Носко - Эконометрика для начинающих - Дополнительные главы - 2005

..
2005
330.45:519.862.6
656
84
.. ( ).
.: , 2005. . 379.
CIP

()
, , ,
.
, .
.
Nosko V.P. Econometrics for Beginners (Additional Chapters)

The monograph deals with methods of statistical analysis of regression
models with a limited (censored) depended variable, systems of simultaneous
equations, panel data, as well as structural forms of vector autoregressions and
error correction models. The monograph is designated for students who have
mastered an introductory econometrics, as well as for experts in the area of
economics and finance.
JEL Classification: 50, 51, 52, 53

, ,
.
ISBN 5-93255-173-9
, 2005

............................................................................ 7
1.
.
...................................................................... 10
1.1 ,
................... 10
1.2.

............................................................. 18
1.3.
,
, .............. 24
1.4. ................................ 35
1.5.
.................................................................. 38
1.6. ,

.......................................................... 47
1.6.1. - ................................. 47
1.6.2. .................................. 55
1.7.
(-)................................................................... 67
1.8. -II ......................................................... 86
2. .
............................... 99
2.1.

..................................................................... 99
2.2. ,

........................................................................ 111
2.2.1.
.......................................... 111
2.2.2. .................. 113
2.3. ................. 116
2.4.

............................................. 125
2.5.

......................................................................... 133
2.6.
............................................. 158
2.6.1.
....................................................................... 158
2.6.2.
....................................................................... 159
2.6.3. GLS-
.
..................................... 167
2.6.4.

................................... 170
2.6.5.

...................................................................... 175
2.6.6.

...................................................................... 177
2.6.7.
. ......................................... 183
2.6.8.
........................... 207
3. ............................................. 213
3.1.
,
............................................................................. 213
3.2. ........................................ 242
3.3. ................................................ 248
3.4. ,
........................... 258
3.5.

........................................................................ 264
3.6. ............................... 272
3.7.
() ............................................ 276
3.7.1. .................................. 276
3.7.2. ........................................... 279
3.7.3.
................................................. 281
3.8. .................................. 284
3.9. ................ 285
3.10. ..................................... 291
3.10.1. RE- FE-..................... 291
3.10.2. ............................. 294
3.11. ........................................ 297
3.12. ................................. 313
3.12.1. -
..................................................................... 319
3.12.2. -
..................................................................... 323
3.12.3. ............................................................... 325
3.13. - ......................................................... 334
4.

............................................................. 347
.......................................................................... 372
..................................................... 374

:
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(2000), :

(2004).
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( II).
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[ (2004)]). ,

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- ..,
.

1.

1.1 ,

( ),
( ),
( ) ..
n , .. n
, i -
1 ( )
0 ( ).
(, ) y ,
i - yi . y i = 1
i - y i = 0
i - .
(,
) ( ) , ,
,

yi = 1 xi1 + L + p xip + i , i = 1, K , n ,
xi1 , K , xip p i -
,
1 ,K , p , 1 , K , n
,
i - -
.
11
(OLS
ordinary least squares) .
E ( i xi ) = 0 , i = 1, K , n ,
E ( y i xi ) = 1 xi1 + L + p xip = xiT ,
= 1 , K , p
)T
- () ,
( T
), xiT = xi1 , K, xip - ()
i - .
, yi ,
0 1,
( xi )
E ( y i xi ) = 1 P{y i = 1 xi } + 0 P{y i = 0 xi } = P{y i = 1 xi } .

,
1 xi1 + L + p xip = P{yi = 1 xi },
.. 1 xi1 +L + p xip ,
0 1 xi1 + L + p xip 1 .
,
.
, y i = 1 i = 1 xiT , y i = 0
i = xiT , ( xi ) i
i - , ()

P i = 1 xiT x i = P{y i = 1 x i } = xiT ,
{
P{
= xiT xi = P{y i = 0 xi } = 1 xiT .
12
, i

E ( i xi ) = 1 xiT P i = 1 xiT xi + xiT P i = xiT xi =
(
) {
} ( ) {
= (1 x ) x x (1 x ) = 0
T
i
T
i
T
i
T
i
( )
= (1 x ) x + ( x ) (1 x ) =
= x (1 x ) [x + (1 x )] = x (1 x ) .
D( i xi ) = E i2 xi (E ( i xi ) ) = E i2 xi =
T
i
T
i
T
i
T
i
T
i
T
i
T
i
T
i
T
i
T
i
, ,
i () .
, y i
i - , xi
, (
). ,
xi .
yi = + xi + i , i = 1, K , n ,
E ( yi xi ) = P{yi = 1 xi } = + xi ,
xi ,
,
( + (xi + 1)) ( + xi ) = ,
,
xi .

. ,
,
13

.

,
, , .

, ..
,
, ,
.
,

.
x(1) = min{x1 ,K, xn }, x( n ) = max{x1 , K, xn },
x(1) x x( n )
.
m l = x( n ) x(1) / m .
,
.
j - ( j = 1,K, m )
n j , n j ,1
. ( , xi,
, ,
.)
,
j - ,
h j = n j ,1 / n j .
,
n ,
m,
xi .
14
) (
x(1) ,0 x(n ) ,1 ,

.
- Gn (x) . P{yi = 1 xi = x} = G ( x) ,
Gn (x) - G (x) .
, G (x)
() x,
Gn (x) .

Gn (x)
G (x) ,
Gn (x)
.
(
)
,
1000
100 2100 , 510
.
( Gn (x) )
:
15
G_n
0.8
0.6
0.4
0.2
0
100
600
1100
1600
2100
, G (x)
, S- .
, , ,

: = 0 .237628 , = 0.000680,
P{yi = 1 xi }
P {y i = 1 x i } = 0 .237628 + 0 .000680 x i .
xi 349 ,
xi 1821 , ,
.
, , S-
0 1,
,
, ,
.
16

N , 2 , 2 ,

x
2
1
( z )
G ( x) =
exp
dz .
2 2
2
(z ) / = t
G ( x) =
( z ) =
1
2
1
2
( x ) /
e t
/2
x
dt =
,

t 2 / 2
e dt
N (0,1) ,
, .
x
G ( x) =

G ( x) = ( + x ) ,
= / , = 1 / .
, G (x)
,
yi = ( + xi ) + i , i = 1, K , n .
,
,
G (x) :
= / , = 1 / .
,
.
17
, G ( x) = ( + x )
,
. ,

n
Q( , ) = ( y i ( + x i )) .
2
i =1
,
, ,

.
,
:
D ( i xi ) = ( + xi ) (1 ( + xi )) .
,
i

, ..
n
Q( , ) = wi ( y i ( + x i )) ,
2
i =1
wi
wi = 1 / D ( i xi ) = [( + xi ) (1 ( + xi ))] 1 .
, xi,
,
.

w i0 , i = 1, K , n , G i0
Gi = G ( xi ) = ( + xi ) ,
1
w 0 = G 0 1 G 0
.
i
[ (
i
)]
18
yi = 0 yi = 1 ,
G 0 = 1 , y = 1 , G 0 = 0 , y = 0 .
i
w i0 (
).

