| 吴明华.基于有限样本的可行广义最小二乘法[J].数量经济技术经济研究,2013,30(7):148-160 | | 基于有限样本的可行广义最小二乘法 | | FGLS Method Based on Finite Samples——An Application in Solving Spurious Regression Problems | | | | DOI： | | 中文关键词: 有限样本 FGLS法 虚假回归 | | 英文关键词: Finite Sample FGLS Method Spurious Regression | | 基金项目:本文获得南开大学基本科研业务专项资金项目（编号：NKZXB1146）资助。 | | | 中文摘要: | | 本文在Choi，Hu和Ogaki（2008）的基础上，研究样本量有限时，可行广义最小二乘（FGLS）法在解决虚假回归问题时的表现。通过蒙特卡罗模拟实验，发现FGLS方法可以有效消除单位根序列及平稳自相关序列间的虚假回归现象，但在单位根序列长度较小时，表现不佳。进一步对FGLS估计值及统计检验值进行理论计算和分析，说明单位根序列长度较小时，虚假回归现象不能被有效消除的必然性，且在采用FGLS方法修正单位根序列间的虚假回归问题时，估计式中常数项是无意义的。此外，本文还以研究沪、深股市指数间关联关系为例，对差分普通最小二乘（DOLS）回归法和FGLS两种建模方法进行比较，结果表明当样本量足够大时，在动态预测精度的评价标准下，FGLS方法更好。 | | 英文摘要: | | On the basis of Choi，Hu and Ogaki(2008), this paper analyzes the performance of the feasible generalized least square (FGLS) method in Solving Spurious Regression Problems with finite samples. Through Monte Carlo simulations, we find that the FGLS method can effectively eliminate the spurious regression phenomenon, but if the length of unit root sequences is small, its performance is poor. By further theoretical calculations and analysis of the FGLS estimators and statistical test values, we find that it is inevitability that the spurious regression phenomenon can not be effectively eliminate, when the length of unit root sequences is small, and the constant term is meaningless in using the FGLS method to solve spurious regression problems. In addition, with the example of studing the Shanghai and Shenzhen stock market index relationship, we compare the differential ordinary least squares (DOLS) regression method and FGLS method, the results show that when the sample size is large enough, FGLS method is better under the dynamic forecast accuracy evaluation criteria. | | 查看全文 |
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