数量经济技术经济研究
數量經濟技術經濟研究
수량경제기술경제연구
The Journal of Quantitative & Technical Economics
2012年
5期
121~133
,共null页
面板数据 马尔可夫模型 EM算法 蒙特卡罗模拟
麵闆數據 馬爾可伕模型 EM算法 矇特卡囉模擬
면판수거 마이가부모형 EM산법 몽특잡라모의
Panel Data; Markov Model; EM Algorithm; Monte Carlo Simu- lation
本文提出了具有个体固定效应的面板数据马尔可夫体制转换回归模型及EM算法,并利用蒙特卡罗模拟方法讨论了EM算法的准确性。模拟分析发现,随着样本容量的增加,面板数据马尔可夫体制转换回归模型EM算法的估计准确性提高,增加面板数据的时期数更有助于改善估计效果。本文对10个OECD国家的经济周期性进行实证分析表明,经济在“衰退”和“扩张”两体制之间的转换存在显著的非对称性,并且世界经济正逐步强势复苏。
本文提齣瞭具有箇體固定效應的麵闆數據馬爾可伕體製轉換迴歸模型及EM算法,併利用矇特卡囉模擬方法討論瞭EM算法的準確性。模擬分析髮現,隨著樣本容量的增加,麵闆數據馬爾可伕體製轉換迴歸模型EM算法的估計準確性提高,增加麵闆數據的時期數更有助于改善估計效果。本文對10箇OECD國傢的經濟週期性進行實證分析錶明,經濟在“衰退”和“擴張”兩體製之間的轉換存在顯著的非對稱性,併且世界經濟正逐步彊勢複囌。
본문제출료구유개체고정효응적면판수거마이가부체제전환회귀모형급EM산법,병이용몽특잡라모의방법토론료EM산법적준학성。모의분석발현,수착양본용량적증가,면판수거마이가부체제전환회귀모형EM산법적고계준학성제고,증가면판수거적시기수경유조우개선고계효과。본문대10개OECD국가적경제주기성진행실증분석표명,경제재“쇠퇴”화“확장”량체제지간적전환존재현저적비대칭성,병차세계경제정축보강세복소。
This paper proposes a panel Markov regime switching regressive Models with individual fixed effects, PMRS models, and EM algorithm of their es- timation. We apply the Monte Carlo simulations to discuss the accuracy of the EM algorithm, The results show that, EM algorithm for PMRS models improves the accuracy of the estimates with the sample size increases, particularly to increase the number of panel period improve helpfully the effect of parameter estimations. In addition, the paper studies empirically duration of business cycles in 10 OECD countries, the results show that there is a significant asymmetry for switches be- tween the two regimes, "recession" and "expansion"; moreover, the world econo- my go really out of 2008's financial crisis and recovery gradually.