动态因子模型的结构识别研究  

Research on the structure identification of dynamic factor model

作　　者：韩猛[1,2] 缪言[1] 白仲林[1] 

机构地区：[1]天津财经大学统计系,天津300222 [2]内蒙古财经大学统计与数学学院,呼和浩特010070

出　　处：《系统工程理论与实践》2016年第7期1732-1743,共12页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71271142;71401083);内蒙古自然科学基金(2014BS0702)~~

摘　　要：为了将关于动态因子模型载荷矩阵元素的零约束和外生冲击脉冲响应函数的零约束合并,本文首先提出了一类识别动态因子模型的零识别约束;其次,在这类零识别约束条件下,本文分别给出了判断动态因子模型可全局识别和恰好识别的秩条件.此外,对于恰好识别的动态因子模型,本文还给出了一种识别算法,该算法可以有效地解决在实证分析中动态因子模型的识别问题.In order to combine the zero restrains that imposed on loading matrix and the impulse response function of dynamic factor models, this paper proposes a set of zero restrictions identification scheme of the dynamic factor models. Under this identifications scheme, we establish general rank conditions for global identification of both over-identified and exactly identified dynamic factor models. In addition, for the exactly identified dynamic factor models, we develop an efficient algorithms, this algorithm can effectively solve the identification problem in the empirical analysis of the dynamic factor model.

关 键 词：动态因子模型 识别约束 全局识别 恰好识别 

分 类 号：F222.1[经济管理—国民经济]