区间计算在计量经济分析中的应用  

Research on the Application of Interval Computing in Econometrics

作　　者：韩艾[1] 陈曦[1] 胡承毅[2] 徐山鹰[1] 

机构地区：[1]中国科学院数学与系统科学研究院,北京100190 [2]美国中央阿肯色大学计算机科学系,Conway AR72035

出　　处：《管理评论》2008年第5期37-43,共7页Management Review

基　　金：国家自然科学基金部分资助项目(70221001)

摘　　要：区间计算曾主要应用于计算误差控制领域。近年来,区间计算在处理不确定性方面的优点被重新认识,并在许多新领域里得到了应用。本文着重研究了如何将区间计算应用于计量经济分析,介绍了区间最小二乘估计参数的原理和对区间计算效果的评估方法,并对整个应用过程涉及的细节提出了改进。在此基础上,本文进一步研究了如何实现区间计算与两方程计量经济模型相结合,提出了区间ECM模型的概念及计算步骤,并以澳元汇率分析为实例给出了区间计算的结果。Interval computing was used both in error control and modeling uncertainty for the past decades. This paper studies the latest application of interval computing in econometrics in the areas of interval sample data, results evaluation and Interval Least Square method. Also some improvements of its application in econometrics are suggested in details. Interval Error Correction Model is proposed as an extension of application. It is utilized to the empirical analysis concerning the relationship between exchange rate of Australia dollars and the price of gold. The results show that Interval Error Correction Model could effectively capture their relationship. The estimated parameters are consistent with economic theories.

关 键 词：区间计算 计量经济分析 应用研究 

分 类 号：F224[经济管理—国民经济]