摘要
将模拟方法引入到无样本分割信息的动态非均衡计量经济模型中 ,建立起动态非均衡模型的 GHK递归模拟极大似然法 。
In this paper, we propose simulation methods to deal with disequilibrium model with sample separation unknown. And establish GHK-recursive simulated maximum likelihood method for dynamic single market disequilibrium model. Monte Carlo studies are provided to demonstrate the efficiency of this method in estimation and regime classification of dynamic single market disequilibrium model.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2002年第1期57-64,共8页
Systems Engineering-Theory & Practice
基金
教育部博士点基金 ( 2 0 0 0 0 0 5 6 0 6 )
关键词
动态非均衡模型
GHK模拟极大似然法
模拟建模
计量经济模型
simulation method
dynamic disequilibrium model
GHK simulated maximum likelihood method
regime classification
