线性、非线性面板结构VAR模型的参数、半参数估计被引量：8

Parametric and Semiparametric Estimation of Linear & Nonlinear Panel Structural VAR Model

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摘要基于面板数据的结构VAR模型在宏观经济分析中具有很好的适用性。本文选择了两个具有代表性的估计量——参数估计的GMM估计量和半参数估计的PSS估计量,建立了PSVAR模型的估计程序,并将其推广到非线性PSVAR模型中。仿真实验结果显示,对线性PSVAR模型,当样本规模较小时,GMM估计量总体表现要优于PSS估计量。而当样本较大时,PSS估计量有较好的表现。对非线性PSVAR模型,PSS估计量要明显优于GMM估计量。 Panel structural VAR model is characterized with good applicability for maeroeconomic analysis. Based on two typical estimator, GMM estimator for parametric model and PSS estimator for semiparametric model, we propose the estimation framework for PSVAR model, and extend it to the case that nonlinear is allowed. The simulation results show that, for linear PSVAR model, GMM estimator performs well than PSS estimator, but for large data sets, the later is more efficient. Moreover, for nonlinear PSVAR model, PSS estimator is prior to GMM estimator significantly.

作者杨继生

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 2011年第3期140-151,共12页 Journal of Quantitative & Technological Economics

基金国家自然科学基金项目(70971050)"基于面板数据的线性/非线性结构VAR模型与我国财政政策的城乡效应和区域效应研究" 教育部人文社科基金项目(08JC790043)"动态面板模型的平滑转换机制及其对我国能源效率分析的应用" 国家社科基金重点项目(07AJY010)"我国减排与城乡经济问题研究"

关键词面板结构 VAR模型非线性半参数有效估计 GMM估计 Panel Structural VAR Model Nonlinearity Semiparametric Efficient Estimation GMM Estimation

分类号 F224.0 [经济管理—国民经济]

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参考文献10

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