頁籤選單縮合
題 名 | Use of Linear Transfer Function Analysis in Econometric Time Series Modelling |
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作 者 | Liu,Lon-mu; | 書刊名 | Statistica Sinica |
卷 期 | 1:2 1991.07[民80.07] |
頁 次 | 頁503-525 |
分類號 | 550.19 |
關鍵詞 | 計量經濟學; 時間序列; 線性轉換函數; Econometric models; Reduced form models; Structural form models; Simultaneous transfer function models; Linear transfer function models; Serial correlations; Consistent estimates; LTF analysis; |
語 文 | 英文(English) |
英文摘要 | In the application of large scale econometric models for forecasting, the single-equation ordinary least squares (OLS) method is often used to estimate parameters in each model equation. This paper investigates the properties of the parameter estimates under single-equation estimation methods. Since the disturbance of a time series regression model is seldom a white noise process, it is found that bias is almost inevitable as long as contemporaneous endogenous variables are present in a model equation. This paper proposes a model identification method based on reduced form linear transfer function (LTF) models that can avoid or reduce bias of transfer function weight estimates under rather practical assumptions. It is found that forecasts can be greatly improved if appropriate models are identified and employed. |
本系統中英文摘要資訊取自各篇刊載內容。