对动态经济计量建模过程的模型研究

Modeling of Dynamic Economic Computation

动态经济计量建模的方法论是采取“从一般到特殊”的方法。首先根据经济理论提出理论模型 ,并在假设条件下确定可估模型 ;其次建立与数据生成过程(DataGeneratingProcess,或DGP)相一致的一般性模型 ,即 :自回归分布滞后模型(AutoregressiveDistributedLag Model或ADLMs) ,ADLMs可转化为误差修正模型(ECM) ;然后通过估计理论和相应的假设检验逐步获得最终(特殊)模型。如果最终模型不止一个 ,则需要选择出节俭包容的模型并加以应用。

The dynamic econometric modeling process adopts the “general-to-specific approach”. This approach starts with establishing a theoretical model based on economic theory, and ascertains estimable model on hypothetical conditions. It is then followed by constructing a general model, i.e., an autoregressive distributed lag model (ADLM) that is consistent with the data generating process. The ADLM is transformed into an error correction specification, and the final (specific) model is reached, step-by-step, through estimation and hypothesis testing. However, if there are more than one models left to choose from after various hypothesis tests, the parsimonious and encompassing criteria should then be used to select the final model for application.