几何分布滞后模型的估计及在动态市场中的应用

先以动态市场反应模型中的销售滞后模型为例,引出几何分布滞后模型,再运用Koyck变换将几何分布滞后模型转换成有限的一阶自回归模型进行估计.针对由Koyck变换而引出的两个新问题：随机误差项的自相关,以及随机误差项与解释变量之间的相关,进行了深入的讨论和研究.特别是,针对这两个问题同时出现的情形,给出了将工具变量法和广义差分法相结合的估计方法.在此基础上进行了实证研究,验证了我国近几年的通货紧缩对经济的影响,结果表明只能算是较温和的紧缩效应.

Estimation of geometrically distributed lag model and its application in dynamic market

The management science and engineering was introduced by the use of an example of dynamic market reaction model.That model could be estimated through the transformation of the limited first-order auto-regression model into the model.According to the autocorrelations of residual error and the correlations between residual error and explanatory variable to the models estimation,these estimation questions were deeply discussed.Especially,owing to the simultaneity of the two problems,a particular estimation method was given by the combination of the method of instrument list with the method of generalized difference.With the methods mentioned above,the effect of the deflation influencing on our economy recently was validated.The result showed that this influence is gentle.