Transcription of 제12장 VAR과VECM - elearning.kocw.net
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제12장 VAR과VECM - elearning.kocw.net
12 . VAR vecm . 12 VAR vecm . (VAR) . (Vector Autoregression : VAR) .. yt= 1yt-1+ + pyt-p+ xt+ t yt (endogenous variable) k , xt . (exogenous variable) d . 1, , p . , t . ( ) .. (VAR) .. (multivariate time series model) . 12 VAR vecm . (VAR) . ( ) . (simultaneity) .. (disturbances) . y .. (VAR) 1959. 1 1989 12 . (industrial productivity index : IP), (M1), 3. (Treasury bill : TB) . (monthly data) (eviews sample-08). 12 VAR vecm . (VAR) .. ( ) 3 .. IPt=a11 IPt-1+a12M1t-1+a13 TBt-1+b11 IPt-2+b12M1t-2+. b13 TBt-2+c11 IPt-3+c12M1t-3+c13 TBt-3+d1+ 1t M1t=a21 IPt-1+a22M1t-1+a23 TBt-1+b21 IPt-2+b22M1t-2+. b23 TBt-2+c21 IPt-3+c22M1t-3+c23 TBt-3+d2+ 2t TBt=a31 IPt-1+a32M1t-1+a33 TBt-1+b31 IPt-2+b32M1t-2+.
벡터자기회귀(VAR) 모형 • 따라서내생변수의과거값(후행값)들이오른쪽항에나타 나므로동시성(simultaneity)의문제가없게되어적절한추 정방법이됨. • 오차항의교란(disturbances)이계열상관이없다는것은더 많은시차까지후행된y값들을첨가시킬때어떤계열상관
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