课程名称：计量经济学(二) 课程性质：系选修 课程范围： 开课教师：林祖嘉 开课学院：社科院 开课系级：经济学系 考试日期(年月日)：101/06/19 考试时限(hours)：3hrs 试题本文： 下列题目中，请任选五题作答，每题20% 一、试比较probit model与logit model的异同与优缺点。 二、什麽是IIA(Independent to Irrelevant Alternatives)? 为什麽会出现IIA? 如果有IIA，请问该如何处理此一问题？ 三、Consider the model: C =b +b *C +b *Y +ε (1) 0 0 1 t-1 2 t 1t Y =C +I (2) t t-1 t I =a +a *Y +a *Y +a *r +ε (3) t 0 1 t 2 t-1 3 t 2t Where C, I, Y and r are, respectively, consumer expenditure, investment, income, and interest rate. Assume that ε1 and ε2 are not autocorrelated and are independent of rt. (1) List the endogeneous variable and the predetermined variables in the model. (2) How would you estimate equation (1)? (3) How would you estimate equation (2)? 四、试比较Kyock lag跟Almon lag的异同与优缺点。 五、在处理联立方程式的估计时，为什麽要考虑rank condition？ 　　为什麽要考虑order condition？ 当这些条件满足时，会得到什麽结果？　如果不满足时，又会出现什麽问题？ 六、The VEC model is special form of the VAR for I(1) variables that are cointergrated. Consider the following VEC model: Δy =α +α (y -β -β x )+V t 10 11 t-1 0 1 t-1 yt Δx =α +α (y -β -β x )+V t 10 11 t-1 0 1 t-1 xt The VEC model may also rewritten as a VAR, but the two equations will contain common parameters: y =α +(α +1)y -α β -α β x +v t 10 11 t-1 11 0 11 1 t-1 yt x =α +α y -α β -(α β -1)x +v t 20 21 t-1 21 0 21 1 t-1 xt (a) Suppose you were given the following results of an estimated VEC model. ^ Δy =2-0.5(y -1-0.7x ) t t-1 t-1 ^ Δx =3+0.3(y -1-0.7x ) t t-1 t-1 Rewrite the model in the VAR form. (b) Now suppose you were given the following results of an estimated VAR model, but you were also told that y and x are cointergrated. ^ y =0.7y +0.3+0.24x t t-1 t-1 ^ x =0.6y -0.6+0.52x t t-1 t-1 Rewrite the model in the VEC form, --

※ 发信站: 批踢踢实业坊(ptt.cc) ◆ From: 140.119.120.212 ※ 编辑: traintrain 来自: 111.248.108.157 (06/23 15:49)