Lag Augmentation in Dynamic Econometric Models

动态计量经济模型中的滞后增强

• 批准号: 10630021
• 负责人: YAMAMOTO Taku
• 金额: $ 1.34万
• 依托单位: Hitotsubashi University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1998
• 资助国家: 日本
• 起止时间: 1998 至 1999
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-10630021/
• 关键词: Econometric models; Hypothesis test; Wald test; Lag augmentation; Variable lag; Time series model; VAR models; Monte Carlo experiments; 非定常時系列分析; ワルド検定; ベクトル自己回帰モデル; 小標本特性

It has been widely known that the Wald test statistic for parameters in a dynamic model with non-stationary regressors occasionally has a non-standard asymptotic distribution. To cope with this difficulty, the lag augmentation (LA) approach has been proposed for estimating a dynamic model. It is known to be quite useful compared with other advanced but complicated methods, since the LA approach produces the Wald statistic with asymptotically chi-square distribution.In 1998, we showed that the LA approach is applicable to usual dynamic regression models, although the method was originally developed solely for vector autoregressive (VAR) models. Further, we found that the Wald test statistic tends to have higher power with a lagged variable of a longer lag length rather than that of one lag. In 1999, based upon the comprehensive experiments, we have proposed the criteria for selecting a suitable lag length, which is based upon a generalized variance of an estimated variance-covariance matrix of coefficient parameters. Further, we have generalized the application of the LA approach to simultaneous equation systems where regressors and error terms are correlated. Thus, it has been shown that the LA is applicable in conjunction with the instrumental variable (IV) method. The Monte Carlo experiment has revealed the effectiveness of approaches proposed in the present research.

众所周知，在具有非平稳回归器的动态模型中，WALD测试统计量有时具有非标准的渐近分布。为了应对这一难度，已经提出了用于估计动态模型的滞后增强（LA）方法。与其他高级但复杂的方法相比，它非常有用，因为LA方法可以用渐近的卡方分布产生WALD统计量。在1998年，我们表明，LA方法适用于通常的动态回归模型，尽管该方法最初是针对矢量自动性（VAR）模型而开发的。此外，我们发现WALD测试统计量倾向于具有更高的功率，而滞后变量的滞后长度较长，而不是一个滞后。在1999年，基于全面的实验，我们提出了选择合适的滞后长度的标准，该标准基于系数参数的估计方差互动矩阵的广义方差。此外，我们已经概括了LA方法在同时方程式系统中的应用，在该方程式系统中，回归器和误差项相关。因此，已经表明，LA与仪器变量（IV）方法相结合。蒙特卡洛实验揭示了本研究提出的方法的有效性。

项目成果

Eiji Kurozumi and Taku Yamamoto: "Modified Lag Augmented Autoregressions"Econometric Reviews. (印刷中). (2000)

Eiji Kurozumi 和 Taku Yamamoto：“修正滞后增强自回归”计量经济学评论（2000 年）。

Yoichi Arai and Taku Yamamoto: "Alternative Representation for Asymptotic Distributions of Impulse Responses in Cointegrated VAR Systems"Economics Letters. (forthcoming).

Yoichi Arai 和 Taku Yamamoto：“协整 VAR 系统中脉冲响应渐近分布的替代表示”经济学快报。

Eiji Kurozumi and Taku Yamamoto: "Modified Log Augmented Vector Autoregressions"Econometric Reviews. (印刷中). (2000)

Eiji Kurozumi 和 Taku Yamamoto：“改进的对数增强向量自回归”计量经济学评论（2000 年）。

Yoichi Arai and Taku Yamamoto: "Alternative Representation for Asymptotic Distributions Impulse Responses in Cointegrated VAR Systems"Economics Letters. (印刷中). (2000)

Yoichi Arai 和 Taku Yamamoto：“协整 VAR 系统中渐近分布脉冲响应的替代表示”经济学快报（2000 年出版）。

Eiji Kurozumi and Taku Yamamoto: "Modified Lag Augmented Vector Auto-regressions"Econometric Reviews. (forthcoming).

Eiji Kurozumi 和 Taku Yamamoto：“修正滞后增强向量自回归”计量经济学评论。