部分信息对宏观经济系统计量经济学建模的影响
Implications of Partial Information for EconometricModeling of Macroeconomic Systems
作者：
阿德里安·帕根（Adrian Pagan）
蒂姆·罗宾逊（Tim Robinson）
Representative models of the macroeconomy (RMs), such as DSGE models, frequently contain unobserved variables. A finite-order VAR representation in the observed variables may not exist, and therefore the impulse responses of the RMs and SVAR models may differ. We demonstrate this divergence often is: (i) not substantial; (ii) reflects the omission of stock variables from the VAR; and (iii) when the RM features I (1) variables can be ameliorated by estimating a latent-variable VECM. We show that DSGE models utilize identifying restrictions stemming from common factor dynamics reflecting statistical, not economic, assumptions. We analyze the use of measurement error, and demonstrate that it may result in unintended consequences, particularly in models featuring I (1) variables.
宏观经济（RM）的代表性模型，例如DSGE模型，经常包含未观察到的变量。观察变量中的有限阶VAR表示可能不存在，因此RM和SVAR模型的脉冲响应可能不同。我们证明这种差异通常是：（i）不大；（ii）反映了VAR遗漏的库存变量；（iii）当通过估计潜在变量VECM可以改善RM特征I（1）变量时。我们表明，DSGE模型利用了确定性限制，这些限制是由反映统计而非经济假设的公共因子动态产生的。我们分析了测量误差的使用，并证明了它可能导致意想不到的后果，尤其是在具有I（1）变量的模型中。
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