,
,
,
.
,
,
,

yi = G 1 xi1 + L + p xip + i , i = 1, K , n ,
1.2.

,

y i = G ( 1 xi1 + L + p xip ) + i , i = 1, K , n ,
G ( z ) S- ,
g ( z ) = G ( z ) .
1 xi1 + L + p xip = xiT ,
( )
G ( 1 x i1 + L + p x ip ) = G x .
T
i
n
,
19
1 , K, n
xi ,
( )
E ( i xi ) = 0 , P{y i = 1 xi } = E ( y i xi ) = G x iT .
xi
G ( 1 xi1 + L + p xip ) + i ,
i = 1, K , n , ..
y1 ,K, yn . (
xi , i = 1, K , n )
y1 ,K, yn (
)
y
1 y
(P{yi = 1 xi }) (P{yi = 0 xi }) = (G (x )) (1 G (x ))
n
T
i
yi
T
i
1 yi
i =1
i =1
xi ,
i = 1, K , n , ,
( ( )) (1 G (x ))
L( ) = L( x1 , K , x n ) = G xiT
n
i =1
yi
T
i
1 yi
1 ,K , p . , 1 ,K , p
L( ) , .. xi , i = 1, K , n ,
y1 ,K, yn
, .

= ,
,
()
()
L = max L = max
(G(x )) (1 G (x ))
n
T
i
i =1
yi
T
i
1 yi

ln(z ) , ,
ln L( ) .

20
( )
( ))
ln L( ) = y i ln G xiT + (1 y i ) ln 1 G xiT .
i =1
i =1
, ,

.
,
(.. X = xij p
( )
n p ,
), L( )
,
,
.

y i = G ( + xi ) + i , i = 1, K , n ,
.

Econometric Views
(EVIEWS) G ( z )
( z ) =
1
2
t 2 / 2
e dt
N (0,1) (-),
ez

1+ ez
(-),
( z ) =
21
G ( z ) = 1 exp e z
() I- (
, -).
,
(
),

.
.
0.4
0.3
0.2
0.1
0
-6
-4
-2

(1000 )
EVIEWS :1

,
. ,
t -, z . P-, ,
.
22
-:
Variable
Coefficient Std. Error
z-Statistic
Prob.
C
X
-3.503812
0.003254
0.200637
0.000178
-17.46343
18.25529
0.0000
0.0000
Variable
z-Statistic
Prob.
C
X
-6.357013
0.005892
0.411837
0.000368
-15.43576
16.01461
0.0000
0.0000
Variable
z-Statistic
Prob.
C
X
-3.022612
0.003344
-18.63764
19.93322
0.0000
0.0000
-:
-:
0.162178
0.000168

( = 3.503812 , = 0.003254 )
= 1076.77 = 307.31
,

Gn (x ) , . ,

G (x )
= 1100 = 300 .
- Gn (x ) ,

G (x ) ,
2
N(1100, 300 ),
G ( x ) ,
N(1076.77, 307.312).
23
1.0
0.8
0.6
G_N
THEOR
ESTIM
0.4
0.2
0.0
500
1000
1500
2000

G ( x ) - -
1.0
0.8
0.6
0.4
0.2
0.0
G_N
THEOR
PROBIT
LOGIT
GOMPIT
, - -,
, .
, -,
24
. ,

. .
1.3.
,
,
.

y i = 1 xi1 + L + p xip + i , i = 1, K , n ,
xi1 1 ( ),
y .

R 2 ,
n
R 2 = 1
RSS
= 1
TSS
(y
i =1
n
(y
i =1
2
y i )
,
i
y)
y i = 1 xi1 + L + p xip , y = ( y1 + L + yn ) n . ( TSS ,

RSS .)
,
xi1 1 , ..
yi = 1 + i , i = 1, K , n ,
= y , y = = y , RSS = TSS R 2 = 0 .
1

R 2 ,
25
,

, .
R 2 = 1
, i = 1, K , n

yi = 1 xi1 + L + p xip .

yi = G 1 xi1 + L + p xip + i , i = 1, K , n ,

R 2 , -
.

,
,
( ).
yi = 1 ,
G x T > 1 / 2 .
( )
i
xiT > 0 ,
1, xiT > 0,
y i =
0, x iT 0.

n wrong ,1 =
y i y i =
i =1
(y
i =1
2
y i )

1 n
( y i y i )2 .
wrong ,1 =
n i =1
26
, ,
yi = 1 i = 1, K , n , 1 > 1 / 2 ,
.. y > 1 / 2 ( yi = 1 ,
).
,
yi = 0
i = 1, K , n , 1 / 2 , ..
1
y 1 / 2 ( yi = 1 ,
).

1 y , y > 1 / 2,
wrong ,0 =
y 1 / 2.
y,

wrong ,1
(y
2
y i )
.
= 1 i =1
wrong ,0
wrong ,0
, , ,
, , wrong ,1 > wrong ,0 ,
R 2predict = 1
R 2predict < 0 . ,
wrong ,0 0.5 ,

. ,
yi 1 90% , wrong , 0 = 0.1 ,
2
R predict
> 0 , ,
90% . ,
1 wrong ,1
.
.
27

R 2 .

,
(
)
.
L1
, L0
. , L0 L1 1 , ln L0 ln L1 0 .
c

1
[Aldrich, Nelson (1984)],
pseudoR 2 = 1
1 + 2(ln L1 ln L0 ) / n
ln L1
.
ln L0
LRI
(likelihood ratio index).
0 1.
2 = L = p = 0 , L0 = L1
McFaddenR 2 = 1
. ,
ln L1 = 0 , .. L1 = 1 . ,
y i = y i i = 1, K , n .
(, )

-
xiT . ,
xiT
28
( )
0 < G xiT < 1 ,

1.
,
R 2
.

.
wrong ,1
lnL1
0.125
0.124
0.121
wrong , 0
-275.7686
-275.4592
-292.6808
lnL0
0.490
-692.9472
(, ,
, 510,
. 1000
yi = 1 , 49% .)
, R 2
:
-
wrong ,1
0.125
R 2predict = 1
= 1
= 0.745 ,
0.490
wrong ,0
pseudoR 2 = 1
1
=
1 + 2(ln L1 ln L0 ) / n
=1
1
= 0.4548 ,
1 + 2(275.7686 + 692.9472) / 1000
McFaddenR 2 = 1
ln L1
275.7686
=1
= 0.6020 .
ln L0
692.9472
-
R 2predict = 1
wrong ,1
0.124
= 1
= 0.7470 ,
0.490
wrong ,0
pseudoR 2 = 1
1
=
1 + 2(ln L1 ln L0 ) / n
=1
1
= 0.4550 ,
1 + 2(275.4592 + 692.9472) / 1000
McFaddenR 2 = 1
ln L1
275.4592
=1
= 0.6025 .
ln L0
692.9472
-
R 2predict = 1
wrong ,1
0.121
= 1
= 0.7531 ,
0.490
wrong ,0
pseudoR 2 = 1
1
=
1 + 2(ln L1 ln L0 ) / n
=1
1
= 0.4446 ,
1 + 2(292.6808 + 692.9472) / 1000
29
30
McFaddenR 2 = 1
ln L1
275.4592
=1
= 0.5776 .
ln L0
692.9472
R 2predict
0.7450
0.7470
0.7531
pseudoR 2
0.4548
0.4550
0.4446
McFaddenR 2
0.6020
0.6025
0.5776
R 2 -. -
, -
pseudoR 2 McFaddenR 2 .
,
y i
:
y i = 0 xi 1100 , y i = 1 xi > 1100 .
100%
0, xi 1100
P{y i = 1} =
.
1, xi > 1100
, -, - -
, ..

