页 Journal of Quantitative & Technological Economics

关键词中值无偏估计 Bootstrap仿真人民币实际汇率半生命期 Median - Unbiased Estimation Bootstrap Simulation RMB＇s Exchange Rate HLS

分类号 F224.0 [经济管理—国民经济]

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参考文献12

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