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33向量自回归模型ppt[兼容模式].pdf

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§3.3向量自回归模型 VectorAutoregressionModels,VAR 一、向量自回归模型概述 二、向量自回归模型估计 三、格兰杰因果关系检验 四、脉冲响应分析 五、方差分解分析 六、向量误差修正模型 ThePrizeinEconomicSciences2011 •TheRoyalSwedishAcademyofScienceshas decidedtoawardtheSverigesRiksbankPrizein EconomicSciencesinMemoryofAlfredNobel for2011toThomasJ.Sargent,NewYork University,NewYork,NY,USA,and ChristopherA.Sims,PrincetonUniversity, Princeton,NJ,USA, •“fortheirempiricalresearchoncauseandeffect inthemacroeconomy” •HowareGDPandinflationaffectedbyatemporary increaseintheinterestrateorataxcut?What happensifacentralbankmakesapermanentchange initsinflationtargetoragovernmentmodifiesits objectiveforbudgetarybalance?Thisyear’s Laureatesineconomicscienceshavedeveloped methodsforansweringtheseandmanyofother questionsregardingthecausalrelationshipbetween economicpolicyanddifferentmacroeconomic variablessuchasGDP,inflation,employmentand investments. •Theseoccurrencesareusuallytwo-way relationships–policyaffectstheeconomy,but theeconomyalsoaffectspolicy.Expectations regardingthefutureareprimaryaspectsofthis interplay.Theexpectationsoftheprivatesector regardingfutureeconomicactivityandpolicy influencedecisionsaboutwages,savingand investments.Concurrently,economic-policy decisionsareinfluencedbyexpectationsabout developmentsintheprivatesector.The Laureates’methodscanbeappliedtoidentify thesecausalrelationshipsandexplaintherole ofexpectations.Thismakesitpossibleto ascertaintheeffectsofunexpectedpolicy measuresaswellassystematicpolicyshifts. •ChristopherSimshasdevelopedamethod basedonso-calledvectorautoregressionto analyzehowtheeconomyisaffectedby temporarychangesineconomicpolicyandother factors.Simsandotherresearchershave appliedthismethodtoexamine,forinstance,the effectsofanincreaseintheinterestratesetbya centralbank.Itusuallytakesoneortwoyears fortheinflationratetodecrease,whereas economicgrowthdeclinesgraduallyalreadyin theshortrunanddoesnotreverttoitsnormal developmentuntilafteracoupleofyears. 一、向量自回归模型概述 1、向量自回归模型 （VectorAuto-Regression，VAR） Ytt=