當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件

當(dāng)代計(jì)量經(jīng)濟(jì)模型體系南開大學(xué)數(shù)量經(jīng)濟(jì)研究所當(dāng)代計(jì)量經(jīng)濟(jì)模型體系1線性、可線性化的非線性、非線性回歸模型單方程回歸模型分位數(shù)回歸模型離散因變量(二元、多元、計(jì)數(shù))棋型LDV(受限因變量)模型(刪失、斷尾模型)聯(lián)立方程模型(結(jié)構(gòu)、化型、遞歸模型)當(dāng)代計(jì)量經(jīng)濟(jì)模型體系多方程回歸模型PANEL(面板數(shù)據(jù))模型、狀態(tài)空間模型VAR、VEC(向量自回歸、誤差修正)模型ARIMA(時(shí)間序列)模型組合模型序列模線性時(shí)間序列SARIMA(季節(jié)時(shí)間序列)模型時(shí)間序列的成分分解模型季節(jié)詞整GAR(廣義自回歸)、BL(雙線性)模型非線性時(shí)間序列TAR、STAR(門限自回歸、平滑轉(zhuǎn)移)模型ARCH、GARCH(自回歸條件異方差)模型二階矩模型sv(隨機(jī)波動(dòng))模型列模型久期模型CD、SCD(連機(jī)條件久期)模型向量ARIMA單位根檢驗(yàn)蒙特卡羅棋擬技術(shù)線性、可線性化的非線性、非線性回歸模型2當(dāng)代計(jì)量經(jīng)濟(jì)模型體系(按因變量特征分類):1.經(jīng)典回歸模型(因變量為連續(xù)變量)2.離散因變量模型(因變量為離散變量)3.受限因變量模型(因變量有觀測缺失)4.分位數(shù)回歸模型(因變量分布的不同分位點(diǎn))5.聯(lián)立方程模型、向量時(shí)間序列模型(多個(gè)因變量)6.線性、非線性時(shí)間序列模型(分析自身變化規(guī)律)7.面板數(shù)據(jù)模型、狀態(tài)空間模型(兼有時(shí)間、截面兩個(gè)特征)8.二階矩模型與持續(xù)期模型(分析序列的方差,持續(xù)時(shí)間間隔)9.時(shí)間序列的成分分解、季節(jié)調(diào)整(拆分因變量成分)當(dāng)代計(jì)量經(jīng)濟(jì)模型體系(按因變量特征分類):3當(dāng)代計(jì)量經(jīng)濟(jì)模型體系(按熟悉程度介紹)1.單方程回歸模型(線性的、可線性化的、非線性的)2.聯(lián)立方程模型(結(jié)構(gòu)型、簡化型、遞歸型)3.ARIMA模型、SARIMA模型、回歸與ARIMA組合(RegARIMA)模型4.面板數(shù)據(jù)模型、狀態(tài)空間模型5.分位數(shù)回歸模型(中位數(shù)、一般分位數(shù)回歸模型)6.離散因變量模型(線性概率、Probit、logit、Tobit、有序因變量、計(jì)數(shù)7.受限因變量模型(刪失(censored)、斷尾(truncated)模型)8.非線性時(shí)間序列模型(廣義自回歸、門限自回歸、平滑轉(zhuǎn)移模型等)9.二階矩模型(ARCH、GARCH、隨機(jī)波動(dòng)模型)與持續(xù)期模型10.向量ARIMA模型、向量自回歸模型與向量誤差修正模型11.時(shí)間序列的成分分解模型12.時(shí)間序列的季節(jié)調(diào)整:X13AS、NBS-SA、TRAMO/SEATS單位根檢驗(yàn)●蒙特卡羅模擬與編程當(dāng)代計(jì)量經(jīng)濟(jì)模型體系(按熟悉程度介紹)41.單方程回歸模型(1)一元、多元線性回歸模型中國能源消費(fèi)(萬噸標(biāo)準(zhǔn)煤)(2)一元、多元可線性化的非線性回歸模型與GDP(萬億元)關(guān)系研究(1980~2019)(3)非線性回歸模型假定條件:誤差項(xiàng)服從正態(tài)分布,不存在自相關(guān)、異方差,解釋變量間不存在多重共線性估計(jì)方法:OIS法、GS法、可使用虛擬變量:季度的、月度的、不同時(shí)期的。so(198c0075,000Time:00-359802019CoefficientStdErrort-StatisticProb00531230.00320.999174oglkelihood83.14408F5081209Durbin-Watsonstat2.107968Prob(F-statistic)20,00a1.單方程回歸模型52.聯(lián)立方程模型(1)結(jié)構(gòu)模型,(2)簡化型模型,(3)遞歸模型假定條件:誤差項(xiàng)不存在自相關(guān)、異方差、互相關(guān)。估計(jì)方法:2SIS法、3SIS法、ⅡS法、有限信息極大似然估計(jì)法、無限信息極大似然估計(jì)法、格世界置易量生產(chǎn)法GDP貨幣世回融支出法cD資本形成2019年度中國宏觀經(jīng)濟(jì)計(jì)量模型框圖(中國社會(huì)科學(xué)院數(shù)技經(jīng)研究所)2.聯(lián)立方程模型63.ARIMA模型、SARIMA模型、組合模型建立ARIMA、SARIMA模型流程圖O,(L)Ap(L)4'4yI=O,()Bo(L)v,識(shí)別用相關(guān)圖和偏相關(guān)圖識(shí)別模型形式(確定參數(shù)D,PQ,d,p,q)2.估計(jì)對(duì)初步選取的模型進(jìn)行參數(shù)估計(jì)GeorgeBox3.診斷與檢驗(yàn)包括參數(shù)的顯著性檢驗(yàn)和殘差的隨機(jī)性檢驗(yàn)?zāi)Ｐ涂扇岵豢扇】扇〉箦\寰(G.C.Tao)3.ARIMA模型、SARIMA模型、組合模型7分析時(shí)間序列的兩個(gè)基本手段:(1)自相關(guān)和偏自相關(guān)函數(shù),(2)譜圖ORaC時(shí)間序列的相關(guān)圖和偏相關(guān)圖SpectrumofdiffereneeofadjustedseriesSpectrum時(shí)間序列的譜圖分析時(shí)間序列的兩個(gè)基本手段:(1)自相關(guān)和偏自相關(guān)函數(shù),(28(1)案例:SARIMA模型(北京市社會(huì)商品零售額月度數(shù)據(jù)建模,1978:1~1989:12)7808188888888388g888888月度數(shù)據(jù)(y,單位:億元)曲線圖對(duì)數(shù)的月度數(shù)據(jù)(Lmy)曲線圖(1)案例:SARIMA模型(北京市社會(huì)商品零售額月度9山回F旦二回口出上旦多月別只只胃污只男男§T=二::可AA2Lny的相關(guān)圖(下)和偏相關(guān)圖(上)山回F旦二回口出上旦多月別只只胃污只男男10當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件11當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件12當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件13當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件14當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件15當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件16當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件17當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件18當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件19當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件20當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件21當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件22當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件23當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件24當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件25當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件26當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件27當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件28當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件29當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件30當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件31當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件32當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件33當