.

,
, ,
31
,
(AIC) (SC):
AIC = 2 ln Lk / n + 2 p / n ,
SC = 2 ln Lk / n + p ln n / n ,

HQ = 2 ln Lk / n + 2 p ln(ln n) / n .
Lk k -
, p
.

, . ,
,

.

(
),

,
.
:
AIC
0.555537
0.554918
0.589362
SC
0.565353
0.564734
0.599177
HQ
0.559268
0.558649
0.593092
-.

. ,
- - .
32

;
2.
, ,
,
ECONOMETRIC VIEWS. ,

yi = 1
,
.

.
P-,
(
-
) 10 .
P-
0.1509
0.5511
0.0000
P-, -
.

.

66 :

,
X1 =

., , [Hosmer, Lemeshow
(1989)]
33

,

,
X3 =

,
X4 =

.
X5 =

. 1 66 ,
33 .
yi ,
X2 =
0 i = 1,K,33,
yi =
1 i = 34,K 66
.. yi = 1 , .

yi = ( + 1 xi1 + L + 5 xi 5 ) + i , i = 1, K,66 .

,
.

.
,
4 5 ,
.

( ) ( X 1 , X 2 , X 4 , X 5 )
( X 1 , X 3 , X 4 , X 5 ), .
34
P-,
0.10,
.
, 3 ,
McFaddenR 2 ( LRI )

(1, X 2 , X 4 , X 5 ),
P-, 0.184.
, ,

( 5% ), 6 ,

(1, X 1 , X 4 ), (1, X 3 , X 4 ),
(1, X 1 ), (1, X 2 ), (1, X 3 ), (1, X 4 ).
,
. ,
.
X1, X4
X3, X4
X1
X2
X3
X4
LRI
AIC
SC
HQ
0.645
0.785
0.441
0.829
0.668
0.460
0.582
0.389
0.835
0.298
0.520
0.809
0.682
0.488
0.902
0.364
0.587
0.875
0.621
0.427
0.861
0.324
0.547
0.835
-
.
.
6
3
12
3
7
10
(5 )
P-
0.4955
0.6499
0.4820
0.6916
0.0525
0.0004

.
4
35
, X 2 .
:
P {y i = 1 xi } = ( 0.6625 + 0.0987 x i 2 ) .
31
33 32 33 .
95.45% ,
50%
.
, ,

.
1.4.
,
,
,
.

y i = G ( 1 x i 1 + L + p x ip ) + i = G x iT , i = 1, K , n ;

P{yi = 1 xi } = E ( yi xi ) = G xiT .
k -
. (marginal effect)

P{y i = 1 xi } G xiT
,
=
xik
xik
, ,
T
i - xi = (xi1 ,K, xip ) .
( )
( )
xik k -
( )
36
P{yi = 1 xi } ,
P{yi = 1 xi }
G xiT
P{y i = 1 xi }
xik =
xik .
xik
xik
, ,

.
,
0 1 (- dummy variable),
(1) (0)
, ,
, .

P yi = 1 xi , d = 1 P yi = 1 xi , d = 0 ,
( )
} {
d -, xi
.
( )
- P{yi = 1 xi } = xiT = (1 xi1 + K + p xip ) .

xik k -
(
) P{yi = 1 xi } ,

(1 xi1 + L + p xip )
P{y i = 1 xi }
xik = xiT k xik ,
xik
1 t 2 / 2
e

( z ) =
2
N (0,1) ,
, .
( )
37
( )
k - xiT k ( k
).
-
P{y i = 1 x i } = x iT = ( 1 x i1 + K + p x ip )
( )
xik k - (
)
P{y i = 1 x i } ,
P{yi = 1 xi }
xiT
P{yi = 1 xi }
xik .
xik =
xik
xik
(z ) , :
( )
{ ( )(
( )) }
P{yi = 1 xi } xiT 1 xiT k xik .

, ,
k - .
. p = P ( A)
p

A , 0 < p < 1 .
1 p
(dds) . , p = 2 / 3 ,
p
2/3
=
= 2 , , A ,
1 p 1/ 3
, , 2:1 ( ,
p

2 ).
1 p
p
. logit ( p ) = 0 , p = 1 p = 0.5 , ..
(logit), logit( p ) = ln
1 p
A 50 50. logit ( p ) > 0 ,
, A . logit ( p ) < 0 ,
, A .
38
( )
( )
p = P{yi = 1 xi } .
exp x
1
, 1 p =
, logit( p ) = xiT ,
T
1 + exp xi
1 + exp xiT
.. - . ,
k -
xik (
( )
p = xiT =
T
i
( )
p
k xik ,
) ln
1 p
xik
p
100 k xik . ,
1 p
, yi = 1 , , yi = 0 ,
100 k x ik .
1.5.

,
,
.
, , -,

() 1000 .
39
1.5
1.0
0.5
0.0
-0.5
-1.0
-1.5
500
1000
1500
2000
,

.
,
:
i i -
. ,
,

.

,
,

,
. ,
, .. ,
,
.

. ,

40
pseudoR 2 = 1
1
1 + 2(ln L1 ln L0 ) / n
ln L1
.
ln L0

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

,
,
, -.
McFaddenR 2 = 1
, yi
i -
,
y i = 1 xi1 + L + p xip + i , i = 1, K , n ,
xi1 , K , xip p i -
, 1 , K , n ,
i - -
.
i -
, yi > i ,
41
i , y i
( y i = 1 ) ( y i = 0 )
i - .
P{yi = 1 xi } = P yi > i xi = P 1 xi1 + L + p xip + i > i xi =
} {
= P i > i 1 xi1 L p xip xi ,
xi1 1 ,
P{y i = 1 x i } = P{ i > ( i 1 ) ( 2 xi 2 + L + p xip ) xi }.
, 1 , K, n
( xij , j = 1, K , p )
,
i ~ N 0, 2 ,
( 1 ) 2 xi 2 + L + p xip
=
P{yi = 1 xi } = 1 i
x
+
L
+
x
( i + 1 )
2 i2
p ip
.
=
+
1 ( x) = ( x) .)
( i + 1 ) , = j ,
1 =
j
:
P{y i = 1 xi } = ( 1 xi1 + L + p xip ) = x iT .
( )
-.
y i , xi1 , K , xip ,
y i .
y i () .
42
,
- 1 , K , p ,
1 ,K, p ,
1 , K , n . , , 1 , K , n , 1 , K , p
,
j
i + 1
, j =
1 =
,
1 , K , p k , k1 , K , k n ,
k1 , K , k p , k , < k < .
,
1 ,K, p -
.
, = 1 1 = L = n = 0 ,
= , K , = ,
1
.
,
1 ,K, p

