全部版块 我的主页
论坛 数据科学与人工智能 数据分析与数据科学 R语言论坛
1620 2
2011-01-12
悬赏 200 个论坛币 已解决

可不可以做完seemingly unrelated seemingly unrelated regression 后接着做impulse response functions?

最佳答案

waterhorse 查看完整内容

SUR and VAR are both estimators for simulatneous equation system. However, they are applied for different purposes. The main puspose to use SUR is to increase estimation efficiency by taking advantage of the variance-covariance structure of the error term. The use of VAR is mainly for the time series dependence of relationship between "endogenous" variables. Impulse response is applied to VAR, ...
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

全部回复
2011-1-12 02:25:59
SUR and VAR are both estimators for simulatneous equation system. However, they are applied for different purposes. The main puspose to use SUR is to increase estimation efficiency by taking advantage of the variance-covariance structure of the error term. The use of VAR is mainly for the time series dependence of relationship between "endogenous" variables.

Impulse response is applied to VAR, which tracts how each explained "endogenous" variable (in a VAR system) respponds to shocks over time.
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

2011-1-13 09:57:50
已经回答你了
二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

相关推荐
栏目导航
热门文章
推荐文章

说点什么

分享

扫码加好友,拉您进群
各岗位、行业、专业交流群