GMM Estimation of Multiple Sturctural Changes

多重结构变化的 GMM 估计

• 批准号: 9414083
• 负责人: Jushan Bai
• 金额: --
• 依托单位: Massachusetts Institute of Technology
• 依托单位国家: 美国
• 项目类别: Continuing grant
• 财政年份: 1994
• 资助国家: 美国
• 起止时间: 1994-08-15 至 1996-07-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9414083&HistoricalAwards=false
• 关键词: GMM; Estimation; Multiple; Sturctural; Changes

9414083 Bai This project develops a new and unified econometric theory for the testing and estimation of multiple structural changes in a variety of econometric models where changes in the parameters of the model occur at unknown times. Recent developments in economic theory as well as in empirical applications have shown the need for an econometric theory of multiple structural changes. Although the case of a single structural change has received considerable attention, research on the subject of multiple structural changes is scant. The goal of this research is to develop on a coherent basis the econometric theory of multiple structural changes by extending previous work of the principle investigator in this area. This project answers a number of questions pertaining to multiple structural changes. Among the issues addressed are: 1) Determination of the changes of regimes (periods during which the parameters of a model do not change) in a given data set; 2) Testing the hypothesis of no structural shift versus that of multiple structural shifts, And, more generally, testing k shifts versus k+l shifts; 3) Determination of critical values and construction of standard reference tables; 4) Estimation of models with multiple structural changes and determination of the criteria for estimating the shift points; 5) Solving the computational problem for multiple-shift estimation; and 6) Deriving the statistical properties of the resulting estimators and the estimated shift points.

9414083 BAI这个项目开发了一种新的和统一的计量经济学理论，用于测试和估计各种计量经济学模型中多种结构变化的理论，在该模型中，模型参数的变化发生在未知时时间。 经济理论以及经验应用方面的最新发展表明，需要对多种结构变化的计量经济学理论。 尽管单一结构变化的情况已引起了很大的关注，但对多种结构变化主题的研究很少。 这项研究的目的是通过扩展该领域的原则研究者的先前工作来基于多种结构变化的计量经济学理论。 该项目回答了许多与多个结构性变化有关的问题。 所解决的问题之一是：1）确定给定数据集中政权变化（模型参数不变的时期）； 2）测试无结构移位与多个结构变化的假设，更普遍地测试K位移与K+L位移； 3）确定临界值和标准参考表的构建； 4）估计具有多种结构变化的模型和确定估计移位点标准的模型； 5）解决计算问题以进行多个迁移估计； 6）得出所得估计器的统计特性和估计的偏移点。