向量误差修正模型中误差修正系数的辨识

Identification of Error Correction Coefficient in Vector Error Correction Model

在误差修正模型中,误差修正项是非平稳变量间进行协整组合后得到的平稳变量即误差,反映了变量对长期均衡的偏离,把它作为解释变量放到变量的短期关系方程中,可对被解释变量的短期非均衡变动进行修正。向量误差修正模型(VECM)各方程中的误差修正项来自同一个协整方程,通常表示为同一形式。由于不能直接反映不同的变量对长期均衡的不同偏离,由此得到的表观误差修正系数并不是真正的误差修正系数。文章把各方程中的误差修正项转换成与本方程中被解释变量相对应的偏离均衡误差,使得误差修正变量与被修正的变量保持逻辑上的一致性,这样才能得到真正的误差修正系数。只须用协整方程中的"协整系数"去校正"表观误差修正系数",即可得到"真实误差修正系数"。

In the error correction model,the error correction term is the stationary variable obtained after co-integration among non-stationary variables,namely,the error,which reflects the deviation of variables from the long-term equilibrium.It can be used as an independent variable in the short-term relationship equation of variables to correct the short-term non-equilibrium changes of the dependent variable.The error correction terms in each equation of a Vector Error Correction Model(VECM)are derived from the same co-integration equation,and are usually expressed in the same form.Because of the failure to directly reflect the different deviations of different variables from the long-term equilibrium,the obtained apparent error correction coefficient is not the true error correction coefficient.This paper converts the error correction term in each equation into the deviation equilibrium error corresponding to the dependent variable in this equation,and makes the error correction variable logically consistent with the modified variable,so as to obtain the true error correction coefficient.The paper also proves that the"true error correction coefficient"can be obtained simply by using the"co-integration coefficient"in the co-integration equation to correct the"apparent error correction coefficient".