GMM Estimation of Multiple Sturctural Changes

多重结构变化的 GMM 估计

• 批准号: 9414083
• 负责人: Jushan Bai
• 金额: --
• 依托单位: Massachusetts Institute of Technology
• 依托单位国家: 美国
• 项目类别: Continuing grant
• 财政年份: 1994
• 资助国家: 美国
• 起止时间: 1994-08-15 至 1996-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9414083&HistoricalAwards=false
• 关键词: GMM; Estimation; Multiple; Sturctural; Changes

9414083 Bai This project develops a new and unified econometric theory for the testing and estimation of multiple structural changes in a variety of econometric models where changes in the parameters of the model occur at unknown times. Recent developments in economic theory as well as in empirical applications have shown the need for an econometric theory of multiple structural changes. Although the case of a single structural change has received considerable attention, research on the subject of multiple structural changes is scant. The goal of this research is to develop on a coherent basis the econometric theory of multiple structural changes by extending previous work of the principle investigator in this area. This project answers a number of questions pertaining to multiple structural changes. Among the issues addressed are: 1) Determination of the changes of regimes (periods during which the parameters of a model do not change) in a given data set; 2) Testing the hypothesis of no structural shift versus that of multiple structural shifts, And, more generally, testing k shifts versus k+l shifts; 3) Determination of critical values and construction of standard reference tables; 4) Estimation of models with multiple structural changes and determination of the criteria for estimating the shift points; 5) Solving the computational problem for multiple-shift estimation; and 6) Deriving the statistical properties of the resulting estimators and the estimated shift points.

9414083白本项目开发了一种新的和统一的计量经济学理论，用于测试和估计各种计量经济学模型中的多个结构变化，其中模型参数的变化发生在未知时间。 经济理论和实证应用的最新发展表明，需要一种多重结构变化的计量经济学理论。 虽然单一结构变化的情况受到了相当大的关注，但对多重结构变化的研究却很少。 本研究的目标是通过扩展该领域主要研究者以前的工作，在连贯的基础上发展多重结构变化的计量经济学理论。 该项目回答了与多种结构变化有关的一些问题。 所处理的问题包括： 确定制度的变化（ 模型的参数不改变）在给定的 数据集; 检验无结构性转变与 多个结构变化，更一般地，测试k 移位与k+l移位; 3） 临界值的确定和 标准参考表; 4） 具有多个结构变化的模型的估计 确定估计偏移的标准 （5） 解决多移位的计算问题 估计;和6） 导出结果的统计特性 估计器和估计的移位点。