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件34當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件35當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件36當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件37當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件38當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件39當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件40當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件41當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件42當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件43當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件44當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件45當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件46當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件47當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件48當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件49當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件50當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件51當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件52當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件53當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件54當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件55當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件56當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件57當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件58當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件59當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件60當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件61當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件62當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件63當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件64當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件65當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件66當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件67當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件68當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件69當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件70當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件71當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件72當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件73當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件74當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件75當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件76當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件77當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件78當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件79當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件80當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件81當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件82當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件83當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件84當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件85當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件86當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件87當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件88當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件89當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件90當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件91當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件92當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件93當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件94當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件95當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件96當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件97當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件98當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件99當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件100當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件101當(dāng)代計(jì)量經(jīng)濟(jì)模型體系南開大學(xué)數(shù)量經(jīng)濟(jì)研究所當(dāng)代計(jì)量經(jīng)濟(jì)模型體系102線性、可線性化的非線性、非線性回歸模型單方程回歸模型分位數(shù)回歸模型離散因變量(二元、多元、計(jì)數(shù))棋型LDV(受限因變量)模型(刪失、斷尾模型)聯(lián)立方程模型(結(jié)構(gòu)、化型、遞歸模型)當(dāng)代計(jì)量經(jīng)濟(jì)模型體系多方程回歸模型PANEL(面板數(shù)據(jù))模型、狀態(tài)空間模型VAR、VEC(向量自回歸、誤差修正)模型ARIMA(時(shí)間序列)模型組合模型序列模線性時(shí)間序列SARIMA(季節(jié)時(shí)間序列)模型時(shí)間序列的成分分解模型季節(jié)詞整GAR(廣義自回歸)、BL(雙線性)模型非線性時(shí)間序列TAR、STAR(門限自回歸、平滑轉(zhuǎn)移)模型ARCH、GARCH(自回歸條件異方差)模型二階矩模型sv(隨機(jī)波動(dòng))模型列模型久期模型CD、SCD(連機(jī)條件久期)模型向量ARIMA單位根檢驗(yàn)蒙特卡羅棋擬技術(shù)線性、可線性化的非線性、非線性回歸模型103當(dāng)代計(jì)量經(jīng)濟(jì)模型體系(按因變量特征分類):1.