Econometrics of Dynamic Index-Threshold Models

动态指数阈值模型的计量经济学

• 批准号: 9709508
• 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: 1997
• 资助国家: 美国
• 起止时间: 1997-11-01 至 1998-08-27
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9709508&HistoricalAwards=false
• 关键词: Econometrics; Dynamic; Index; Threshold; Models

9709508 Bai This research develops the econometric theory for a class of nonlinear dynamic models, referred to as dynamic index-threshold models. These models describe multiple regimes in which regime switching is governed by an unobservable index. The index itself is a linear combination of a number of observable variables with unknown index coefficients. This research addresses the following issues pertaining to the dynamic-index threshold models: 1. Determining the probability structure of the dynamic index-threshold model, such as its stationarity and ergodicity; 2. Determining the statistical properties of the estimators, such as consistency, rate of convergence, and limiting distributions; 3. Testing the hypothesis of stationarity against dynamic index-threshold autoregression; and 4. Solving the computational problems for the dynamic index-threshold models. No general econometric theory has yet been developed for dynamic index-threshold models despite their usefulness for demand analysis when consumers face a kinked budget set resulting from, say, welfare programs, taxation and block-pricing schemes.

9709508 BAI这项研究开发了一类非线性动态模型的计量经济学理论，称为动态索引 - 阈值模型。 这些模型描述了多个制度，其中制度切换受不可观察的索引约束。 该索引本身是许多具有未知索引系数的可观察变量的线性组合。 这项研究解决了与动态索引阈值模型有关的以下问题：1。确定动态索引阈值模型的概率结构，例如其平稳性和牙齿性； 2。确定估计器的统计特性，例如一致性，收敛速率和限制分布； 3。测试平稳性的假设，以避免动态索引 - 阈值自动估计； 4。解决动态索引阈值模型的计算问题。 尽管消费者面临福利计划，税收和块定价方案，但尚未针对动态索引阈值模型开发一般的计量经济学理论。