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c , 2002 ., 2004 ., 2006 .



c , 2002 ., 2004 ., 2006 .

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II

19

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? . . . . . . . . . . . . . . . . . . . . 21

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- . . . . . . . . . 26

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III

28

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, . . . . . . . . . . . . . . . . 33

IV

. . . . . . . . . . . . 31

35

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- . . . . . . . . . . . . . . . . . . 35

- . . . . . . . . . . . . . . . 37

. . . . . . . . . . . . . . . . 38

- . . . . . . . . . . . . . . . . . 39

- . . . . . . . . . . . . . . . . . . . . . . . . . . . 41

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46

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VI

51

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. . . . . . . . 53

- . . . . . . . . . . . . . . . . . 55

- . . . . . . . . . . . 58

: . . . . . . . . . . . . . . . . . . . 59


. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 60

() -,
.
: .

. , . , , .
, , GAUSS. ,
.

, ,
, ,
. - ,
().


1. Anatolyev, Stanislav Intermediate and Advanced Econometrics: Problems and Solutions, Lecture Notes series, New Economic School, 2002
2. Hayashi, Fumio Econometrics, Princeton University Press, 2000
3. Goldberger, Arthur A Course in Econometrics, Harvard University Press, 1991
4. Greene, William Econometric Analysis, Prentice Hall, 4th edition, 2000
5. Potcher, Benedikt and Prucha, Ingmar Basic elements of asymptotic theory, in: A
Companion to Theoretical Econometrics, edited by Baltagi, B., Blackwell Publishers,
2001
6. Horowitz, Joel The bootstrap, in: Handbook of Econometrics, vol. 5, Elsevier Science,
North-Holland, 2001

, ,
, .
.
. : .

. .
. X Y X 2 In , ..
Y |X N (X, 2 In ).
- :
bOLS = (X 0 X)1 X 0 Y |X N (, 2 (X 0 X)1 ).
. -, , . -, , ,
.

.
: .
, (
) . , . , , , , , .

. ,
.

, .. .
.
,
. , .

, .
bn , -

n. ,

. , n bn . bn
p
, bn , -

d
, n (bn ) N (, ) - > 0

( =

1
).
2

, n ,

, ,

en , , en ,
d

n (bn ) N (0, ),
d
e
n (en ) N (0, ),
e .

, , ,
. , ,
, , .

,
, , ,
, . ,
, , .
, ,
. , ,
.

, , . , .
1 ( ).
Zn Z ( as

), .. Zn Z,
n
o
P lim Zn = Z = 1,
n

.. Z.
2 ( ).
p

Zn Z , .. Zn Z
p lim Zn = Z,
> 0

lim P {kZn Zk > } = 0,

.. Z 0.
3 ( ). Zn Z
ms

, .. Zn Z ,


lim E kZn Zk2 = 0,

.. 0.

4 ( ). Zn Z , ..
d

Zn Z Zn DZ , DZ Z,
lim P {Zn z} = P {Z z}

z DZ .
, . , , .
as

ms

1. {Zn Z Zn Z} Zn Z.
p

2. Zn Z Zn Z.
p

3. Z , Zn Z Zn Z
.
{Zn } :

Z
Z Z Z Z
, , , ,..., ,...,
1 2 3 4
n

Z . E(Zn ) = 0 V ar(Zn ) =
p

ms

1
.
n2

Zn 0, , , Zn 0.

, .
.
(). g : Rk1 k2 Rl1 l2 , Zn
.
as

as

Zn Z, g(Zn ) g(Z),
Zn Z, g(Zn ) g(Z),
ms

ms

Zn Z g , g(Zn ) g(Z),
d

Zn Z, g(Zn ) g(Z).
: Z , g Z.
(). Un
U , Vn
p

V , .. Un U Vn V ,

Un + Vn U + V,
d

Un Vn U V,
d

Un1 Vn U 1 V , P r{det(Un ) = 0} = 0.
, . ,
, , . .
. Z , .. Z N (0, 1). :
p

{Zn } = {Z, Z, Z, Z, . . .} {Xn } = {Z, Z, Z, Z, . . . }. , {Zn } Z {Xn }


Z. , {Zn + Xn } = {2Z, 0, 2Z, 0, 2Z, . . . }. ,
, .. .
( ). Z
d
k 1 n(Zn Z) N (0, ), Z = p lim Zn
, g: Rk Rl Z.

G =

n(g(Zn ) g(Z)) N (0, GG0 ),

g(z)
| .
z 0 z=Z

1 2 .

1. x

n(x ) N (0, ). -

g(x) = x0 x.

d
1/2 n(x ) N (0, Ik ),
(1/2 )0 1/2 = 1 . , :
d

n(x )0 1 (x ) 2 (k).
, G =

(x0 x)
|
x0

= 2x0 | = 20 , :

n(x0 x 0 ) N (0, 40 ).

2.

   
x1
1
d
n

N (0, I2 ).
x2
2

10

x1
x2

x1
.
x2

x1 1 d N (0, 1)

,
x 2 2
N (0, 1)
.. .
, :
 

x1

x2

G=
(x1 , x2 )

=
(12 )

1
1
, 2
2 2

 2
1

x 1 1 d
1 + 2
n

N 0,
x 2 2
22



() ().
,
. . : .
.
( ). {Zi }
i=1 .
, E|Zi |.
n

1X
as
Zi E[Zi ].
n i=1
( ). P i2
2
{Zi }
i=1 i .
i=1 i2 <

" n
#
n
1X
1X
as
Zi E
Zi 0.
n i=1
n i=1

( ). Pn
1
2
{Zi }
i=1 , .. Cov(Zi , Zj ) = 0 i 6= j. n2
i=1 i

11

0,
" n
#
n
1X
1X
p
Zi E
Zi 0.
n i=1
n i=1
- ( ). {Zi }
i=1
E[Zi ] = V ar[Zi ] = 2 . :
!
n

1X
d
n
Zi N (0, 2 ).
n i=1
( ). {Zi }
i=1 E[Zi ] = i , V ar[Zi ] = i2 E[|Zi i |3 ] = i . ,

P
1/3
( ni=1 i )
0,
P
1/2
( ni=1 i2 ) n

Pn

i=1 (Zi i ) d
N (0, 1).
Pn
1/2
( i=1 i2 )

. ,
.
.

n(Z n ) N (0, 2 ).

