Econometrics of Dynamic Index-Threshold Models

动态指数阈值模型的计量经济学

• 批准号: 9709508
• 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: 1997
• 资助国家: 美国
• 起止时间: 1997-11-01 至 1998-08-27
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9709508&HistoricalAwards=false
• 关键词: Econometrics; Dynamic; Index; Threshold; Models

9709508 Bai This research develops the econometric theory for a class of nonlinear dynamic models, referred to as dynamic index-threshold models. These models describe multiple regimes in which regime switching is governed by an unobservable index. The index itself is a linear combination of a number of observable variables with unknown index coefficients. This research addresses the following issues pertaining to the dynamic-index threshold models: 1. Determining the probability structure of the dynamic index-threshold model, such as its stationarity and ergodicity; 2. Determining the statistical properties of the estimators, such as consistency, rate of convergence, and limiting distributions; 3. Testing the hypothesis of stationarity against dynamic index-threshold autoregression; and 4. Solving the computational problems for the dynamic index-threshold models. No general econometric theory has yet been developed for dynamic index-threshold models despite their usefulness for demand analysis when consumers face a kinked budget set resulting from, say, welfare programs, taxation and block-pricing schemes.

小行星9709508 本研究发展了一类非线性动态模型的计量经济学理论，称为动态指数阈值模型。 这些模型描述了多个制度，其中制度切换是由一个不可观察的指数。 该指数本身是一个线性组合的一些可观察的变量与未知的指数系数。 本研究针对动态指标门槛模型的下列问题进行探讨：1。确定动态指标阈值模型的概率结构，如平稳性和遍历性; 2.确定估计量的统计性质，如一致性，收敛速度和极限分布; 3.针对动态指数阈值自回归检验平稳性假设; 4.解决动态指数门限模型的计算问题。 动态指数阈值模型虽然在消费者面临由福利计划、税收和大宗定价计划等因素导致的扭曲预算时，对需求分析很有用，但目前还没有通用的计量经济学理论来研究动态指数阈值模型。