1 , K, n : i ~ N (0, 1) .
, ..
H 0 : 1 , K, n ~ i.i.d., i ~ N (0, 1) .
( 1)
2, ,
P{ i t} = t + 1t 2 + 2t 3 ,

2
3
P{yi = 1 xi } = xiT + 1 xiT + 2 xiT .
( )
( )
43
1 2 (
1 = 2 = 0 ), 1 2 ,
2 H 0
H0 : 1 = 2 = 0 .
P{ i t} = t + 1t 2 + 2t 3
()
.
( t ) (
) t + 0.5t 2 + 0.5t 3 ( ).
1. 0
0. 8
0. 6
0. 4
0. 2
0. 0
-6
-4
-2
L j j ,
j = 1, 2 ,
LR = 2 (ln L2 ln L1 ) .
H 0 ,
LR

LRcrit ,
LRcrit
:
,
44
n LR , H 0 .
. ,
, H 0 ,
LR > 12 (2 ) ,
12 (2 ) 1 -
.

1000 .
- ( 1) ,
:
-3.503812
0.003254
Std. Error
0.200637
0.000178
z-Statistic
-17.46343
18.25529
Prob.
0.0000
0.0000
ln L1
-275.7686
Akaike info criterion
0.555537
Schwarz criterion
Hannan-Quinn criter.
0.565353
0.559268
2 :
1
2
ln L2
-3.851178
0.003540
Std. Error
0.324895
0.000292
z-Statistic
-11.85359
12.11708
Prob.
0.0000
0.0000
0.022954
0.025086
0.915039
0.3602
-0.017232
0.010178
-1.693097
0.0904
-274.6286
0.557257
Schwarz criterion
0.576888
0.564718
45
,
LR = 2 (ln L2 ln L1 ) = 2 (275.7686 274.6286) = 2.28 .
02.95 (2) = 5.99 ,
H 0
0.05. , LR = 2.28
( 2 (2) ) P
0.6802. ,
H 0
.

i .
,
.

,
.
-
,
-.
,

xi , ,
D( i xi ) = exp(k xi ) , k > 0 ,
( 3)
+x
i
.
P{y i = 1 xi } =
exp(k x )
i
3,
, 1 (
46
-) . 3

H0 : k = 0 .
3
:
Coefficient
Std. Error
z-Statistic
Prob.
-3.141966
0.002883
0.317695
0.000316
-9.889867
9.132687
0.0000
0.0000
-0.000236
0.000186
-1.269192
0.2044
ln L3
-275.2619
0.556524
Schwarz criterion
0.571247
0.562120
1 :
LR = 2 (ln L3 ln L1 ) = 2 (275.2619 274.6286) = 1.27 .
3.84,
0.05
0.95 -
. , H 0 : k = 0
.
, ,
,

:
1
()
2
3
()
AIC
0.555537
SC
0.565353
HQ
0.559268
0.557257
0.556524
0.576888
0.571247
0.564718
0.562120
47
1.6. ,

1.6.1. -

yi = 1 ,
i- , ,
,
, , .
,
,
, ,

, ( )
.
,
, ()
y i , xi1 , K , xip
i -
:
y i = 1 xi1 + L + p xip + i , i = 1, K , n .
i , y i
.
xi1 , K , xip y i ,
K
:
48
1, y i ,1 ,
i
yi = k , i , k 1 < y i i , k ,
K
K , y >
i , K 1 ,
i
i ,1 < L < i , k < L < i , K 1 , ,

.
,
(
1 , K , n

xij , j = 1,K, p )
,
i ~ N 0, 2 , -.
, K = 3
, i ,1 1 ,
i ,2 2
1,
yi = 2,
3,

P{yi = 1 xi } = P
y i 1 ,
1 < y i 2 ,
y i > 2 .
{y
{
} {
1 xi = P 1 xi1 + L + p xip + i 1 xi =
) }
= P i ( 1 1 ) 2 xi 2 + L + p xip xi =
( ) 2 xi 2 + L + p xip
= 1 1
) .
49
P{yi = 2 xi } = P 1 < yi 2 xi =
= P 1 < 1 xi1 + L + p xip + i 2 xi =
( 1 ) 2 xi 2 + L + p xip

= 2
( ) 2 xi 2 + L + p xip
,
1 1
} {
P{yi = 3 xi } = P yi > 2 xi = P 1 xi1 + L + p xip + i > 2 xi =
(
) }
( 1 ) ( 2 xi 2 + L + p xip )
.
= 1 2
= P i > ( 2 1 ) 2 xi 2 + L + p xip xi =
y i ,
xi1 , K , xip ,
i = 1, K , n . , ,
- ,
1 ,K, p ,
, 1 2 .
1 ,K, p -
. , = 1
1 = 0 , .
2 = ,
:
P {y i = 1 x i } = P y i 0 x i = x iT ,
} (
)
P{y = 2 x } = P{0 < y x }= ( x ) ( x ) ,
P{y = 3 x } = P{y > x }= 1 ( x ) .
i
T
i
T
i
T
i
j .
y i ,
50
y i
j- .

yi = 1 , yi = 2 yi = 3 ,
P{yi = 3 xi } P{yi = 1 xi }.
P{yi = 2 xi },
, ,
.

. y i
k , P {y = k x } = max P {y = k x }.
0
k =1,K, K
, 1000
100 2100
(..), 499
, 369 , 132
. ;

y i = xi + i , i = 1,K,1000 ,
i ( xi )
2
i ~ N 0,300 , .. = 300 . K = 3
1 2 , , 1 = 1100
1 = 1850 , -
1, y 1 ,
i
yi = 2, 1 < y i 2 ,
3, y i > 2 ,
51
y1 = 1 , i - , y1 = 2 , i -
, y1 = 3 , i -
( ) .
y i xi
3000
2500
2000
1500
Y*
1000
LEVEL1
500
LEVEL2
0
-500
-1000
x

LEVEL1=1100 LEVEL2=1850.
y i 1100
200 1600 .. 1100 < y i 1850
548 2094 ..
y i > 1850 1318 ..
. , ,

