The Economic Analysis of Systems Subject to Changes in Regime

受政权变化影响的系统的经济分析

• 批准号: 8720731
• 负责人: James Hamilton
• 金额: $ 5.09万
• 依托单位: University of Virginia Main Campus
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1988
• 资助国家: 美国
• 起止时间: 1988-03-15 至 1991-02-28
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=8720731&HistoricalAwards=false
• 关键词: Economic; Analysis; Systems; Subject; Changes

The purpose of this research is to explore a new approach to the economic analysis of nonstationary time series data. Most currently available model specifications assume that optimal forecasts of economic events are linear functions of past observations. By contrast, the model developed in this project is nonlinear in the data. The nonlinearity arises from the hypothesis that the process governing important economic variables are occasionally subject to discrete, dramatic changes in regime. Despite its nonlinear nature, the model is shown to be completely tractable for many theoretical and empirical rational-expectations applications. This research is important because the new model holds promise for a number of interesting applications, among them; (a) an alternative approach to characterizing the business cycle, which may enable us to better forecast business fluctuations; (b) a more flexible tool for analyzing financial data, for example in trying to identify and understand the dramatic fluctuations in the stock market; (c) a better approach for analyzing the effects of dramatic shifts in public policy within a rigorous econometric framework.

本研究的目的是探索一种新的方法， 非平稳时间序列数据的经济分析 大多数当前 现有的模型规格假设， 经济事件是过去观察的线性函数。 通过 相比之下，本项目开发的模型在数据方面是非线性的。 非线性来自于一个假设，即控制过程 重要的经济变量有时会受到离散的， 政权的急剧变化。 尽管其非线性性质，该模型是 对于许多理论和经验来说， 理性预期的应用 这项研究很重要，因为新模型有望实现 一些有趣的应用程序，其中; (a)另一种描述商业周期的方法， 使我们能够更好地预测业务波动; (b)更灵活的财务数据分析工具，例如， 试图识别和理解 股票市场; (c)一个更好的方法来分析戏剧性的变化的影响， 在严格的计量经济学框架内制定公共政策。