經(jīng)典回歸模型(因變量為連續(xù)變量)2.離散因變量模型(因變量為離散變量)3.受限因變量模型(因變量有觀測缺失)4.分位數(shù)回歸模型(因變量分布的不同分位點(diǎn))5.聯(lián)立方程模型、向量時(shí)間序列模型(多個(gè)因變量)6.線性、非線性時(shí)間序列模型(分析自身變化規(guī)律)7.面板數(shù)據(jù)模型、狀態(tài)空間模型(兼有時(shí)間、截面兩個(gè)特征)8.二階矩模型與持續(xù)期模型(分析序列的方差,持續(xù)時(shí)間間隔)9.時(shí)間序列的成分分解、季節(jié)調(diào)整(拆分因變量成分)當(dāng)代計(jì)量經(jīng)濟(jì)模型體系(按因變量特征分類):104當(dāng)代計(jì)量經(jīng)濟(jì)模型體系(按熟悉程度介紹)1.單方程回歸模型(線性的、可線性化的、非線性的)2.聯(lián)立方程模型(結(jié)構(gòu)型、簡化型、遞歸型)3.ARIMA模型、SARIMA模型、回歸與ARIMA組合(RegARIMA)模型4.面板數(shù)據(jù)模型、狀態(tài)空間模型5.分位數(shù)回歸模型(中位數(shù)、一般分位數(shù)回歸模型)6.離散因變量模型(線性概率、Probit、logit、Tobit、有序因變量、計(jì)數(shù)7.受限因變量模型(刪失(censored)、斷尾(truncated)模型)8.非線性時(shí)間序列模型(廣義自回歸、門限自回歸、平滑轉(zhuǎn)移模型等)9.二階矩模型(ARCH、GARCH、隨機(jī)波動(dòng)模型)與持續(xù)期模型10.向量ARIMA模型、向量自回歸模型與向量誤差修正模型11.時(shí)間序列的成分分解模型12.時(shí)間序列的季節(jié)調(diào)整:X13AS、NBS-SA、TRAMO/SEATS單位根檢驗(yàn)●蒙特卡羅模擬與編程當(dāng)代計(jì)量經(jīng)濟(jì)模型體系(按熟悉程度介紹)1051.單方程回歸模型(1)一元、多元線性回歸模型中國能源消費(fèi)(萬噸標(biāo)準(zhǔn)煤)(2)一元、多元可線性化的非線性回歸模型與GDP(萬億元)關(guān)系研究(1980~2019)(3)非線性回歸模型假定條件:誤差項(xiàng)服從正態(tài)分布,不存在自相關(guān)、異方差,解釋變量間不存在多重共線性估計(jì)方法:OIS法、GS法、可使用虛擬變量:季度的、月度的、不同時(shí)期的。so(198c0075,000Time:00-359802019CoefficientStdErrort-StatisticProb00531230.00320.999174oglkelihood83.14408F5081209Durbin-Watsonstat2.107968Prob(F-statistic)20,00a1.單方程回歸模型1062.聯(lián)立方程模型(1)結(jié)構(gòu)模型,(2)簡化型模型,(3)遞歸模型假定條件:誤差項(xiàng)不存在自相關(guān)、異方差、互相關(guān)。估計(jì)方法:2SIS法、3SIS法、ⅡS法、有限信息極大似然估計(jì)法、無限信息極大似然估計(jì)法、格世界置易量生產(chǎn)法GDP貨幣世回融支出法cD資本形成2019年度中國宏觀經(jīng)濟(jì)計(jì)量模型框圖(中國社會(huì)科學(xué)院數(shù)技經(jīng)研究所)2.聯(lián)立方程模型1073.ARIMA模型、SARIMA模型、組合模型建立ARIMA、SARIMA模型流程圖O,(L)Ap(L)4'4yI=O,()Bo(L)v,識(shí)別用相關(guān)圖和偏相關(guān)圖識(shí)別模型形式(確定參數(shù)D,PQ,d,p,q)2.估計(jì)對(duì)初步選取的模型進(jìn)行參數(shù)估計(jì)GeorgeBox3.診斷與檢驗(yàn)包括參數(shù)的顯著性檢驗(yàn)和殘差的隨機(jī)性檢驗(yàn)?zāi)Ｐ涂扇岵豢扇】扇〉箦\寰(G.C.Tao)3.ARIMA模型、SARIMA模型、組合模型108分析時(shí)間序列的兩個(gè)基本手段:(1)自相關(guān)和偏自相關(guān)函數(shù),(2)譜圖ORaC時(shí)間序列的相關(guān)圖和偏相關(guān)圖SpectrumofdiffereneeofadjustedseriesSpectrum時(shí)間序列的譜圖分析時(shí)間序列的兩個(gè)基本手段:(1)自相關(guān)和偏自相關(guān)函數(shù),(2109(1)案例:SARIMA模型(北京市社會(huì)商品零售額月度數(shù)據(jù)建模,1978:1~1989:12)7808188888888388g888888月度數(shù)據(jù)(y,單位:億元)曲線圖對(duì)數(shù)的月度數(shù)據(jù)(Lmy)曲線圖(1)案例:SARIMA模型(北京市社會(huì)商品零售額月度110山回F旦二回口出上旦多月別只只胃污只男男§T=二::可AA2Lny的相關(guān)圖(下)和偏相關(guān)圖(上)山回F旦二回口出上旦多月別只只胃污只男男111當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件112當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件113當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件114當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件115當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件116當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件117當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件118當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件119當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件120當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件121當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件122當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件123當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件124當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件125當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件126當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件127當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件128當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件129當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件130當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件131當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件132當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件133當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件134當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件135當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件136當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件137當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件138當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件139當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件140當(dāng)代計(jì)量經(jīng)濟(jì)模型體系課件141當(dāng)代計(jì)量經(jīn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