. ,
.
52
2500
2000
1500
1000
500
0
x

. , 1100 ..,
yi = 1 . , 1100 ..,
1850 .., yi = 2 . ,
1850 .., yi = 3 .
,
, .. (xi , yi ) , i = 1,K,1000 .
-
= 1 , = 0 (
EVIEWS), :
Coefficient
Std. Error
z-Statistic
Prob.
0.003361
0.000158
21.31648
0.0000
1
2
3.693723
0.185109
19.95431
0.0000
6.306692
0.279737
22.54510
0.0000
Limit Points
53
y i = 0.003361xi + ui ,
ui ~ N (0,1) ,
1, y 3.693723,
i
yi = 2, 3.693723 < y i 6.306692 ,
3, y i > 6.306692 .
,
, = 300

y i = 300 0.003361 xi + 300 u i = 1.0083 xi + i ,
i ~ N 0,3002 ,
1 = 300 3.693723 = 1108.1169 ,
2 = 300 6.306692 = 1892.0076 .
,
.
.
yi
- y i
.
- y i y i
.
1
2
3
499
369
132
500
387
113
1
2
3
-1
-18
19
54
y=k
600
500
400
300
200
100
0
1
k

, y i i-
:
yi
- y i
.
- y i y i
.
1
2
3
499
369
132
1000
0
0
1
2
3
-501
369
132

yi = 1, 2 ,3 .
yi =1
yi =2
yi =3
y i =1
y i =2
y i =3
438
61
62
265
42
61
71
55
, 1000 774,
.. 77.4%. yi = 1
438 499, .. 87.8% ; yi = 2
71.8% ; yi = 3
53.8% .
1.6.2.

,

,
.
K (
1,K, K ) i -
k - uik ,
uik = 1 xi1, k + L + p xip , k + ik = xikT + ik , i = 1, K , n ,
xik = xi1, k , K , xip , k
)T , ik
( i = 1, K , n , k = 1,K, K )
( xik ) ,
.
, i - k ,
.
yi = k . (

xik , k = 1,K, K ) , i -
k ,
56
P{yi = k } = P uik = max uij = P xikT + ik > max xijT + ij .

j =1,K, K , j k
j
=
1
,
K
,
K
.
,
ik
() I-
G ( z ) = exp e z , < z < ,
( ),
P{yi = k }
, :
exp xikT
P{yi = k } =
.
T
exp xiT1 + exp xiT2 + L + exp xiK
, ,
exp xiT1 ,
( )
( )
( )
xikT
xiT1
( )
exp
.
T
T
1 + exp
xi1 + L + exp xiK
xiT1
,
xiT1 , P{yi = k }
P{yi = k } =
(x
T
i2
) (
xiT2
T
xiT1 ,K, xiK
xiT1 .
,
xiT1 = 0, i = 1, K , n ,

exp xikT
P{yi = k } =
.
T
1 + exp xiT2 + L + exp xiK
-. ,
[Verbeek (2000)] [Amemiya (1985)]
- (multinomial logit model).
[Green (1993)] [Davidson, MacKinnon (1993)]
( )
( )
57
- (conditional logit model),

-
exp xiT k
P{yi = k } =
,
exp xiT 1 + exp xiT 2 + L + exp xiT K

(
),
. , k = 1, k ,K, p , k

k - :
uik = 1, k xi1 + L + p , k xip + ik = xiT k + ik , i = 1, K , n .
)T
EVIEWS.
xi ,
,
exp xiT k 1
P{yi = k } =
,
1 + exp xiT 2 1 + L + exp xiT K 1
( (
))
( (
))
( (
))
2 1 ,
K , K 1 , 1
.
exp xiT k
P{yi = k } =
.
1 + exp xiT 2 + L + exp xiT K
xij , j = 1,K, p ,
i = 1, K , n )
y1 ,K, yn ( 1, K, K )
58
(P{yi = k})
d ik
i =1 k =1
exp xiT k
=
T 2
T K
i =1 k =1 1 + exp xi + L + exp xi
n
d ik
1, yi = k ,
d ik =
0, yi k .
xi ,
i = 1, K , n , ,
= ( 1 ,K, K ) T :
ik
exp xiT k
,
L( ) = L( x1 , K, xn ) =
T 2
T K
1
+
exp
x
+
L
+
exp
x
i =1 k =1
i
i
T
, k = 1,K, K .
k = , K ,
n
1, k
p,k
, ,
,
.
xi1 1 , xi 2
i - ( 1 7), xi 3
i - ( 50 250 ..).
1000
,
,
.
, 3 .
:
59
( ,
, ),
(, , ) (,
, ).
1, 2, 3 .
.
k
1
2
3
k-
, i - k -
uik ,
uik = k1 xi1 + k 2 xi 2 + k 3 xi 3 + ik , i = 1,K,1000 ,
ik ( i = 1,K,1000 , k = 1, 2, 3 ) (
xij ) ,

G ( z ) = exp e z , < z < .

11 = 0, 12 = 0, 13 = 0 .
:
21 = 0.8, 22 = 1.0, 23 = 0.0032 ,
31 = 0.4, 32 = 0.3, 33 = 0.0032 ,

ui1 = i1 ,
ui 2 = 0.8 + xi 2 0.0032 xi 3 + i 2 ,
ui 3 = 0.4 xi1 + 0.3 xi 2 + 0.0032 xi 3 + i 3 .
60
.
12
U1
U2
U3
0
0
1000
-4
-8
, i -
k , k
. yi = k .
:
21
22
23
31
32
33
Coefficient
Std. Error
z-Statistic
Prob.
-1.655130
0.358914
-4.611496
0.0000
1.270612
0.097636
13.01381
0.0000
-0.001778
0.002134
-0.833304
0.4047
-1.031242
0.327444
-3.149372
0.0016
0.439590
0.087563
5.020273
0.0000
0.006283
0.001957
3.211368
0.0013
,
.
23 ,
61
21
22
23
31
32
33
-0.8
-1.655130
1.0
1.270612
-0.0032
-0.001778
-0.4
-1.031242
0.3
0.439590
0.0032
0.006283

. ,
,
:
21 < 31 21 < 31 ,
>
> .
22
32
22
32
P{yi = k }
k = 1, 2, 3 ,
exp x iT k
P {y i = k } =
,
1 + exp x iT 2 + exp x iT 3
, ,
,

. ,
,
i -
k ,
P {y i = k } > P {y i = l }, l k .
62
,
.
1
2
3
( k )
146
603
251
101
664
235
k (
1000
),
k .
.

700
600
500
400
300
200
100
0
1
:

2 1.

