CAJ | 학술논문

对基于GMM大样本统计量的检验和估计，弱识别会带来点估计不一致和置信区间规模不正确的问题。本文讨论了弱识别问题产生的原因、影响、检验和相关弱识别稳健统计量。用Cragg-DonaldF统计量对NKPC重新进行了检验，发现的确存在弱识别问题，本文进而对NKPc的参数进行了弱识别稳健的估计，并且用CLR统计量构造了相应规模正确的置信区间。实证表明中国的通货膨胀具有明显的向前和向后行为，而向前行为从数量上来说要大于向后行为的影响，但是向后行为在数量上来说也是不可忽视的；子样本的检验表明通胀的向后行为有增强的趋势。
대기우GMM대양본통계량적검험화고계，약식별회대래점고계불일치화치신구간규모불정학적문제。본문토론료약식별문제산생적원인、영향、검험화상관약식별은건통계량。용Cragg-DonaldF통계량대NKPC중신진행료검험，발현적학존재약식별문제，본문진이대NKPc적삼수진행료약식별은건적고계，병차용CLR통계량구조료상응규모정학적치신구간。실증표명중국적통화팽창구유명현적향전화향후행위，이향전행위종수량상래설요대우향후행위적영향，단시향후행위재수량상래설야시불가홀시적；자양본적검험표명통창적향후행위유증강적추세。
Weak identification usually results in inconsistent point estimates and wrongly covered confidence interval for GMM statistics based on large sample property. This paper discusses the causes, consequences, recognition, and robust statistics for weak identification problem. The NKPC is tested by Cragg-Donald F for weak identification problem. This paper then estimates the relevant parameters of NKPC by weak identification robust statistics and constructs size correct confidence interval by CLR statistics. The empirical results reveal that both forward and backward looking behavior exist in the pattern of China inflation, while the forward behavior is quantitatively larger than the backward behavior, nevertheless, which is not neglectable in the quantitative sense. The subsample test results in that backward behavior of inflation tends to be stronger.