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1、§3.3向量自回归模型VectorAutoregressionModels,VAR一、向量自回归模型概述二、向量自回归模型估计三、格兰杰因果关系检验四、脉冲响应分析五、方差分解分析六、向量误差修正模型ThePrizeinEconomicSciences2011TheRoyalSwedishAcademyofScienceshasdecidedtoawardtheSverigesRiksbankPrizeinEconomicSciencesinMemoryofAlfredNobelfor2011toThomasJ.Sargent,NewYorkUniversity,NewYor
2、k,NY,USA,andChristopherA.Sims,PrincetonUniversity,Princeton,NJ,USA,“fortheirempiricalresearchoncauseandeffectinthemacroeconomy”HowareGDPandinflationaffectedbyatemporaryincreaseintheinterestrateorataxcut?Whathappensifacentralbankmakesapermanentchangeinitsinflationtargetoragovernmentmodifiesi
3、tsobjectiveforbudgetarybalance?Thisyear’sLaureatesineconomicscienceshavedevelopedmethodsforansweringtheseandmanyofotherquestionsregardingthecausalrelationshipbetweeneconomicpolicyanddifferentmacroeconomicvariablessuchasGDP,inflation,employmentandinvestments.Theseoccurrencesareusuallytwo-way
4、relationships–policyaffectstheeconomy,buttheeconomyalsoaffectspolicy.Expectationsregardingthefutureareprimaryaspectsofthisinterplay.Theexpectationsoftheprivatesectorregardingfutureeconomicactivityandpolicyinfluencedecisionsaboutwages,savingandinvestments.Concurrently,economic-policydecision
5、sareinfluencedbyexpectationsaboutdevelopmentsintheprivatesector.TheLaureates’methodscanbeappliedtoidentifythesecausalrelationshipsandexplaintheroleofexpectations.Thismakesitpossibletoascertaintheeffectsofunexpectedpolicymeasuresaswellassystematicpolicyshifts.ChristopherSimshasdevelopedameth
6、odbasedonso-calledvectorautoregressiontoanalyzehowtheeconomyisaffectedbytemporarychangesineconomicpolicyandotherfactors.Simsandotherresearchershaveappliedthismethodtoexamine,forinstance,theeffectsofanincreaseintheinterestratesetbyacentralbank.Itusuallytakesoneortwoyearsfortheinflationrateto
7、decrease,whereaseconomicgrowthdeclinesgraduallyalreadyintheshortrunanddoesnotreverttoitsnormaldevelopmentuntilafteracoupleofyears.一、向量自回归模型概述1、向量自回归模型（VectorAuto-Regression，VAR）VAR的发展发生于20世纪70年代，以卢卡斯（E.Lucas）、萨金特（J.Sargent）、西姆斯（A.Sims）等为代表的对经典计量经济学的批判，其后