,
63

yi = 1, 2 ,3 .
y i =1
y i =2
y i =3
yi =1
yi =2
yi =3
48
26
72
11
550
42
42
88
121
, 1000 719, ..
71.9%. yi = 1 48
146, .. 32.9% ,
yi = 2 91.2% ;
yi = 3 48.2% .
, ,
,
.
storesk k - ( )
, distik i - k -
.
1000 ,
.
,
3 .
1, 2, 3 .
stores k
, distik
.
, i - k -
uik ,
uik = 1stores k + 2 distik + ik , i = 1,K,1000 ,
64
ik ( i = 1,K,1000 , k = 1, 2, 3 ) (
stores k distik ) ,
z
G ( z ) = exp e , < z < .
:
1 = 0.6, 2 = 1.0 ,

ui1 = 0.6stores1 disti1 + i1 ,
ui 2 = 0.6stores 2 disti 2 + i 2 ,
ui 3 = 0.6stores3 disti 3 + i 3 .
, i -
k , k
. yi = k .
:
1
2
Coefficient
Std. Error
z-Statistic
Prob.
0.932414
0.061646
15.12519
0.0000
-1.521518
0.101902
-14.93120
0.0000
i -
k ,
P {y i = k } > P {y i = l }, l k .
,
.
( k )

k

k
674
275
51
681
272
47
65

800
700
600
500
400
300
200
100
0
1
1
,
-,

,
exp xiT k 1
P{yi = k } =
.
1 + exp xiT 2 1 + L + exp xiT K 1
,
P{yi = k } exp xiT k 1
=
= exp xiT k m ,
P{yi = m } exp xiT m 1
.. k m

( (
( (
( (
( (
))
))
))
))
( (
( (
))
))
66
i -
K 2
.
2
- (
K ),

, , ,
exp xikT
P{y i = k } =
,
T
exp xiT1 + L + exp xiK

P{yi = k } exp xikT
T
=
= exp xikT xim
,
T
P{yi = m } exp xim
.. k m

i -
, k -
m -
. i -
K 2 .
.
( )
(
(
)
)
((
))
3
( K
) ,
(.. i -
). , ,
xikT = vikT , wiT ,
67
vikT i - ,
, wiT - i -
,
; :
T = T , T .
exp vikT + wiT

P{yi = k } =
=
T
exp viT1 + wiT + L + exp viK
+ wiT
(
)
(
)
(
exp(v )
=
,
exp(v ) + L + exp(v )
T
ik
T
i1
T
iK
,
.
(
)
P{yi = k } , .

(DUMMY
k
1, yi = k , 0
) ,
.
.
1.7. (
)

, ,
. , ,
si ( , si
). ,
68
(xi , price _ observed i ) , xi

i- ,
i - ,
s,
price _ observedi = i
i - .
0,
, 1000
100 1600 ..

xi , x1 x 2 L x1000 .

:
14000
price_observed
12000
10000
8000
6000
4000
2000
0
0
600
1200
1800
,
. 418, ,
418 1000
. , ,
2002 ..,
, ,
, 2000 ..
69
?
, , 1000

price _ observed i = + xi + i .

Variable
t-Statistic
Prob.
C
X
-2427.821
6.915595
-20.06205
54.47591
0.0000
0.0000
R-squared
0.748337
121.0156
0.126948
,
price _ observed i = 0
( 582).

Variable
t-Statistic
Prob.
C
X
-1037.189
6.119677
-3.778599
26.17353
0.0002
0.0000
R-squared
0.541521
274.4903
0.233812
Mean dependent var
5919.670
price _ observed i ,
, ( 1000
), ..
pricef _ 1000 i = + x i = -2427.821 + 6.915595 xi ,
, ( 582
), ..
pricef _ 582 i = + x i = -1037.189 + 6.119677 x i .
70
14000
12000
10000
8000
6000
4000
2000
0
-2000 0
600
1200
1800
-4000
PRICE_OBSERVED
PRICEF_1000
PRICEF_582
, ,
.
,
.
,
.
, 1000 ,

pricei = + xi + i , i = 1, K , n ,
pricei ,
() i- , , ,
i- ,
, .
, > 0 ,
xi pricei .
,
,
price = + x .
pricei
71
pricei
,

.
, i-
pricei ,
( ), ..
pricei > .

pricei
,
. ,
pricei . (
),

.
price i ,
price i > ,
price _ censored i =
price i .
,

xi , price _ censored i
72
14000
price_censored
12000
10000
8000
6000
4000
2000
0
0
600
1200
1800
, pricei

yi = pricei .
,
. yi = 0 ,
price , price > ,
i
i
yi =
0
,
price
.
i
xi , yi
73
12000
10000
8000
6000
4000
2000
0
0
600
1200
1800

.

i .
(,

. , EVIEWS

.)
,
yi ,
yi > 0 (
pricei 2000 ).
p
(, i- ), ..
y i = 1 xi1 + L + p xip + i , i = 1, K , n ,
74
1 , K, n (
xij , j = 1,K, p ) ,
i ~ N 0, 2 .
xij , j = 1, K , p , i = 1, K , n , y i ,
y , y > 0,
i
yi = i
0
,
y
0.
i

- (tobit model).
-
xij , j = 1,K, p ,
y i ~ N 1 xi1 + L + p xip , 2 ,
E y i xij , j = 1,K, p = 1 xi1 + L + p xip ,
..
E y i xi = xiT ,
, ,
xi = ( xi1 , K, xip )T , = (1 ,K, p )T .
j
()
xi = ( xi1 , K, xip )T
j - .
j
yi > 0 ,
yi = 1 xi1 + L + p xip + i , i = 1,K, n1 ,
n1 , ( n
). ,
75

. w > 0
P 0 < y i w
P{yi w} = P y i w y i > 0 =
,
P y i > 0
n1
} {{
xT y xiT w xT
i
P 0 < y i w = P i < i
w xiT
=

x i
y xiT w xT
T
xiT
i
= xi .
P y i > 0 = 1 P i
= 1

dP{yi w} dw ,
yi
( xi ):
xT
1 w xiT
i .

yi :
p yi ( w) =
xT
E ( yi xi ) = w p yi ( w)dw = xiT + i

0
( z ) = (z ) ( z ) .
, E ( yi xi ) xi ,
E ( yi xi ) > xiT .
76

y i = 1 xi1 + L + p xip + i , i = 1, K , n ,
,
.

x T + i , xiT + i > 0
.
yi = i
xiT + i 0
0,

xT
xT
P{y i = 0 xi } = P i xiT = i = 1 i ,

w > 0
y xiT w xiT
w xiT
.
P{yi w xi } = P i

yi :
xT w xiT
T
dw xi
E ( yi xi ) = 0 1 i + w
x T xT
= xiT + i i .
E ( yi xi )
xT
i , .. ,

. ,
xT
xT xT
E ( yi xi ) = xiT i + i i =

77
xT
xT
= x iT i + i .

xij
xT
E ( yi xi )
= j i
xij

.. j :
,
yi > 0 .
~
, E ( yi xi )
yi ,
~
E ( y i x i )
= j 1 z ( z ) 2 ( z ) ,
x ij
xT
( z ) = ( z ) ( z ) , z = i .
,
1000 , 582 .
.
, yi = pricei 2000
y i = + xi + i , i = 1,K,1000 , pricei
pricei = ( + 2000) + xi + i .

y i = + xi + i ,
.

