Динамические эконометрические модели
1.Модели с распределенным лагом
yt 0 xt 1xt 1 ... p xt p t |
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2.Авторегрессионные модели
yt xt 1 yt 1 ... q yt q t 2
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yˆt 0.67 4.5xt 3xt 1 1.5xt 2 0.5xt 3
1 2 3 4 4.5 3 1.5 0.5 9.5
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l 0 0.474 1 0.316 2 0.158 3 0.053 0.791(мес)
Модели с распределенным лагом
x0* xt , x1* xt 1, ..., x*p xt p
yt 0 x0* ... p x*p t
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в) |
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Лаги Алмон
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yt c0 xt j c1 |
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с2 j2 xt j ... ck jk xt j t |
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yt c0 z0 ... ck zk |
6 |
Метод Койка
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yt 1 0 xt 1 yt 1 t |
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yt 1 0 xt 1 yt 1 ut |
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8
9
Авторегрессионные модели
Модель адаптивных ожиданий
xte 1 xte xt xte |
0 1 |
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x (1 )xe |
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0 : xte 1 xte
1: xte 1 xt
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a bxe |
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(13) |
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yt a b xt 1 xte t |
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a b x |
b 1 xe |
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xe x |
1 xe |
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yt a b xt b 1 xt 1 b 1 2 xte 1 t
y a b x b 1 x |
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b 1 s 1 x |
b 1 s xe |
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(15) |
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yˆt 101 0,6xt 0,45xt 1 0,2xt 2 (16)
b 0,6; |
b 1 0,45; |
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b 2,4; |
0,25 |
yt a bzt t |
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1 3 x |
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yt y, |
xt xt 1 xt 2 x |
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y a b x b 1 x b 1 2 xa bx 1 1 2
y a bx (19)
y |
a bxe |
t 1 |
(20) |
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bxte yt 1 a t 1
yt a b xt 1 yt 1 a t 1 t
a 1 yt 1 b xt t 1 t 1 (21)
y a 1 y b x
y a bx (22)
yˆt 1 a 1 yt b xt 1 (23)
C P bY P |
(24) |
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C C P |
CT |
(25) |
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Y Y P Y T |
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(26) |
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C bY P CT |
(27) |
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YtP YtP1 |
Yt YtP1 (28) |
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Y P Y |
1 Y P |
(29) |
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Y P Y |
1 Y |
1 2Y P |
(30) |
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Y P Y |
1 Y |
1 2Y |
(31) |
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C b Y |
b 1 Y |
b 1 2Y |
CT |
(32) |
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C b Y |
1 C |
CT 1 CT |
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