21计量经济学模型的最大似然估计.ppt

线性模型，截面样本，一般存在异方差。 采用非线性最大似然法估计，可以得到关于异方差结构的估计结果。 在某些情况下，得到异方差结构的估计结果比模型参数估计量更重要。 这就是异方差性的非线性方法的意义所在。 四、序列相关性的非线性方法 见教材 首先假定模型随机误差项的序列相关结构。一般以AR(1)、MA(1)、ARMA(1,1)为常见。 求出随机误差项对被解释变量的偏导数表达式。 构造最大似然函数。 同时得到模型参数和随机误差项的序列相关结构的估计结果。 五、条件异方差性的非线性方法ARCHAuto Regressive Conditional Hoteroskedasticity ⒈条件异方差现象 通常横截面数据问题会产生异方差，而一般时间序列问题没有异方差现象。 如果时间序列数据问题出现异方差，经常以条件异方差形式。 所谓条件异方差，实际上是指“异方差”的“异”具有序列相关性。 Engle于1982年分析英国通货膨胀率时首先发现条件异方差现象。 被广泛应用于金融市场时间序列分析。 Engle, R.F.:1982, Autoregressive Conditional Heteroskedasticity With Estimates of the Variance of U.K. Inflation, Econometrica 50: 987-1008. The application in Engle(1982) involved macroeconomic series such as the inflation rate, but Engle quickly realized that the ARCH model was useful in financial economics, as well. Risk evaluation is at the core of activities on financial markets. Investors assess expected returns of an asset against its risk. Banks and other financial institutions would like to ensure that the value of their assets does not fall below some minimum level that would expose the bank to insolvency. Such evaluations cannot be made without measuring the volatility of asset returns. Robert Engle developed improved methods for carrying out these kinds of evaluations. Percentage daily returns on an investment in the Standard Poor 500 stock index May 16, 1995–April 29, 2003. The returns averaged 5.3 percent per year. At the same time there were days, when the fluctuations in prices were greater (plus or minus) than 5 percent. The standard deviation in daily returns measured over the entire period was 1.2 percent. Closer inspection reveals, however, that the volatility varies over time: large changes (upwards or downwards) are often followed by further large fluctuations, and small changes tend to be followed by small fluctuations. Standard deviation for percentage daily returns on an investment in the Standard Poor 500 stock index, May 16, 1995–April 29, 2003, computed from data for the four preceding weeks