Z n ,
. , 2 , Z n
.
. () , () .
, ,

b2 :

n(Z n )
n(Z n ) d
=
N (0, 1),

12

n(Z n )/ N (0, 1),

b2 , /b
1. , -

.




b N (0,1)

b N (0,1)
Z n q1 , Z n + q1 .
2
2
n
n
, H0 : = 0 . -

N (0,1)
, n|Z n 0 |/b
> q1 . 2

. . ,
:
v
v
u n
u n
X
u1 X
u1
p
2
t
(Zi Z n ) = t
(Zi )2 (Z n )2 ,

b=
n i=1
n i=1
,

1
n

Pn

i=1 (Zi

)2 E[(Zi )2 ] = 2 (Z n )2 0.

, Z1 , Z2 , Z3 , . . ., Zn ,
, n . ( ) , , . Z1 , Z2 , Z3 , . . . , ZT
, .
- . . ,
Zt ,
, .
:
. ,
Zt , Zt1 , . . . , Ztk t k.
, :
. Zt , Zt Zt+k k .

13


.
1 ( ).
Zt iid, ,
t iid(0, 2 ), ,
AR(1) : zt = zt1 + t , || < 1,
M A(1) : zt = t + t1 .
2 ( ).
zt = zt1 + t , .
: V ar(zt ) = V ar(zt1 ) + 2 , .. .
P
, : zt = z0 + ti=1 i ,

3 ( ).
z N (0, 1) zt = z + t , t z . , zt
, .
4 ( ).
: zt = s(, t) + t , s(, t) = s(, t + ).
. zt ,
Yt = f (zt , zt1 . . .) , Yt
.
. t
zk zt , .. It = {zt , zt1 , . . .}.
. zt () , E[zt |It1 ] = 0.
.
( ). {Zt }+
t=
. , E[|Zt |] < ,
T
1X
as
Zt E[Zt ]
T t=1

14

T .
( ).
{Zt }+
t= ,
. , 2 = E[Zt2 ] < ,
T
1 X
d

Zt N (0, 2 )
T t=1

T .
( ). {Zt }+
t= . ,
2

+
X

Cov[Zt , Ztj ] < .

j=

T
1X
Zt E[Zt ]
T t=1

N (0, 2 )

T .
.
. AR(1):
xt = xt1 + t , || < 1, t iid(0, 2 ).
-
PT
PT
t=2 xt1 xt
t=2 xt1 t
b = PT
=

+
.
P
T
2
2
t=2 xt1
t=2 xt1
,
T

1 X
p
xt1 t E[xt1 t ] = 0,
T 1 t=2
T

1 X 2 p
xt1 E[x2t1 ].
T 1 t=2
, b , ..
p

b .

-:
PT
r
1

T
t=2 xt1 t
T 1
T (b
) =
.
PT
1
2
T 1
t2 xt1
T 1
15

T 1 T

1,

1
T 1

PT

t2

x2t1 E[x2t1 ]. , -

xt1 t , .. It1 = {xt2 t1 , xt3 t2 . . .}:


E[xt1 t |It1 ] = E[E[xt1 t |xt1 , xt2 t1 . . .]|It1 ] = 0,
.. xt1 t . ,
:
T

X
1
d

xt1 t N (0, E[x2t1 2t ]).


T 1 t=2
, E[x2t ] = V ar[xt ] = 2 V ar[xt1 ] + 2 =
:

2
,
12

T (b
) N (0, 1 2 ).

T (b
) d
p
N (0, 1).
1 b2

, 95%-
"
#
r
r
1 b2
1 b2
CI = b 1.96
; b + 1.96
.
T
T
.
.
Zt , E[Zt Ztj ] =

0 j > 0, : 2 =
E[Zt2 ]. , :
#
" T
#
"
T
X
1
1 X
Zt = V ar
Zt =
V ar
T
T t=1
t=1
1
=
[T V ar(Zt ) + (T 1)Cov(Zt , Zt+1 ) + (T 1)Cov(Zt , Zt1 ) +
T
+ (T 2)Cov(Zt , Zt+2 ) + (T 2)Cov(Zt , Zt2 ) + . . . +
+
X
+ Cov(Z1 , ZT ) + Cov(ZT , Z1 )]
Cov(Zt , Ztj ).
T

j=

, . ,
.

16

. M A(1):
zt = t + t1 , t iid(0, 2 ).
,
V ar(zt ) = (1 + 2 ) 2 , Cov(zt , zt1 ) = 2 , Cov(zt , ztj ) = 0, j > 1.
,
+
X

Cov(zt , ztj ) = (1 + 2 ) 2 + 2 2 = (1 + )2 2 .

j=

, ,
T
1 X
d

zt N (0, (1 + )2 2 ).
T t=1

, zt It =
{zt1 , zt2 , zt3 . . .}, .. E[zt |zt1 , zt2 , . . .] = t1 6= 0.

.

T
T 1
T
X
1 X
1X
0
b
=
(Zt Z)(Zt Z) +
{(Zt Z)(Ztj Z)0 + (Zt Z)(Zt+j Z)0 }.
T t=1
T
j=1
t=j+1
p
b9
, , ..
. , - -

. ,

, m << T ,
, T m m/T 0. ,
:
bNW =

m 
X

j=m

|j|
1
m+1

1
T

min(T,T +j)

(Zt Z)(Ztj Z)0 .

t=max(1,1+j)

m:
" 
1/3 #
T
m= 4
.
100
m ,
, , ..
.

17

MA(1): zt = t + t1 . ,
:
T
1 X
d

zt N (0, (1 + )2 2 ).
T t=1

, . :
p
p
b
b2 2 , b 2
:
b2 = (1 + )
b2 .
z

, z2 = V ar(zt ) + 2Cov(zt , zt1 ),


\

b2 = V\
ar(zt )+2Cov(z
t , zt1 ),
z

T
T
1X
1X 2
\
\
V ar(zt ) =
z , Cov(zt , zt1 ) =
zt zt1 .
T t=1 t
T t=2

bz2

m 
X

j=m

|j|
1
m+1

1
T

min(T,T +j)

zt ztj .

t=max(1,1+j)

, , .
. Xt , ..:
Xt = Xt1 + t , X0 = 0, t iid(0, 2 ).
:
T
1X
T
2
T t+1
Xt =
+ T 1 + +
t + + 1 .
T t=1
T
T
T

,
V ar

T
1X
Xt
T t=1

..
V ar

= 2

T
1X
Xt
T t=1

1+

T 1
T

= 2

2

 2  2 !
2
1
+ +
+
,
T
T

(T + 1)(2T + 1)
= O(T ).
6T

18

, :
T
1 X

T 3/2

t=1

T
T
1X
1 X 2 p
p
Xt V1 ,
Xt1 t V2 , 2
X V3 ,
T t=1
T t=1 t1
p

V1 , V2 , V3 .
- , , :
p

T (b
1)

V2
.
V3

-, - , ..
T . -,
: , . .

II
1

,
. . F (x) n.
P
Fn (x) = n1 ni=1 I(Xi 6 x) F (x) n . .

,
. :
       
x1
1
x2
2
=
,
=
.
y1
2
y2
1
, y x, .. yi = xi + i .
-
x1 y1 + x2 y2
12+21
4
=
= .
b =
2
2
2
2
x1 + x2
1 +2
5

(
(1, 2)0
1/2
(x, y)0 =
0
(2, 1)
1/2

19

(1, 2)0 , (1, 2)0

(2, 1)0 , (2, 1)0


0
0
(x1 , y1 ) , (x2 , y2 ) =

(1, 2)0 , (2, 1)0

(2, 1)0 , (1, 2)0

1/4
1/4
1/4
1/4

. , -

1/4

1/2

b
2 =
4/5
1/2

2
1/4
, .
, , :
2. , n ,
nn . ,
n.

, . , , .
.
.
1. B ( 1000). b = 1, 2, . . . , B
(z1 ; z2 ; . . . ; zn )b ,
(z1 ; . . . ; zn ). b ; . . . ; z )b ).
b = ((z
1

.
2. b1 , . . . , bB
q , q
b , b
,
1

12

[B1 ]

20

[B(12 )+1]

, , . ,
, . -, .
, . b
.
. b , , .. b = .
{bb = bb }B
b=1 .

q/2
, q1/2
,

CIE = [q/2
, q1/2
].

,
. ,
, .
.
b = b ,

, .
b B . , {b = b }
b

q/2
,

,
q1/2

b=1

CIH = [b q1/2
, b q/2
].

, , .
, , , .
t- . b
. ,
t-, ..
b
se()
21

)B
bb b

se(bb ) b=1

q/2
, q1/2
, t- (


b
b
b
CIt = [b se()q
1/2 , se()q/2 ].

t-
, . .
t- . t-
(
)B
b
|b |
|bb |
.
, b
se()
se(bb ) b=1
q . t-
b , b + se()q
b ].
CI|t| = [b se()q
1
1
t-
t- . b
,
(
), CI|t| .

, .
b
, :
b 6= .
E[]
:
b .
Bias = E[]
, :
[
e = b Bias.

22

:
B
1 X b b

b
b
Bias = E [b ] =
.
B b=1 b

,
!
B
X
1
e = b
b b = 2b b .
B b=1 b

. ,
.
H0 : = 0 , .
: Ha : > 0 . t
b
b =
b
se()


:
(

b b
bb = b
se(b )

)B

H0 ,

q1
.

b=1

b 0

> q1
.
b
se()

: Ha : 6= 0 .
t-
|b |
.
b =
b
se()

:
(

b
|b |
bb = b
se(b )
b

H0 ,

)B

q1
.

b=1

|b 0 |

> q1
.
b
se()

23

H0 : = 0 , .
( )
b = (b )0 Vb1 (b ).

, :
oB
n

b 0 Vb 1 (b )
b
.
q1
bb = (bb )
b

b=1

.
H0 , b0 = (b 0 )0 Vb1 (b 0 ) > q1

H0 : R = r, R .
( )
b = (Rb r)0 (RVb R0 )1 (Rb r).
, :

n
oB
b 0 R0 (RVb R0 )1 R(b )
b
bb = (bb )

b=1

q1
.

, . ,
. H0 , b = (Rb r)0 (RVb R0 )1 (Rb r) > q1
.

, . ,
.
b F b(x).
,

Fb (x). ,

, Fb(x) Fb (x) -

,
.
,
.
1: t-.

b
.
b =
b
se()
24

, , d
: b N (0, 1) (.. ).
Fb(x), Fb (x).

(x).

, :



1
h1 (x, F ) h2 (x, F )
+
+O
,
Fb(x) = (x) +
n
n3/2
n


h1 (x, Fb) h2 (x, Fb)
1

Fb (x) = (x) +
+
+O
.
n
n3/2
n
h1 (x, F ) x, F , h2 (x, F ) x,
F . -

, ,




h1 (x, F )
1
1
(x) Fb(x) =
+O
=O
,
n
n
n
 
 
1
h1 (x, Fb) h1 (x, F )
1

+O
=O
.
Fb (x) Fb(x) =
n
n
n
, h1 (x, Fb) h1 (x, F )

1 ,
n




n Fb(x) F (x) =
n

1X
1[xi x] E [1[xi x]]
n i=1

N (0, P {xi x}P {xi > x}).


, .
2: .
b =

n(b ) N (0, V ).

,
(x, V ). , , ..
, V . ,
:
 
1
h1 (x, F )
+O
,
Fb(x) = (x, V ) +
n
n
25

 
h1 (x, Fb)
1
=
+
+O
.
n
n
Fb (x)

(x, V )

:
 


1
1
,
=O
n
n


 
1
1

.
Fb (x) Fb(x) = (x, Vb ) (x, Vb) + O
=O
n
n
, h1 (z, F )
(x, V ) Fb(x) =
+O
n

. , ,
.
3: t-.
t-
|b | d
|N (0, 1)|.
b =
b
se()

,
:


1
b
2h2 (x, F )
x} = 2(x) 1 +
+O
,
Fb(x) = P r{x
b
n
n3/2
se()


2h2 (x, Fb)
1

Fb (x) = 2(x) 1 +
+O
.
n
n3/2
,
 
1
,
2(x) 1 Fb(x) = O
n





2
1
1

Fb (x) Fb(x) =
h2 (x, Fb) h2 (x, F ) + O
=O
.
n
n3/2
n3/2
, . ,
, .

:
y = x0 + e, E[e|x] = 0, {(xi , yi )} iid.

:

26

1. . {(xi , yi )}ni=1 n (xi , yi ).


2. .
b : ebi = yi x0 .
b
.
i
{(xi , ebi )}ni=1 -

n (xi , ebi ).
y = x0 b + eb . , i

,
.
3. ( ).
, , ,
xi {xi }ni=1 ebi {b
ei }ni=1 .

4. ( ). , , , ,
, .. ei N (0, 2 ), ( ), , , ,
, .. ebi
N (0,
b2 ).

- ,
, ,
. ,
, .
, ,
, .
.
1. . .
. {yt }Tt=1

27

, l .
y1 , . . . , yl , y2 , . . . , yl+1 , y3 , . . . , yl+2 , T l+1-
yT l+1 , . . . , yT .
.
2. .
. , , . {yt }Tt=1 .
y1 , . . . , yl , yl+1 , . . . , y2l ,  
, Tl - yl[ T ]l+1 , . . . , yl[ T ] .
l

3. . , , , ..
.
, , . ,
p. . (1 p)
, p ,
. ,
.

III

,
.

(X, Y ) .
f(X,Y ) (x, y) 0

Z + Z

f(X,Y ) (x, y)dxdy = 1.

28

(X, Y ) [a, b] [c, d]


Z dZ b
P r{a X b, c Y d} =
f(X,Y ) (x, y)dxdy.
c

X (X, Y )
fX (x) =

f(X,Y ) (x, y)dy.

Y X = x
fY |X=x (x, y) =

f(X,Y ) (x, y)
.
fX (x)

Y [c, d]
Z d
P r{c Y d | X = x} =
fY |X=x (x, y)dy,
c

P r{c Y d | a X b} =

RdRb
c

fX,Y (x, y)dxdy


.
Rb
f
(x)dx
X
a

Y X = x
Z +
E[Y | X = x] =
yfY |X=x (x, y)dy.

, E[Y | X] ( X ). :
E[h(X, Y )] = E[E[h(X, Y ) | X]],
h(X, Y ) (X, Y ).
:
Z + Z +
Z + Z
h(x, y)f(X,Y ) (x, y)dxdy =

h(x, y)fY |X (x, y)dy fX (x)dx.

, X ( ) Y (
). , .
. Y X E[Y | X].

29

. g(X) . :
M SP E = E[(Y g(X))2 ] = E[(Y E[Y |X] + E[Y |X] g(X))2 ] =
= E[(Y E[Y |X])2 ] + E[(E[Y |X] g(X))2 ] E[(Y E[Y |X])2 ].
, g(X) = E[Y |X], .. .
. e = Y
E[Y |X].
:
E[e|X] = 0

E[e] = 0

E[eh(X)] = 0.

, .
. Y X X: g(X) = a + bX.
. Y X

BLP (Y |X) = + X,

Cov(X, Y )
,
V ar(X)

= E[Y ] E[X].

.
M SP E = E[(Y a bX)2 ] min
a,b


E[2(Y a bX)] = 0,

E[2(Y a bX)X] = 0.

.
. E[Y |X]
BLP (Y |X).
.

M SAE = E[(E[Y |X] a bX)2 ] min.
a,b

30

.
.
u = Y BLP (Y |X).

E[u] = 0,

E[uX] = 0.

. E[Y |X] X, E[Y |X] = BLP (Y |X).

, :
 
Y
N
X


Y2
Y
,
X
X Y

X Y
2
X

!!


2 
2
y Y
(x X )(y Y )
x X
+
2

1
X
Y
X Y

p
exp
f(X,Y ) (x, y) =
.
2
2
2(1 )

2X Y 1
.
1. :
2
X N (X , X
).

2. Y |X = x :


Y
2
2
Y |X = x N Y + (x X ), Y (1 ) .
X
E[Y |X] =
BLP [X|Y ].
3. Y X (.. = 0), Y X .
4. :
 
 
Y2
Y
Y
A
N A
,A
X
X
X Y

X Y
2
X

A 2 2 .

31

A0

Y , , ..
Y N (, ),
k 1 , k k . Y
fY (y) =

1
(2)k/2 ||1/2



(y )0 1 (y )
exp
.
2

Y :
 
Y1
Y =
N
Y2

!!
 
11 12
1
,
= N (, ).
2
21 22

:
1. Y1 N (1 , 11 ).
2. Y2 |Y1 = y1 N (2 + B 0 (y1 1 ), 22 B 0 11 B), B = 1
11 12 .
3. 12 = 0, Y1 Y2 .
4. g + HY N (g + H, HH 0 ), g , H
.

,

. .
X, FX (x). , , b ,

FX (x)
n

1X
I[xi x].
Fn (x) =
n i=1
.
1. :
Z +
= E[X] =
xdF (x).

32

, ,
Z +
n
1X
b
xi .
=
xdFn (x) =
n i=1

2: -. , -
.
y = x0 + e,

E[ex] = 0.

: E[(y x0 )x] = 0. :
= (E(xx0 ))1 E(xy).
, -:
!1
!
n
n
X
X
1
1
b =
xi x0i
xi yi .
n i=1
n i=1
3: -. -
.
E[y|x] = x0 .
:
= arg minE[(y x0 b)2 ].
b


1
b = arg min
b n

n
X

(yi x0i b)2 .

i=1

, .


, .
(y, x), y , x .
. ( ) - y x x.

33

:
1. E[y|x].
2. M ed[y|x].
3. q [y|x].
4. M ode[y|x].
,
. e =
y E[y|x]. E[e|x] = 0, , ,
E[eh(x)] = 0 h(x). , E[e] = 0. x
e .

y = E[y|x] + e,

E[e|x] = 0.

, .
, {(yi , xi )}ni=1 , (y, x), , ,
E[y|x]. :
1. : E[y|x] , , x
x.
2. : E[y|x] = g(x, ). Rk . , g(x, ).
, , . ,
, . ,
,
E[y|x].
3. :
. , E[y|x] , . ,
, ,
.

34

IV
1

E[y|x] = x0 ,
y = x0 + e,

{(yi , xi )}ni=1 iid.

E[e|x] = 0,

, E[xx0 ] . ,
,
= arg minE[(y x0 b)2 ].
b

, :
!1
n
n
n
X
X
1
1
1X
0 2
0
b
(yi xi b) =
xi xi
xi yi .
= arg min
b n
n i=1
n i=1
i=1
, -.

-
:
n

b = +

1X
xi x0i
n i=1

!1

1X
xi ei .
n i=1

p
, - , .. b . , -

:
!1
n
n
X


1
1 X
d
1

n(b ) =
xi x0i
xi ei N 0, Q1
xx Qe2 xx Qxx ,
n i=1
n i=1
:
Qxx = E[xx0 ],

Qe2 xx = E[e2 xx0 ] = V ar[xe].

.
,
n

1X
p
xi x0i E[xx0 ] = Qxx ,
n i=1
n

1X
p
xi ei E[xe] = E[xE[e|x]] = 0,
n i=1
35

-.
,
n

1 X
d

xi ei N (0, V ar[xe]) = N (0, Qe2 xx ) ,


n i=1
-.
, , .. E[e2 |x] = 2 = const. Qe2 xx = 2 Qxx
- :


d
n(b ) N 0, 2 Q1
xx .

, :
n

1X
p
b2

b =
(yi x0i )
2,
n i=1
2

X
p
bxx = 1
Q
xi x0i Qxx .
n i=1

. :
n

1X
b2=
(yi x0i )
n i=1
n

X
1X 0
1X
b2+ 2
b =
(yi x0i )2 +
(xi x0i )
(yi x0i )(x0i x0i )
n i=1
n i=1
n i=1
!
n
n
n
X
X
1X
1
b0
b +2
b
=
(yi x0i )2 + ( )
xi x0i ( )
(yi x0i )x0i ( ).
n i=1
n i=1
n i=1
=

, , :
n

1X
p
(yi x0i )2 2 ,
n i=1
b0
( )

!
n
1X
p
b
xi x0i ( )
0,
n i=1

2X
p
b
(yi x0i )x0i ( )
0.
n i=1
:

1X
p
b2
(yi x0i )
2.
n i=1

36

.
Qe2 xx . ,
:
n

X
p
b2
be2 xx = 1
Q
xi x0i (yi x0i )
Qe2 xx .
n i=1
, -

b1
b
b1
Vb = Q
xx Qe2 xx Qxx .
bj
r h i
1 b
se(bj ) =
V .
n
jj
t- ,
:
tj =

bj j d
N (0, 1).
se(bj )

h() = 0, l k, -:
h
i1
d
b0 H
b
b Vb H
b0
W = h()
h()
2 (l),

H=

h()
,
0

b
b = h() .
H
0

:
X = (x1 , x2 , . . . , xn )0 ,

y = (y1 , y2 , . . . , yn )0 ,

= (e1 , e2 , . . . , en )0 .



y = X + ,

E[|X] = 0.

-
b = (X 0 X)1 X 0 y = + (X 0 X)1 X 0 .
:

37

:
b
E[|X]
= + (X 0 X)1 X 0 E[|X] = .
.

b
V ar[|X]
= (X 0 X)1 X 0 X(X 0 X)1 ,
= V ar[y|X] = E[0 |X].

. E[y|X] = X. ,
A(X)y, A(X) k n,
X.
. - A(X) = (X 0 X)1 X 0 .
. E[y|X] = X. , A(X)y, A(X) kn,
X A(X)X = Ik .
. - A(X)X = (X 0 X)1 X 0 X = Ik .
, V ar[A(X)y|X] = A(X)A(X)0 . , V ar[A(X)y|X].
(-).
e = A (X)y,
A (X) = (X 0 1 X)1 X 0 1 .

e
V ar[|X]
= (X 0 1 X)1 .
. e ,

A (X)X = Ik . A(X), , A(X)X = Ik .


:
(A(X) A (X))X = 0,
(A(X) A (X))A (X)0 = (A(X) A (X))1 X(X 0 1 X)1 = 0.

38


V ar[A(X)Y |X] = A(X)A(X)0 =
= (A(X) A (X) + A (X))(A(X) A (X) + A (X))0 =
e
= (A(X) A (X))(A(X) A (X))0 + V ar[A (X)Y |X] V ar[|X].
, e -

. E[y|X] = X. e = (X 0 1 X)1 X 0 1 y

().
1. - e .

2. b .. - - .
, e = ,

, -

- - .

OLS

GLS

2 (X 0 X)1

2 (X 0 X)1

(X 0 X)1 X 0 X(X 0 X)1

(X 0 1 X)1

1. - e , .

2. - e ()

bW LS = (X 0 W X)1 X 0 W Y,
W .

-.
:
n

e = +

1 X xi x0i
n i=1 2 (xi )

39

!1

1 X xi ei
.
n i=1 2 (xi )

, :


n
xx0
1 X xi x0i p
Qxx/2 = E 2
,
n i=1 2 (xi )
(x)


n
1 X xi ei p
xe
E 2
= 0,
n i=1 2 (xi )
(x)
n


1 X xi ei d

2 .

N
0,
Q
xx/
n i=1 2 (xi )

"

2 #

xx0
xe
2
= E 4 E[e |x] = Qxx/2 .
E
2 (x)
(x)
, - .
,
- - - :

OLS

GLS
Q1
xx/ 2

Q1
xx

1
Q1
xx Qe2 xx Qxx

= 2 Q1
xx

Q1
xx/ 2

. - e
!1
n
n
X
1
1X
0
b
IV =
zi xi
zi yi ,
n i=1
n i=1
zi = f (xi ) f : Rk Rk .
. , - -
, .. zi = xi , zi = xi / 2 (xi ).
n

bIV =

1X 0
zi xi
n i=1

!1

1X
zi yi .
n i=1

,
1
Vzz = Q1
zx Qe2 zz Qxz ,

40

Qzx = E[zx0 ], Qe2 zz = E[zz 0 e2 ] = E[zz 0 2 (x)]. , - Q1


xx/ 2 ,
Vzz

Q1
xx/ 2

0 2

= (E[zx ])

E[zz (x)] (E[xz ])

= (E[vu0 ])

 
1
xx0
E 2
=
(x)

E[vv 0 ] (E[uv 0 ]) (E[uu0 ]) =


h
i
1
0 1
0
0
0 1
0
= (E[vu ])
E[vv ] E[vu ] (E[uu ]) E[uv ] (E[uv 0 ]) =
1

= (E[vu0 ])

E[ww0 ] (E[uv 0 ])

0.

v = z(x), u = x/(x) w = vE[vu0 ](E[uu0 ])1 u. , ,


- .
. - , ..
. , -


n
x
1X
e xi = 0.
=0
(yi x0i )
E e
(x)
n i=1
(xi )

, -, ,
2 (xi ), . ,
, . ,
2 (x). ( !)
, .
,
x:
2 (x) = E[e2 |x] = z 0 ,
z x, z = x2 . ,
e2 = z 0 + ,

E[|z] = 0.

,
- , , :

b=

X
i

zi zi0

!1

b
ebi = yi x0i b = ei + x0i ( ),
X
i

zi e2i + 2

X
i

b i+
zi x0i ( )e
41

X
i

b 2
zi (x0i ( ))

, :

b2 (xi ) = zi0
b,
,
():
eF =

n
X
xi x0i

b2 (xi )
i=1

!1

n
X
xi yi
b 1 X)1 X 0
b 1 y.
= (X 0
2

b (xi )
i=1

-:

1. , ebi i =
1, . . . , n. ,
b
2
b

b (xi ) ( ).

2. -
eF =

n
X
xi x0i

b2 (xi )
i=1

!1

n
X
xi yi
b 1 X)1 X 0
b 1 y.
= (X 0
2 (x )

b
i
i=1

, .
b2 (xi ) < 0.
1. > 0.
b2 (xi ) = max(zi0
b, ).
2. ,
b2 (xi ) < 0.
3.
b2 (xi ) =

1
n

Pn

0
b
j=1 zj

,
b2 (xi ) < 0.

. , e ..
eF - ,

n(eF ) N (0, Q1
xx/ 2 ).


!1
n
0
X
x
x
i
i
Vb = n
.
2 (x )

b
i
i=1
, eF ,

, :



d
1
1
e
n(F ) N 0, Qxx/2 Qxx/4 e2 Qxx/2 ,
42

:
 0


xx
xx0 2
Qxx/2 = E 0 , Qxx/4 e2 = E
e .
z
(z 0 )2

!1
!1
X xi x0
X xi x0
X xi x0
i
i 2
i
Vb = n
eb
.
0
0 2 i
0
z

b
(z

b
)
z

b
i
i
i
i
i
i

, , = V ar[y|X] . b = (X 0 X)1 X 0 y
b
V ar[|X]
= (X 0 X)1 X 0 X(X 0 X)1 ,
- e = (X 0 1 X)1 X 0 1 y
e
V ar[|X]
= (X 0 1 X)1 .
, .

:
yt = x0t + et ,

E[et |It1 ] = 0,

E[e2t |It1 ] = 2 (It1 ),

{(xt , yt )}Tt=1 ,
It1 = {yt1 , yt2 , . . . ; xt , xt1 , . . .}.
:
AR(p), xt = (yt1 , yt2 , . . . , ytp )0 .
:
st+1 st = + (ft st ) + et ,

E[et |It1 ] = 0,

ft , st .

43

:
E[et |It1 ] = 0,

t+1 = + it + et ,

t+1 , it .
, E[Y |X] X,
. - -.
-. , - :
!1 T
T
X
X
p
xt yt .
xt x0
b =
t

t=1

t=1

, :
E[xt et ] = E[E[xt et |It1 ]] = E[xt E[et |It1 ]] = 0.
, -:

d
1
T (b ) N (0, V ), V = Q1
xx Qe2 xx Qxx ,

Qxx = E[xt x0t ], Qe2 xx = E[xt x0t e2t ]. Qe2 xx


0,
E[xt et x0tj etj ] = E[E[xt et x0tj etj |It1 ]] = E[xt E[et |It1 ]x0tj etj ] = 0.
-. - ,
, . :
e =

T
X
t=1

xt
x0t
2
(It1 )

!1

T
X

xt
yt .
2
(It1 )
t=1

- , 2 (It1 ),
It1 .
,
:
yt = x0t + et ,

E[et |Itq ] = 0,

Itq = {ytq , ytq1 , . . . ; xt , xt1 , . . .}.


:

44

E[e2t |Itq ] = 2 (Itq ),

ARM A(p, q), xt = (ytq , ytq1 , . . . , ytqp+1 )0 .


:
st+q st = + (ft,q st ) + et ,

E[et |Itq ] = 0,

ft,q q , st
.
:
t+q = + it,q + et ,

E[et |Itq ] = 0,

t+q , it,q q .
-.
T
X

b =

xt x0t

!1

t=1

T
X

xt yt .

t=1

, ..

d
T (b ) N (0, V ),

1
V = Q1
xx Qe2 xx Qxx ,

Qe2 xx
Qe2 xx =

E[xt x0t e2t ]

q1
X

(E[xt x0tj et etj ] + E[xt x0t+j et et+j ]).

j=1

2q 1, j > q 1
0
E[xt x0tj et etj ] = E[E[xt Xtj
et etj |Itq ]] = E[xt x0tj E[et |Itq ]etj ] = 0.

- V
, , , .
-. -
. ,
e 6=

T
X
t=1

xt
x0t
2
(It1 )

!1

45

T
X

xt
yt .
2
(It1 )
t=1

, E[y|x] . .
1. E[y|x ] = (x )0 , x . x = x + u, u
x y. - :
y = (x )0 + e = (x u)0 + e = x0 + v,

v = e u0 ,

E[xv] = E[(x + u)(e u0 )] = E[uu0 ] 6= 0

p
b 9 .

.
2.
Q = 1 P + e1

C :

:
Q = 2 P + e2
 
e1

iid(0, I2 ).
e2
, :
E[e1 P ] 6= 0,

E[e2 P ] 6= 0.

, - Q P ,
p E[QP ]
.
b
E[P 2 ]

:
! 
 

Q
1
e1
2
1
=
,
P
1 + 2 1 1
e2
,
E[QP ] =

2 1
,
(1 + 2 )2

E[P 2 ] =

2
.
(1 + 2 )2

, - 1 , 2 ,
- :
2 1
p E[QP ]
b
=
.
2
E[P ]
2
46

, , ,
- .
. x y = x0 + e
, E[e|x] 6= 0.
. z
y = x0 + e, E[e|z] = 0. z
.
, , ..
y = x0 + e,

E[e|x] = 0

z = x . .

, l k ( ). Qzz = E[zz 0 ] . , E[ze] = 0.


. ,
n

1X
zi (yi x0i bIV ) = 0,
n i=1

!1 n
n
X
X
bIV =
zi x0
zi yi .
i

i=1

i=1

:
bIV = (Z 0 X)1 Z 0 Y,

Z = (z10 , z20 , . . . , zn0 )0 .

, :

E[bIV |Z, X] = (Z 0 X)1 Z 0 E[Y |Z, X] 6= ,


d

n(bIV ) N (0, V ),

1
V = Q1
zx Qe2 zz Qxz ,

Qzx = E[zx0 ], Qe2 zz = E[e2 zz 0 ]. , : Qzx

47

. Qzx , Qe2 zz :

X
bzx = 1
Q
zi x0i ,
n i=1

X
be2 zz = 1
Q
zi zi0 eb2i ,
n i=1

ebi = yi x0i bIV .

, C bIV , , , .

, l > k ( ). Qzz
.
. z x:
E[zu0 ] = 0.

x = z + u,
:
E[z(x z)0 ] = 0

0 = (E[zz 0 ])1 E[zx0 ] = Q1


zz Qzx .

, , :
y = (z + u)0 + e = (z)0 + v,

v = e + u0 .

,
E[zv] = E[z(e + u0 )] = 0,

1
= (E[z(z)0 ])1 E[zy] = (Qxz Qzz
Qzx )1 Qxz Q1
zz Qzy .

, ( ) :

b2SLS =

n
X

xi zi0

i=1

n
X
i=1

zi zi0

!1

n
X
i=1

zi x0i

n
X
i=1

xi zi0

n
X

zi zi0

i=1

,
b2SLS = (X 0 Z(Z 0 Z)1 Z 0 X)1 X 0 Z(Z 0 Z)1 Z 0 Y.

48

!1

n
X
i=1

zi yi ,

, :
p
b2SLS ,

n(b2SLS ) N (0, V2SLS ),

1
1
1
1
1
V2SLS = (Qxz Q1
zz Qzx ) Qxz Qzz Qe2 zz Qzz Qzx (Qxz Qzz Qxz ) .

, E[e2 |z] =
2 = const. ,
Qe2 zz = 2 Qzz :
1
V2SLS = 2 (Qxz Q1
zz Qzx ) .

, , .
.
,
Qxz k:
rank(Qxz ) = k.
. b2SLS
:

b2SLS =

n
X

i x0i

i=1

!1

n
X

i yi ,

i=1

i =

n
X

xj zj0

j=1

n
X

zj zj0

!1

zi .

j=1

i .
.

Qzx k, .
,
. .
. :
l = k = 1,

y = x + e,

E[e|z] = 0,

E[xz] = 0.

, Qxz 0, .. .

49

:
n

1 X
d

zi ei N (0, Qz2 e2 ),
n i=1

1 X
d

zi xi N (0, Qz2 x2 ).
n i=1

, :
P
P
1
z
y
i zi ei d
n
i
i
=+ 1 P
+ D,
bIV = P

zi xi
i zi xi
n
D . ,

.
, , : H0 : E[xz] = 0, ,
. F-
x z.

. , , .
l = k.
bIV =

X

zi x0i

1 X

zi yi ,

bIV
=

X

zi x0
i

1 X

zi yi .


X
1 X
X
1
VbIV = n
zi x0i
zi zi0 eb2i
xi zi0
,

X
1 X
X
1

0
0 2
0
b
zi xi
zi zi ebi
xi zi
.
VIV = n
l > k. , E[ze] = 0,
,
n

1X
zi ebi 6= 0.
n i=1
. ,
b2SLS = (. . .)1

xi zi0

50

X

zi zi0

1 X

zi yi ,


X
1 X

X
X

1
0
0

b
2SLS = (. . . )
xi zi
zi zi
zi yi
zi ebi .
,

Vb2SLS = n(. . .)1

xi zi0

X

zi zi0

1 X

zi zi0 eb2i

X

zi zi0

1 X

zi x0i (. . .)1 ,

1 X
1 X
X
X
X
1
0
0
0

1
0
b
zi zi
zi x0
zi zi
ui ui
xi zi
V2SLS = n(. . . )
i (. . . ) .
P
ui = zi ebi n1 nj=1 zj ebj .

:
yt = x0t + et ,

E[et |It1 ] = 0,

It1 = {yt1 , yt2 . . . ; xt , xt1 , . . .}.


zt = (yt1 , yt2 , . . . , ytly , x0t , x0t1 , . . . , x0tlx )0 .
, It1 ,
E[et |zt ] = E[E[et |It1 ]|zt ] = 0.
b2SLS -

- (: ?), , ,
. .
, :
yt = x0t + et ,

VI
1

E[et |Itq ] = 0,

zt = {ytq , . . . , ytly , x0t , . . . , x0tlx }0 .

E[y|x] = g(x, ) g(, ).


. ,
, .
g(x, ) x ,
x z, E[y|z] = z 0 .

51

1. :
g(x, ) = 0 + 1 x1 + 2 x2 + 3 x1 x2 + 4 x21 + 5 x22 .
:
z = (1, x1 , x2 , x1 x2 , x21 , x22 )0 .
2. :
g(x, ) = 0 + 1 x + 2 x2 + + p xp .
:
z = (1, x, . . . , xp ).
.
x
g(x, )
= 1 + 22 x + + pp xp1 .
x
, x , .
- x, ,
x, x, x2 , . . . , xp1 . 1 , 2 , . . . , p
.
.
- , , , .
:
y = AK L1 exp(e),

E[e|A, K, L] = 0.

:
E[log Y | log A, log K, log L] = log A + log K + (1 ) log L.

, , ..
E[y|x] = g(x0 ) 6= z 0
z(x).
.

52

g(x, ) = 1 + 2

x
1 + 3 x

g(x, ) = 1 + 2 e3 x
g(x, ) = (1 + 2 x1 )1[x2 3 ] + (4 + 5 x1 )1[x2 > 3 ]
g(x, ) .
g(x, )
.
= g (x, ) .
0

g(x, ) = x0

g (x) = x,

.. . .
.

,
= arg minE[(y g(x, b))2 ].
b

, ():
n

1X
(yi g(xi , b))2 .
= arg min
b n
i=1

n

1X
b (xi , )
b = 0.
(yi g(xi , ))g
n i=1
, b -

, - .

- . - .
,
= (10 , 20 )0 ,

g(x, ) = 10 x(2 ).

, 1 2 . , , 2 ,
.

53

. :
g(x, ) = 1 + 2 e3 x .
:
1 = (1 , 2 )0 ,

2 = 3

x(2 ) = (1, e2 x )0 .

:
"

#
n
X
1
b = arg min min
(yi 10 xi (2 ))2 .
1 n
2
i=1
1. 2 1 :

b1 (2 ) = (X 0 (2 )X(2 ))1 X 0 (2 )Y,

X(2 ) = (x1 (2 ), . . . , xn (2 ))0 .

2.
" n
#
1X

b2 = arg min
(yi
b10 xi (2 ))2 .
2
n i=1
2 , .
.
2 [ 2 , 2 ] .
2
b1 (2 ) Pn
1
0
n i=1 (yi
b1 (2 ) xi (2 ))2 .

