文档介绍：Chapter 9 单方程估计中的高级问题
Lagged Variable models
A general lagged variable model :
: 滞后时期数
1) 如, 称为分布滞后模型
(1) 又如有限, 称为有限分布滞后模型
(2) 又如无限, 称为无限分布滞后模型
2)如,称为自回归模型。
几何滞后模型(无限分布滞后模型的特况):
The long-run response:
The mean lag:
分布滞后模型的参数估计
设有限分布滞后模型为:
Almon polynomial distributed lag
method
Assumption:
将此代入模型方程并整理后可得
Example
If , then
A case study:Y---库存量,X---销售额(lag=3)
PDL expression:
pdl(series_name,lags,order,options)
The constraint options are:
1 constrain the near end of the distribution to zero.
2 constrain the far end of the distribution to zero.
3 constrain both the near and far end of the distribution to zero.
By default, EViews does not constrain the endpoints of the PDL.
设无限分布滞后模型为
Koyck method:
Koyck assumption
It is easy to obtain
Adaptive expectation models
其中的预期值。
Expectation assumption:
易得
这是自回归模型。