统计研究
統計研究
통계연구
Statistical Research
2014年
5期
95~101
,共null页
Phillips曲线 分位数回归 参数异质 非线性 非对称
Phillips麯線 分位數迴歸 參數異質 非線性 非對稱
Phillips곡선 분위수회귀 삼수이질 비선성 비대칭
Phillips Curve; Quantile Regression; Heterogeneous Parameter; Nonlinearity; Asymmetry
本文基于分位数回归理论与非线性回归方法，提出一个包容性较强的模型：非线性参数异质Phillips曲线模型，并给出估计、检验与条件密度预测方法。该模型不仅可用于刻画Phillips曲线的非线性与非对称等典型特征，而且还可以揭示在不同经济环境下通货膨胀的完整分布变动规律，从而能够准确掌握通货膨胀的不确定性，便于科学决策。最后，将该模型应用于中国Phillips曲线特征研究，结果显示：该模型在拟合优度、结构分析、预测能力等方面均优于其他Phillips曲线模型。
本文基于分位數迴歸理論與非線性迴歸方法，提齣一箇包容性較彊的模型：非線性參數異質Phillips麯線模型，併給齣估計、檢驗與條件密度預測方法。該模型不僅可用于刻畫Phillips麯線的非線性與非對稱等典型特徵，而且還可以揭示在不同經濟環境下通貨膨脹的完整分佈變動規律，從而能夠準確掌握通貨膨脹的不確定性，便于科學決策。最後，將該模型應用于中國Phillips麯線特徵研究，結果顯示：該模型在擬閤優度、結構分析、預測能力等方麵均優于其他Phillips麯線模型。
본문기우분위수회귀이론여비선성회귀방법，제출일개포용성교강적모형：비선성삼수이질Phillips곡선모형，병급출고계、검험여조건밀도예측방법。해모형불부가용우각화Phillips곡선적비선성여비대칭등전형특정，이차환가이게시재불동경제배경하통화팽창적완정분포변동규률，종이능구준학장악통화팽창적불학정성，편우과학결책。최후，장해모형응용우중국Phillips곡선특정연구，결과현시：해모형재의합우도、결구분석、예측능력등방면균우우기타Phillips곡선모형。
A new model with strong inclusive, named Nonlinear Heterogeneous Parameters Phillips Curve that is proposed in this paper based on quantile regression theory and nonlinear regression method. Furthermore, the modeling methodologies for estimation, test and conditional density forecast are studied in detail. The new model can be used not only to describe the stylized facts, such as nonlinearity and asymmetry, but also to discover the dynamic feature of the distribution of the inflation under different economic circumstances, through which we will be able to accurately capture the inflation uncertainty. In the end, the new model is applied to the practice in China. The empirical evidence tells us the fact that the new model is superior to other Phillips curve model in terms of goodness of fit, structural analysis and predictive ability.
