带交互效应的面板SVAR模型的估计

Estimation for panel SVAR model with interactive effects

构建交互效应面板SVAR模型,提出各类参数的一致性估计方法,编写估计程序,仿真模拟有限样本的性质,结果表明:固定N(T)的情况下,随着T(N)的增大,参数估计值与真值的偏误逐渐减小,同时参数估计量的标准误也逐渐减小,并都逼近于0.在随机型共同因子设定下,共同因子、因子载荷估计值与真值的相关系数绝大部分达到0.95以上;在周期型共同因子设定下,共同因子、因子载荷估计值与真值的相关系数均能达到0.85以上;在阈值型共同因子的设定下,无论是共同因子还是因子载荷,估计值与真值的相关性都弱于随机型和周期型,相关系数处于0.6~0.9之间.

The panel SVAR model with interactive effects is constructed,the consistent estimation approach for all parameters is proposed,and the estimation codes are written.The simulation results show that given N(T),as T(N)increases,the deviations between the estimated value and the true value gradually decrease,and the standard errors of the parameter estimators gradually decrease too,and they all approach 0.Under the setting of random type factor,the correlation coefficients of the estimated value and the true value of the common factors and factor loadings are mostly above 0.95.Under the setting of periodic type factor,the correlation coefficients of the estimated value and the true value of the common factors and factor loadings are mostly above 0.85.Under the setting of threshold type factor,no matter whether it is the common factors or factor loadings,the correlations are weaker than those of the random type and the periodic type,and the correlation coefficients are between 0.6~0.9.