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关键词： 经济研究   美国经济评论   计量经济学  

摘要： 经济学的数学化和定量化是经济学迅速科学化的重要标志。二十多年来,数量经济学作为中国经济学科的一个分支,得到了迅速的发展。而数量经济学作为经济学中一个二级学科,下面又包括计量经济学、数理经济学和数量经济学其它学科共3个三级学科。本文正是以计量经济学这个关键的分支学科的应用为着眼点,分析和总结计量经济学在中国的发展史、现状和启示。 本文对《经济研究》和《美国经济评论》20余年发表的计量经济学理论与应用研究的论文进行了多方面的统计分析,刻画了计量经济学论文在所有文章中的比重、计量论文的研究领域分布和变化趋势、计量论文的应用模型分布和变化趋势;然后对二者进行了比较研究;最后得出了若干关于计量经济学教学与研究的重要的启示和结论。这些结果既是对中国应用计量经济学发展轨迹的一个以小见大式的反映,也是从独特视角对中国计量经济学应用的历史进程和发展现状的一个描述。

ISBN: (纸本)7810983849

摘要： Over the last two decades, econometric models characterized in terms of moment restrictions have gained a prominent role in economics. Moment conditions arise naturally in economic models of optimizing behavior where the Euler equation from the optimal control problem implies restrictions on the correlations between economic quantities. Generalized Method of Moments (GMM) is one of the most popular techniques for estimating and conducting inference on models that are specified through restrictions on the moments of economic variables. This work extends the literature on alternative on GMM. The first chapter is dedicated to the introduction of GMM methods. Chapter 2 presents a generalization of Empirical Likelihood. In the same chapter it is proved that the alternatives to EL may be preferable because they provide estimator that are third order efficient and yet have bounded influence function. Using this generalization a rich framework for inference is laid out in Chapter 3. Test statistics can be constructed for testing hypotheses on the parameters or on the specification of the model. The statistics can be based on the estimates of the parameter vector, on the Lagrange multipliers or on the weights of the MD problem. A small Monte Carlo experiment shows that test statistics based on the Lagrange multiplier of a MD problem defined in terms of divergences that deliver estimators with bounded influence function performs well in terms of both size and power. The last chapter of the dissertation deals with the possibility of carrying Bayesian inference when the only available information is given by restrictions on the moments. Two are the main findings of Chapter 4. First, it is shown that—by using a Bayesian procedure that puts priors on the space of distributions—posterior can be obtained that are related to the MD methods discussed in Chapter 2. Second, the validity of the MD posteriors and the posterior that uses the GMM objective function as likelihood is discuss

关键词： 负荷预测   ARMA   ARCH   波动集聚   逆杠杆效应   伪回归   协整理论   ECM   VAR   VEC  

摘要： 电力负荷预测对电力系统的经济、安全运行有着重要的意义。随着电力行业逐渐走向市场,人们对负荷预测的精度越来越关注。负荷预测领域涌现出了一大批很有效的预测模型,但同时也存在着诸如实际应用中不能满足经典模型的前提假设,模型参数物理意义不明确等一些问题。 本文使用了非经典计量经济学的一些思路方法,试图为建立具有更实际的假设前提和更强的解释能力的负荷预测模型做一些探索。 本文主要工作如下: 1.分析了负荷预测研究的现状和存在的问题。 2.对非经典计量经济学中的条件异方差模型和协整理论作了较为完整的综述。 3.为用电量,GDP两变量系统建立了动态经济学模型,并运用协整理论研究了季度用电量与季度GDP之间的协整关系。 4.为用电量,GDP两变量系统建立了向量误差纠正模型,并分析了模型长期均衡,短期波动的误差纠正机制。 5.用负荷分解的方法建立了日用电量序列的时间序列模型,分析了日用电量序列的波动集群效应,建立了广义条件异方差模型。 6.利用ARCH族模型的扩展形式,对电力负荷时间序列的二阶矩进行了多角度(二阶矩对一阶矩的影响,逆杠杆效应,长期短期波动联合建模)的实证研究。 7.研究了不同时间尺度下的用电量时间序列波动集群效应,并作了条件异方差效应的强弱程度比较。

关键词： 学术会议   公司治理改革   上海交通大学安泰管理学院   计量经济学   经济计量学   数量经济学   武汉大学社会保障研究中心  

关键词： Economics  

摘要： This dissertation consists of three separate essays on the empirics of social interactions or social externalities. Chapter 1, ‘Identifying social interactions through excess variance contrasts’, outlines a new method for detecting and assessing the strength of social interactions based on contrasts in excess variance across social groups of exogenously differing sizes. An attractive feature of the approach is its robustness to the presence of group-level heterogeneity and sorting. The proposed estimation strategy is used to test for the presence of peer effects in learning using data from the Project STAR experiment. Generalized method-of-moments provides a unified framework for estimation and inference. Chapter 2, ‘Small sample properties of GMM and GEL estimation and inference procedures for social interactions models’, studies the small sample properties of generalized method-of-moments (GMM) and generalized empirical likelihood (GEL) estimators and testing procedures. For linear IV-type models both two-step GMM and GEL achieve first order efficiency by replacing an infeasible optimal instrumental variable with a consistent estimate. GEL, unlike two-step GMM, uses a semiparametrically efficient estimate of this optimal instrument. As a result the first order conditions for GEL are asymptotically mean zero, while those for two-step GMM are not. Many discrepancies in the small sample performance of the two estimators and their associated inference procedures are attributable to this difference. The paper uses the social interactions model of Chapter 1 as an organizing example. Chapter 3, ‘Rich nations, poor nations: how much can multiple equilibria explain?’ (coauthored with Jonathon Temple), examines social externalities at the macroeconomic level. The chapter asks whether the income gap between rich and poor nations can be explained by multiple equilibria. It explores the quantitative implications of a simple two sector general equilibrium model that gives rise

关键词： 计量经济学  

ISBN: (数字)7030157354 ISBN: (纸本)7030157354

摘要： 本书侧重介绍计量经济学的理论基础和数学原理，提供分析工具。书中有详细的数学推导，配有70多个计量经济学算例，并收入了作者在数学模型和算法方面的多项研究成果。

关键词： 计量经济学  

ISBN: (纸本)7030160657

关键词： 计量经济学-汉、英  

摘要： 本书的核心是经济学各个领域内能够运用计量经济学方法和模型问答的实际问题。重点讨论了计量经济学中少数几种核心的、广为应用的方法。