(xi , yi ) .
78
:
C
X
z-Statistic
Prob.
-5710.678
8.103471
-11.89357
21.54728
0.0000
0.0000
66.21537
27.52040
0.0000
z-Statistic
Prob.
-6041.883
8.363125
-25.87195
39.96215
0.0000
0.0000
33.79933
0.0000
480.1485
0.376079
Error Distribution
1822.273
:
C
X
233.5302
0.209276
Error Distribution
1823.565
53.95272

pricei :
pricei = 3710.678 + 8.103471 xi ( ),
pricei = 4041.883 + 8.363125 xi ( ).
, ,
1822.273 1823.565. , ,
,
pricei = 3600 + 8 xi + 1800 ui ,
u1 ,K, u1000 ,
N (0,1) .

pricei ,
( price _ starf _ trun )
( price _ starf _ cens ).
79
14000
12000
10000
8000
6000
4000
2000
0
-2000 0
1800
-4000
-6000
-8000
PRIE_STAR
PRICE_STARF_CENS
PRICE_STARF_TRUN
, ,
, .
yi
yi ,
.
80
12000
10000
8000
6000
4000
2000
0
0
600
Y
YF_TRUNC
1200
1800
YF_CENSORED
, xi 1330 yi ,
,
yi , ;
. , xi < 1330
yi , ,
yi ,
,
xi .
, yi ,
,
1000 ,
,
,
yi = + xi + i 1000
:
Variable
C
X
81
t-Statistic
Prob.
-2075.806
5.130473
-19.81338
46.68158
0.0000
0.0000
104.7679
0.109904
xi 470
.

582 :
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
X
-3037.189
6.119677
274.4903
0.233812
-11.06483
26.17353
0.0000
0.0000

xi 498 .
:
14000
12000
10000
8000
6000
4000
2000
0
-2000 0
-4000
600
1200
1800
X
Y
YF_OLS_1000
YF_OLS_582

zi , i = 1,K, n ,
(MAPE mean squared absolute error),
82
. z i
zi ,
MAPE =
1
n
100
i =1
z i z i
.
zi
C yi
.
MAPE %
OLS_582
118.46
OLS_1000
99.86
Truncated
126.69
Censored
71.96
, ,
.
.
,
xT xT ~
xT
E ( y i x i ) = x iT + i i = E ( y i x i ) i ,
~
E ( yi xi ) yi
. :
xiT
~

E ( y i x i )
x iT E ( y i xi )
~
=
+ E ( y i xi )
.
x ij
xij
x ij

xT
y i > 0 , i = P{yi > 0},

P{yi > 0} , ,
~
E ( yi xi ) . ,
xT
i
T
P{yi > 0}
= 1 xi
=
xij
xij

83
j .
~
E ( yi xi ) (
5
):
9000
8000
7000
6000
5000
4000
3000
2000
1000
0
0
600
1200
E_Y
E_Y>0
P{yi > 0}
:
xij
1800
84
0.0012
0.001
0.0008
0.0006
0.0004
0.0002
0
0
600
1200
1800
D_PROB
E ( yi xi )
xij
9
8
7
6
5
4
3
2
1
0
0
600
1200
TERM1
1800
85
3
2.5
2
1.5
1
0.5
0
0
600
1200
1800
TERM2
xT
E ( yi xi )
= j i
xij

9
8
7
6
5
4
3
2
1
0
0
600
1200
D_EXPECTED_Y
1800
86

y i
(D_EXPECTED_Y) y i > 0 (D_E_Y>0).
9
8
7
6
5
4
3
2
1
0
0
600
D_EXPECTED_Y
1200
1800
D_E_Y>0
1.8. -II

pricei = + xi + i , i = 1, K , n ,
pricei ,
() i- , , ,
i- ,
, .
87
, i-
pricei , pricei > . ,

,
.
,

.
yi ,
i . yi ,
hi > 0 , hi
. ,
y i = x1Ti1 + 1i , i = 1, K , n ,
hi = x2Ti 2 + 2i , i = 1, K , n ,
x1i = x11,i , K, x1 p1 ,i
)T
p1
y i ,
1 = (11 , K, 1 p1 )T ,
x2i = x21, i , K, x2 p 2 , i
)T
p2
hi ,
2 = ( 21 ,K, 2 p 2 )T
.
1i
2i
, Cov(1i , 2i ) 0 .
, ,
88
(1i , 2i )T , i = 1, K , n ,
N 2 (0, )

2 12
,
= 1
2
12 2
..
2 12
1i
.
~ i.i.d. N 2 0, 1
2
2
i

2
12

2 =1.

x1 j ,i , x2 j ,i , j = 1,K, p ,
i = 1, K , n ;
hi ,
1, h > 0,
i
hi =
0, h i 0;
y i ,
y , hi = 1,
yi = i
0, hi = 0.

-II . ,
,
-I .
89
yi hi
, .

hi ( )
, yi .

yi hi .
, x1Ti1 = x2Ti 2 1i = 2i ,
-,
( -I).
,
, , , pricei

pricei = + xi + i , i = 1, K , n ,

hi > 0 ,

hi = + xi + ui ,
, ,
hi = + xi + d man + ui ,
d man = 1 , , d man = 0 ,
.
, ( x1i ,
x2i )
E {yi hi = 1} = x1Ti1 + E {1i hi = 1} = x1Ti1 + E 1i 2i > x2Ti 2 =
90
= x1Ti1 +
12
E 1i 2i > x2Ti 2 = x1Ti1 + 12 x2Ti 2 ,
2
2
, ,
( z ) = ( z ) ( z ) .
12 = 0 ,
E {yi hi = 1} = x1Ti1 .
, 1i 2i , ,
hi ,

yi = x1Ti1 + 1i
hi = 1 .
x1Ti1 .
12 0 ,
x1Ti1 ,
.
x2Ti 2 ,

-II ,
,

1 , 2 , 1 , 12 .
, .

.

E {yi hi = 1} = x1Ti1 + 12 x2Ti 2

91
yi = x1Ti1 + 12i + i ,
i ,
) (
) (
i = x2Ti 2 = x2Ti 2 x2Ti 2 .

1i x1i x2i , i x1i
i ,
. , , , i
, 2
.
2 -
.
i = x 2Ti2 ( ).
i .
y = x T + +
1i 1
12
; (
) 1 12 . ,
yi x1i , x2i
hi = 1
E {y x , x , h = 1} = x T + x T .
i
1i
2i
1i 1
12
2i
yi
x1i , x2i hi = 1 ,
E {y x , x } = x T .
i
1i
2i
1i 1
yi

1i 2i ,
H 0 : 12 = 0
92
,
. ,

,
, i
.
i
, , -II

n
L(1 , 2 , 1 , 12 ) = (P{hi = 0})1hi (P{hi = 1} f ( yi hi = 1)) i ,

h
i =1
f ( yi hi = 1)
yi hi = 1 .
P{hi = 0} = 1 x2Ti 2 ,
P{hi = 1} f ( yi hi = 1) = P{hi = 1 yi } f ( yi ) ,
)(
xT + 2 y xT
12
1
1i 1
i
,
P{hi = 1 yi } = 2i 2
2
1
12
1
2
y xT
1
exp i 12i 1 .
f ( yi ) =
2 1
1 2

,
.
93
1

wi > 2000 ,
wi = 3600 + 8 xi + 1800 2i , 21 , K, 2,1000 ~ i.i.d. N (0,1) .
hi = wi 2000 , hi > 0 ,
hi = 5600 + 8 xi + 1800 2i ,
,
1800:
hi = 3.111 + 0.00445 xi + 2i .
i-
pricei = 4000 + 6 xi + 1i , 11 , K, 1,1000 ~ i.i.d. N (0,1000 2 ) .
(11 , 21 ),K, (1,1000 , 2,1000 )
, Cov(1i , 2i ) = 707 ,
1i , 2i 12 = 0.707 .
-II
:
yi* = 11 x11,i + 12 x12,i + 1i , hi = 21 x21,i + 22 x22,i + 2i ,
x11,i = x21,i = 1 , x12,i = x22,i = xi , 11 = 4000 , 12 = 6 , 21 = 3.111 ,
22 = 0.00445 ; 1 = 1000, 2 = 1, 12 = 707.

