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| 基于辅助粒子滤波的DSGE模型识别方法及应用 | |
| 引用本文： | 周丽莉,丁东洋. 基于辅助粒子滤波的DSGE模型识别方法及应用[J]. 统计与信息论坛, 2014, 0(11): 11-17 |
| 作者姓名： | 周丽莉 丁东洋 |
| 作者单位： | 1. 南昌大学 中国中部经济社会发展研究中心,江西南昌,330031 2. 南昌大学 公共管理学院,江西南昌,330031 |
| 基金项目： | 江西省高校人文社会科学重点研究基地项目《中部地区社会发展质量的评价与比较研究》(JD1112)；南昌市“十二五”社科规划课题《基于生态文明建设的南昌市居民低碳行为模式与政策支持研究》(Jj201308)；全国统计科学研究计划项目《记录链接理论及其在我国行政记录中的应用研究》(2013LY001)；国家自然科学基金项目《逆周期资本监管框架下考虑跳跃行为的信用风险度量研究》 |
| 摘 要： | 动态随机一般均衡模型中涵盖无法直接观测的变量,同时跨方程约束涉及复杂的非线性关系使方程的解析估计难以实现。在贝叶斯框架下识别动态随机一般均衡模型,基于状态空间方法建立度量方程和状态转移方程,采用辅助粒子滤波预测条件后验分布,建立贝叶斯误差带描述宏观经济变量脉冲响应函数的动态特征。实际数据分析验证了贝叶斯识别方法的有效性。 |
| 关 键 词： | 状态空间方法 解析估计 辅助粒子滤波 贝叶斯识别 脉冲响应函数 |
Identification Method of DSGE Model Based on Auxiliary Particle Filter with Its Application |
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| ZHOU Li-li , DING Dong-yang. Identification Method of DSGE Model Based on Auxiliary Particle Filter with Its Application[J]. Statistics & Information Tribune, 2014, 0(11): 11-17 | |
| Authors: | ZHOU Li-li DING Dong-yang |
| Affiliation: | ZHOU Li-li, DING Dong-yang (a. Research Center of Middle Regions Economic and Social Development of China; b. School of Public Administration, Nanchang University, Nanchang 330031, China) |
| Abstract: | Dynamic stochastic general equilibrium models cover variables can not be directly observed , w hile cross-equation constraints involving complex nonlinear relationship ,making equations difficult to realize analytical estimation . Under Bayesian framework , the dynamic stochastic general equilibrium models can be identified by creating measure equation and the state transition equation based on the state space approach , adopting auxiliary particle filter to predict posterior distribution , and constructing Bayesian error band of impulse response function to describe dynamics of macroeconomic variables .The empirical data analysis verified the validity of Bayesian identification methods . |
| Keywords: | state space approach analytical estimation auxiliary particle filter Bayesian identification impulse response function |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |