计量模型中的加总偏误识别与检验
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摘要
采用逐步分类加总方法,运用美加与欧盟五国大豆贸易经验数据,依据加总的一般形式对欧盟转基因政策贸易效应研究中的加总偏误问题进行分路径、分步骤的识别与检验,考察加总偏误的存在性及偏误来源,有效诊断加总过程内生性存在的路径与节点。根据有限剔除法将部分内生性因素进行剔除,分析结果显示修正模型中的加总偏误得到显著改善。
This paper analyses the aggregation bias on trade effects of EU transgene policy using gradually aggregation method,with the trade data of US,Canada and the main five counties of EU.We focus on seeking the existence and origins of aggregation bias,finally to relieve the degree of aggregation bias by limited elimination on endogenous effects.The research is helpful to deal with the aggregation bias in empirical analysis,which locate the path and node of aggregation bias.
This paper analyses the aggregation bias on trade effects of EU transgene policy using gradually aggregation method,with the trade data of US,Canada and the main five counties of EU.We focus on seeking the existence and origins of aggregation bias,finally to relieve the degree of aggregation bias by limited elimination on endogenous effects.The research is helpful to deal with the aggregation bias in empirical analysis,which locate the path and node of aggregation bias.
引文
[1]Barker T.,Pesaran M.H.,1990,Disaggregation in Econometric Modelling[M],Routledge,London and New York.
[2]Bernard A.,Redding S.J.,Schott P.K.,2009,Products and Productivity[J],Scandinavian Journal of Economics,111(4),681~709.
[3]Forni M.,Lippi M.,1997,Aggregation and Microfundations of Dynamic Macroeconomic[M],Oxford University Press.
[4]Granger C.W.J.,1988,Aggregation of Time-series Variables-A Survey[R],Federal Reserve Bank of Minneapolis,Discussion Paper,No.1.
[5]Grunfeld Y.,Griliches Z.,1960,Is Aggregation Necessarily Bad?[J],The Review of Economics and Statistics,42(1),1~13.
[6]Pakes A.,1979,Aggregation Effects and Panel Data Estimation Problems?An Investigation of theR&D Intensity Decision[R],NBER Working Papers,No.0344.
[7]Pesaran M.H.,Pierwe P.G.,Kumar M.S.,1989,Econometric Analysis of Aggregation in the Context of Linear Prediction Models[J],Econometrica,57(4),861~888.
[8]Pesaran M.H.,Smith R.P.,1995,Estimating Long-Run Relationships from Dynamic Heterogeneous Panels[J],Journal of Econometrics,68(1),79~113.
[9]Shen Y.,Hsiao C.,Fujiki H.,2005,Aggregate vs Disaggregate Data Analysis:A Paradox in the Estimation of Money Demand Function of Japan Under the Low Interest Policy[J],Journal of Applied Econometrics,20(5),579~601.
[10]Theil H.,1954,Linear Aggregation of Economic Relations[M],Amsterdam,North Holland.
[11]Timmermann A.G.,2005,Forecast Combinations[R],CEPR Discussion Paper,No.5361.
[12]Zellner A.,1962,An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias[J],Journal of the American Statistical Association,57(297),348~368.
[13]江涛、覃琼霞:《中日绿茶贸易中的技术性贸易壁垒度量》[J],《茶叶科学》2010年第5期。
[14]江涛、覃琼霞、宋明顺:《加总模型与扩展的高斯一马尔科夫定理》[J],《数量经济技术经济研究》2012年第6期。
[15]李捷瑜:《股票收益与交易量的动态关系研究:来自不同估计方法的证据》[J],《南方经济》2006年第1期。
[16]覃琼霞、江涛:《计量模型中的加总偏误与检验方法研究》[J],《数量经济技术经济研究》2011年第5期。
[17]覃琼霞、江涛、陆文聪:《计量模型中的加总偏误与内生性:一种数值模拟方法》[J],《数量经济技术经济研究》2013年第12期。
[18]宋玉华、江涛:《细分数据与加总偏误:来自中日茶叶贸易的证据》[J],《国际贸易问题》2011年第10期。
①简单线性计量模型不一定存在模型误设问题,而即便存在细分数据模型的参数估计偏误也不影响本文要考察的加总过程的内生性导致的加总偏误问题。
[2]Bernard A.,Redding S.J.,Schott P.K.,2009,Products and Productivity[J],Scandinavian Journal of Economics,111(4),681~709.
[3]Forni M.,Lippi M.,1997,Aggregation and Microfundations of Dynamic Macroeconomic[M],Oxford University Press.
[4]Granger C.W.J.,1988,Aggregation of Time-series Variables-A Survey[R],Federal Reserve Bank of Minneapolis,Discussion Paper,No.1.
[5]Grunfeld Y.,Griliches Z.,1960,Is Aggregation Necessarily Bad?[J],The Review of Economics and Statistics,42(1),1~13.
[6]Pakes A.,1979,Aggregation Effects and Panel Data Estimation Problems?An Investigation of theR&D Intensity Decision[R],NBER Working Papers,No.0344.
[7]Pesaran M.H.,Pierwe P.G.,Kumar M.S.,1989,Econometric Analysis of Aggregation in the Context of Linear Prediction Models[J],Econometrica,57(4),861~888.
[8]Pesaran M.H.,Smith R.P.,1995,Estimating Long-Run Relationships from Dynamic Heterogeneous Panels[J],Journal of Econometrics,68(1),79~113.
[9]Shen Y.,Hsiao C.,Fujiki H.,2005,Aggregate vs Disaggregate Data Analysis:A Paradox in the Estimation of Money Demand Function of Japan Under the Low Interest Policy[J],Journal of Applied Econometrics,20(5),579~601.
[10]Theil H.,1954,Linear Aggregation of Economic Relations[M],Amsterdam,North Holland.
[11]Timmermann A.G.,2005,Forecast Combinations[R],CEPR Discussion Paper,No.5361.
[12]Zellner A.,1962,An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias[J],Journal of the American Statistical Association,57(297),348~368.
[13]江涛、覃琼霞:《中日绿茶贸易中的技术性贸易壁垒度量》[J],《茶叶科学》2010年第5期。
[14]江涛、覃琼霞、宋明顺:《加总模型与扩展的高斯一马尔科夫定理》[J],《数量经济技术经济研究》2012年第6期。
[15]李捷瑜:《股票收益与交易量的动态关系研究:来自不同估计方法的证据》[J],《南方经济》2006年第1期。
[16]覃琼霞、江涛:《计量模型中的加总偏误与检验方法研究》[J],《数量经济技术经济研究》2011年第5期。
[17]覃琼霞、江涛、陆文聪:《计量模型中的加总偏误与内生性:一种数值模拟方法》[J],《数量经济技术经济研究》2013年第12期。
[18]宋玉华、江涛:《细分数据与加总偏误:来自中日茶叶贸易的证据》[J],《国际贸易问题》2011年第10期。
①简单线性计量模型不一定存在模型误设问题,而即便存在细分数据模型的参数估计偏误也不影响本文要考察的加总过程的内生性导致的加总偏误问题。