2 ,
.
, 2
, .
- . - .
, b1
.
bj bj+1 . ,

54

|bj+1 bj | < . :
-
n

1X
(yi g(xi , bj ) g (xi , bj )0 (bj+1 bj ))g (xi , bj ) 0.
n i=1

dj =

n
X
i=1

g (xi , bj )g (xi , bj )0

!1

n
X
i=1

g (xi , bj )(yi g(xi , bj )),


bj+1 = bj + dj .
dj ( ), j [0, 1],
, ,
bj+1 = bj + j dj .

. , ,
b = , g(x, ) = g(x, b) 1.
,
E[(y g(x, b))2 ] = E[(y g(x, ))2 ] + E[(g(x, ) g(x, b))2 ]
.
.
. Qxx = E[xx0 ] . 6= b :
E[(x0 x0 b)2 ] = ( b)0 Qxx ( b) > 0.
, x0 6= x0 b 1.
, :
g(x, ) = 1 + 2 e4 +3 x = 1 + elog 2 +4 +3 x .
2 4 .

55

. {zi ()}ni=1
(),
n

1X
1X
p
supk
zi () p lim
zi ()k 0.
n i=1
n i=1

p
. {zi ()}ni=1 bn ,
n

1X b p
1X
zi (n ) p lim
zi ().
n i=1
n i=1
. ,
-:


n
n
1 X

X
1


zi (bn ) p lim
zi ()

n

n
i=1
i=1



n
n
n
n
1 X



X
X
X
1
1
1





zi (bn ) p lim
zi () + p lim
zi () p lim
zi ()
n
b
b

n
n
n
i=1
i=1
i=1
i=1
n
n
n




n
n
n
1 X



1X
1X
1X




sup
zi () p lim
zi () + p lim
zi () p lim
zi ()

b

n
n
n
n
i=1

i=1

i=1

i=1

0.

, :
n

X
p
be2 xx = 1
Q
xi x0i eb2i Qe2 xx ,
n i=1

X
p
b (xi , )
b0
bgg = 1
Q
g (xi , )g
Qgg ,
n i=1

Qgg = E[g (x, )g (x, )0 ].


. :
1. ;
2. g(x, ) b;
3. :
(yi g(xi , ))2 ,

g (xi , )g (xi , )0 ,

(yi g(xi , ))

4. Qgg = E[g (x, )g (x, )0 ] ;


5. Qe2 gg = E[g (x, )g (x, )0 e2 ] .

56

g (xi , )
;
0

- :

p
d
1
b ,
n(b ) N (0, Q1
gg Qe2 gg Qgg ).
.
1. : > 0 , 1
n , :
n

X
1X

b 2< 1
(yi g(xi , ))
(yi g(xi , ))2 + ,
n i=1
n i=1
3
1 Pn
2
b
i=1 (yi g(xi , b)) . n
(yi g(xi , ))2 ,
n

X
b 2] < 1
b 2 + .
E[(y g(x, ))
(yi g(xi , ))
n i=1
3
,
n

1X

(yi g(xi , ))2 < E[(y g(x, ))2 ] + .


n i=1
3
, :
b 2 ] < E[(y g(x, ))2 ] + .
E[(y g(x, ))

. , N (). , :
inf E[(y g(x, b))2 ] > E[(y g(x, ))2 ].

bN ()c

:
=

inf c E[(y g(x, b))2 ] E[(y g(x, ))2 ],

bN ()

:
b 2] <
E[(y g(x, ))

inf E[(y g(x, b))2 ],

bN ()c

p
, b N (). , b .

2. :
:
n

1X
(yi g(xi , ))g (xi , ) +
n i=1
"
#
n
e
1X
g
(x
,
)

i
e
e (xi , )
e 0 (b ) = 0,
(yi g(xi , ))
g (xi , )g
+
n i=1
0
57

e b . ,
#)1
( n "
X
e

g
(x
,
)
1

i
e
e (xi , )
e0
n(b ) =
(yi g(xi , ))
g (xi , )g

n i=1
0
n

1 X
d

(yi g(xi , ))g (xi , )
n i=1
 
1
g (x, )
d
0
g (x, )g (x, )
N (0, Qe2 gg )
E (y g(x, ))
0

1
= N 0, Q1
gg Qe2 gg Qgg .
.
:
E[e2 |x] = 2 = const.
, :
Qe2 gg = 2 Qgg

n(b ) N (0, 2 Q1
gg ).

- ,
E[eg (x, )] = 0. ,
:


g (x, )
= 0.
E e 2
(x)
.
n
e
1X
e g (xi , ) = 0.
(yi g(xi , ))
n i=1
2 (xi )

e , ,

(-).
1
e = arg min
b n

n
X
(yi g(xi , b))2

2 (xi )

i=1

:
p
e ,

n(e ) N (0, Q1
gg ),
2

58


g (x, )g (x, )0
Q =E
.
2 (x)
-


gg
2

,
. , - e

,
n

1X
(yi g(xi , bIV ))zi = 0,
n i=1
zi xi , k 1.

:
(
1
x0i + ei 0,
yi =
0
,

ei |xi N (0, 1).

:
E[y|x] = P {x0 + e 0|x} = P {e x0 |x} = (x0 ).
, . -
1
b = arg min
b n

n
X

(yi (x0i b))2

i=1

p
d
1
b ,
n(b ) N (0, Q1
gg Qe2 gg Qgg ),

g (x, ) = f (x0 )x,

Qgg = E[f (x0 )2 xx0 ],

Qe2 gg = E[f (x0 )2 (y (x0 ))2 xx0 ].

-
1
e = arg min
b n

n
X
i=1

(yi (x0i b))2


,
b (x0 ))
b
(x0 )(1
i

2 (x) = V ar[y|x] = (x0 )(1 (x0 )) 6= const.


:
p

e ,

n(e ) N

 
0, E

59

f (x0 )2 xx0
(x0 )(1 (x0 ))

1 !

, . .
1. :
y = (1 + 2 x) + (3 + 4 x)

1
+ e,
1 + ex5

E[e|x] = 0.

, 3 = 4 = 0 (..
), 5 .
2. ARCH-M :
yt = 0 + x0t 1 + t2 + et ,

E[et |It1 ] = 0,

E[e2t |It1 ] = t2 = 0 + 1 e2t1 .

ARCH , .. H0 : 1 = 0,
,
0 .
(, t ) , , ..
- .
. = (10 , 20 )0 , 1 , 2
. W (2 ) 2 .
-
sup W = supW (2 )
2

, .
, .

60