Lecture 9 – TheLag Operator Department of Economics讲座9–滞后算子经济学系.docVIP

Lecture 9 – The Lag Operator (Reference – 6.1, Hayashi) Let {xt} denote a sequence of real numbers or random variables. The lag operator L is defined according to: Lxt = xt-1 Thus, a single application of the lag operator to a sequence {xt} defines a sequence {yt}, such that yt = xt-1. Similarly, L2xt = L(Lxt) = xt-2 and, more generally, Lsxt = xt-s , for s = 0, + 1, + 2, … (so that, for example, L-2xt = xt+2). We can define a (finite or infinite order) polynomial in L or a filter according to: a(L) = a0 + a1L + a2L2 + … Then, for example, we can write the MA(q) model as: yt = μ + where θ0 = 1 = μ + = μ + θ(L)(t , where θ(L) = Similarly, we can write the MA(∞) model as where . So, one benefit of introducing the lag operator is that it provides us with a compact notation for writing filters. Another advantage is that the algebra of polynomials can be applied to filters. This turns out to provide us with a very useful way to study and manipulate the behavior of covariance stationary processes, as we will soon see. The algebra of polynomials (in L) – 1.Addition Let a(L) and b(L) be p-th and q-th order polynomials in L, p q ∞: a(L) = a0 + a1L +…+ apLp b(L) = b0 + b1L+ …+ bqLq Then c(L) = a(L)+b(L) is defined according to c(L) = c0 + c1L + … + cqLq where c0 = a0 + b0,…,cq = aq + bq (and ap+1 =…=aq=0 if p q). 2. Multiplication Let a(L) and b(L) be p-th and q-th order polynomials in L, p q ∞: a(L) = a0 + a1L +…+ apLp b(L) = b0 + b1L+ …+ bqLq Then c(L) = a(L)b(L) is defined according to c(L) = c0 + c1L + … + cq+pLq+p where c0, c1,… are defined as follows – c(L) = (a0 + a1L +…+ apLp)( b0 + b1L+ …+ bqLq) = a0b0 + (a1b0 + a0b1)L + (a0b2 + a1b1 + a2b0)L2 +… We sometimes say that c(L) is the convolution of a(L) and b(L). Note that a(L)b(L)=b(L)a(L). Suppose, for example, that Then, zt ≡ g(L)=b(L)h(L) Fact – If {xt} is covariance stationary and {bj} and {hj} are absolutely summable, then {yt} and {zt} are covariance stat