| 王小刚,王黎明.基于贝叶斯结构突变的随机系数动态面板模型研究[J].数量经济技术经济研究,2013,30(8):149-160 |
| 基于贝叶斯结构突变的随机系数动态面板模型研究 |
| Bayesian Inference of Structural Break in Random Coefficient Dynamic Panel Models |
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| DOI： |
| 中文关键词: 贝叶斯方法 结构突变 Gibbs抽样 动态面板 |
| 英文关键词: Bayesian Approach Structural Breaks Gibbs Sampling Dynamic Panel |
| 基金项目: |
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| 中文摘要: |
| 针对目前随机系数动态面板模型中存在内生变量初始值固定、个体自回归系数平稳以及不存在结构突变的种种限制，本文提出用分层贝叶斯方法首次检测和估计了含未知结构突变的随机系数动态面板模型。容许初始值与个体相关，自回归系数服从logitnormal分布保证平稳性，得到了未知结构突变和随机系数的后验密度估计。对1995年到2012年中国五省市出口总值月度数据进行实证分析，检测出四个结构突变，分析突变前后的情况表明出口总值存在三大特征：呈现稳定增长态势，但省市间差距逐渐扩大；重大的外部需求冲击对出口有显著影响；出口总值的结构突变有明显的季节特征. |
| 英文摘要: |
| This study is concerned with detecting and estimating structural breaks in random coefficient dynamic panel model using hierarchical Bayesian approach. Our approach allows for the initial values of each unit’s process to be correlated with the unit specific coefficients and AR(1) coefficients drawn from a logitnormal distribution in order to hold stationary assumption. The posterior density for structural break and random coefficients were established. We apply our approach to analyze gross export value of five provinces in China from 1995 to 2012, the results show that four breaks were detected. There are three characteristics in gross export value. Firstly, it continues to show steady growth, but the gap gradually expand in five provinces; Secondly, large shocks of external demand has a significant impact; Finally, structural breaks of exports have seasonal characteristic. |
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