总体经济时间序列分析.doc

總體經濟時間序列分析

授課老師：林向愷

研究室：經研所316室

聯絡電話：2351-9641轉669或0952-068664

I.課程目標

本課程為總體經濟時間序列的計量分析(econometric analysis of

macroeconomic time series) 而非統計分析。本課程著重時間序列模型(尤其是向量自迴歸模型) 的認定與估計。時間序列模型需要額外條件才能讓模型得以認定。第一種方法是以結構性向量自迴歸模型(structural V AR model) 為架構，並透過額外認定條件賦予干擾項經濟意義。這種方法主要係藉由經濟理論對干擾項變異數，共變異數矩陣中待定係數找出認定所需的額外條件。由於額外條件僅讓結構性向量自迴歸模型足以認定(just identified)，故有無法利用統計檢定方法檢驗認定這些條件是否成立缺點。第二種方法則是利用完整設定的經濟模型以及理性預期假設說導出對模型待估的結構性參數(structural parameters) 的跨式限制條件(cross-equation restrictions)。

介紹不同類型認定條件後，本課程亦將介紹如何估計結構性時間序列模型以及檢定不同型式的限制條件。

I I.課程內容

1.結構性向量自迴歸模型

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