제12장 VAR과VECM - elearning.kocw.net

1 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+.

2 B33 TBt-2+c31 IPt-3+c32M1t-3+c33 TBt-3+d3+ 3t a, b, c, d VAR . (parameters) . 12 VAR vecm . (VAR) . EViews (VAR) . eviews sample-08 . 12 VAR vecm . (VAR) . VAR (group) .. 12 VAR vecm . (VAR) . (group) . 12 VAR vecm . (VAR) . VAR object Quick/Estimate VAR . 12 VAR vecm . (VAR) . VAR object . (command window) VAR ( ) . VAR Type VAR(unrestricted VAR) . (Vector Error Correction Model : 12 VAR vecm vecm ) .. , VAR . (VAR) , VEC . VAR Specification . Cointegration VEC Restrictions .. [Lag intervals(as range pairs)] . 1 2 1 2 .. (pairs) . ( : 1 3, 2 4, 6 9 ). c . 12 VAR vecm . (VAR) . VAR Specification .. 12 VAR vecm . (VAR) . VAR (1).

3 (column) VAR .. , . (estimated coefficient), (standard error), t- (t-statistic) .. IP 2 . 5% . 12 VAR vecm . (VAR) . VAR (2). M1 TB 3 . 5% . 12 VAR vecm . (VAR) VAR .. VAR (3). (residual covariance) . ( ) .. | |=det{(1/T-p) t }. p VAR . k . (log likelihood) .. l=-T/2{(1+2log2 )+log| |}. p .. AIC=(-2l/T)+(2n/T). SC=(-2l/T)+{(nlogT)/T}. n=k(d+pk) VAR .. VAR .. 12 VAR vecm . (VAR) . View/Lag Structure/Lag Length Criteria . 12 VAR vecm . (VAR) . Lag 8 . * .. AIC . SC .. SC .. SC 2 .. 12 VAR vecm . (VAR) . 2 .. IPt=a11 IPt-1+a12M1t-1+a13 TBt-1+b11 IPt-2+b12M1t-2+. b13 TBt-2+d1+ 1t M1t=a21 IPt-1+a22M1t-1+a23 TBt-1+b21 IPt-2+b22M1t-2+.

4 B23 TBt-2+d2+ 2t TBt=a31 IPt-1+a32M1t-1+a33 TBt-1+b31 IPt-2+b32M1t-2+. b33 TBt-2+d3+ 3t a, b, c, d VAR . (parameters) . 12 VAR vecm . (VAR) . (impulse response function). VAR .. 1 (one standard deviation shock) . , (unit shock) .. , .. 12 VAR vecm . (VAR) . (impulse response function). VAR View/Impulse Response . 12 VAR vecm Display Format .. (VAR) . (impulse response function). Response Standard Impulse Response . Errors .. Display Information .. (Impulses) (Responses).. Analytic VAR IP, M1, TB . Monte Carlo IP M1 TB 1 2 3.. vecm . (Periods) .. Monte Carlo 10( ) .. (Accumulate Response) .. VAR 0 , 0 . Impulse Definition.

5 12 VAR vecm Residual-one unit : 1 . Residual-one std. dev.: (VAR) 1 . (impulse response function). Impulse Response . Cholesky : . Cholesky . VAR .. Generalized Impulses : VAR .. Structural Decomposition : .. User Specified : . 12 VAR vecm . (VAR) . (impulse response function).. 12 VAR vecm . (VAR) . (forecast error variance decomposition).. VAR .. , . (variance decomposition) .. 12 VAR vecm . (VAR) . (forecast error variance decomposition). View/Variance Decomposition . 12 VAR vecm . (VAR) . (forecast error variance decomposition). VAR Variance Decomposition . OK . Display Format .. (Table) . (Periods) .. 10( ) . 12 VAR vecm .

6 (VAR) . (forecast error variance decomposition).. (IP) : (IP) ( ). (10 ) . , (M1) . , (TB) .. , . , .. (M1) . 6 , .. 12 VAR vecm . (Vector Error Correction Model : vecm ).. ( vecm ) .. vecm . Dy1t= 1(y2t-1- y1t-1)+ 1t Dy2t= 2(y2t-1- y1t-1)+ 2t . 0 . y1, y2 0. , .. i i .. 12 VAR vecm . (Vector Error Correction Model : vecm ). EViews ( vecm ) . eviews sample-05 ( ). 12 VAR vecm . (Vector Error Correction Model : vecm ). vecm (group) .. 12 VAR vecm . (Vector Error Correction Model : vecm ). (group) . 12 VAR vecm . (Vector Error Correction Model : vecm ). VAR object Quick/Estimate VAR . 12 VAR vecm . (Vector Error Correction Model : vecm ).

7 VAR Specification . Cointegration VEC Restrictions .. EViews VEC 1 .. [Lag intervals for D(Endogenous)] 1 1 . 1 1 1.. VAR Type (Vector Error Correction Model : vecm ) . 12 VAR vecm . (Vector Error Correction Model : vecm ). VAR Specification .. 12 VAR vecm . (Vector Error Correction Model : vecm ). VEC (1).. 12 VAR vecm . (Vector Error Correction Model : vecm ). VEC (2). VAR . VAR(unrestricted VAR).. 12 VAR vecm . (Vector Error Correction Model : vecm ). VEC (3).. 12 VAR vecm . (Vector Error Correction Model : vecm ). (impulse response function). VEC View/Impulse Response . 12 VAR vecm . (Vector Error Correction Model : vecm ). (impulse response function).

8 Impulse Response . Display Format .. Display Information .. (Impulses) (Responses).. LGDP, LM1, PR, RS .. (Periods) .. 10( ) . (Accumulate Response) .. VAR 0 , 0 . 12 VAR vecm . (Vector Error Correction Model : vecm ). (impulse response function). Impulse Response . 12 VAR vecm . (Vector Error Correction Model : vecm ). (impulse response function).. 12 VAR vecm . (Vector Error Correction Model : vecm ). (forecast error variance decomposition). View/Variance Decomposition . 12 VAR vecm . (Vector Error Correction Model : vecm ). (forecast error variance decomposition). VAR Variance Decomposition . OK . Display Format .. (Table).

9 (Periods) .. 10( ) . 12 VAR vecm . (Vector Error Correction Model : vecm ). (forecast error variance decomposition).. GDP : GDP ( ) . (10 ) . , (PR) . , (RS) , (M1).. , GDP.