,
hi = 3.450 + 0.00476 xi ,

pricei = 3936.2 + 5.995 xi .
94

,

hi = 3.483 + 0.00480 xi ,
pricei = 4159.3 + 5.828 xi .
1 = 1010.7, 12 = 0.598 .
,
, .
,
.
8
6
4
2
0
100
-2
1600
-4
-6
H_STAR
H_STAR_F
95
1.2
1
0.8
0.6
0.4
0.2
0
100
300
500
700
900
H
18000
16000
14000
12000
10000
8000
6000
4000
2000
0
100
300
500
700
Y_STAR
1100
1300
1500
1300
1500
H_F
900
1100
Y_STAR_F582
96
18000
16000
14000
12000
10000
8000
6000
4000
2000
0
100
300
500
Y_STAR
18000
16000
14000
12000
10000
8000
6000
4000
2000
0
100
300
500
700
900
Y_STAR_F
700
900
Y
Y_F
1100
1300
1500
Y_STAR_F582
1100
1300
1500
97
2
1
,
hi = 4 + 0.003 xi + 2(d man ) i + 2i ,
d man = 1 , , d man = 0 ,
.

,
hi = 4.280 + 0.00297 xi + 2.347(d man )i ,

pricei = 3879.97 + 6.124 xi .
1 = 984.2, 12 = 0.643 .
,
,
.
yi
(Y_EXPECTED_F).
20000
15000
10000
5000
0
100
600
1100
Y
Y_EXPECTED_F
1600
2100
98

yi . ,
, ,
.
2. .

2.1.

1 ,

. (
,
,
.)
,
.

,
.
,
,

.
-

y = X + ,
y = ( y1 , y 2 , K , y n )T -
n ,
X (np)- n
, n > p,
= ( 1, 2, , p)T - ,
100
= ( 1 , 2 K, n )T -
() n ,
n-

E() = (E(1), E(2), , E(n))T = (0, 0, ..., 0)T ( :
E() = 0)

Var() = (Cov(i , j)) = 2 In ,
In ( n n).
Cov(i , j) = E(i E(i))(j E(j))

i j .

:
,
, , ,
, :

, t ;

, t-
;

,
F- ;

,
.

101
n ,

xi1 ,K , xip ,

i = 1, K , n ; (
) i , i = 1, K , n ,
,
y1 , K , y n , .

,

,
.

. ,
.

,
.
, -
p
y = X +
.
X p , XTX
,
(XTX)1 ,

= (XTX) 1XTy.

102
E( ) = E ((XTX) 1XT(X + )) = E ((XTX) 1XTX ) + E ((XTX) 1XT ) =

= + E ((XTX) 1XT ).
X ,
E ((XTX) 1XT ) = (XTX) 1XT E ( ) = 0,
E( ) = , .. .
(,
) ,
E ((XTX) 1XT ) 0,
E( ) ,
. ,

.
,

, ,
( ).

A
i ()
x k 1 , K , x kp i k ;
1, 2, , n

2 > 0. ( ,

i ~ i.i.d. N (0, 2). i.i.d.
independent identically distributed.)
:
E ((XTX) 1XT ) = E ((XTX) 1XT) E( ) = 0
(, , E ((XTX) 1XT)
),
. (
103
) .

X ;
(
).
,
X X .

,
:
1
| X ~ N , 2 X T X .
1
N , 2 X T X X . ,
, .
j- :
1
j | X ~ N j , 2 X T X j j ,
X T X
1
jj
j- X T X
j j
( X T X ) j1j
X ~ N (0, 1) .
(n p)S2/2, S2 = RSS/(n p),

RSS , (n p) ,
(n p)S2/2 | X ~ 2(n p) .
, t- H0:
j = *j
104
t=
j *j
S ( X T X ) j1j
( )
=
j
*
j
( X T X ) j 1j
S2 2
, H0 ,
t- t-
(n p) ,
t | X ~ t(n p) .
X .
, X ,
t- H0 : j = *j
t(n p) .
F-
.

A .
A
| X ~ N(0, 2In) ,
( n n) .
In
C
, ,
, i X ~ i.i.d.
,

X n-
2
N(0, V) ;
V
nn.
105
V

, V 1.
(nn)- P,
V 1 = PTP. P,
*= P .

E(*) = 0
( X)
*
Cov(*| X ) = E (**T | X ) = E (P (P )T | X ) =
= P E ( T | X ) PT = P 2 V PT.
V = (V 1) 1 = (PTP) 1,
Cov(*| X ) = P 2 V PT = 2 P(PTP) 1PT = 2In .
P
y = X + ,
:
Py = PX +P ,
y* = X * +* ,
y* = Py , X * = PX , *= P .

* | X ~ N(0, 2In) ,
,
A. , ,
A, y*= X * +*.
,
* = (X *T X *) 1X *T y* = (XTPTPX) 1 XTPTPy = (XT V 1X) 1 XT V 1y
, .. E( *) = ,
( X)
Cov( * | X ) = 2(X *T X *) 1 = 2(XT V 1X) 1.

wik (y i 1 x i1 K p x i p )(y k
n
i =1 k =1
1 x k1 K p x k p ,
106
w ik = v ik( 1) V 1.

. *
(GLS generalized least squares).
y* = X * + *
, t- F-.
, A, A

E ( i X ) = 0 , i = 1, K , n ,

E i xkj = 0 j = 1,K, p i k .

E ( i ) = 0
Cov( i , xkj ) = E ( i E ( i ))(xkj E (xkj )) = E ( i )(xkj E (xkj )) =

= E ( i xkj ) = 0
(, ,
E (xkj ) ).
, i -
xkj , A,
A, C . , ,
i - -
.

,
. , ,

.
107

(DGP data generating process)
DGP: yi = + xi + i , i ~ i.i.d. N (0,1) , i = 1, K ,100 ,
= 10, = 2 ,
xi = i 0.9 i 1 , i = 2 , K ,100 ;
Corr ( xi , i ) = 0 .743 .
, yi , xi ,
i = 2 , K ,100 , .

yi = + xi + i .
:
Dependent Variable: Y_FIXED
Method: Least Squares
Sample(adjusted): 2 100
Coefficient
C(1)
C(2)
10.13984
2.553515
Std. Error
t-Statistic
Prob.
0.069148
0.054971
146.6398
46.45184
0.0000
0.0000
= 2.553 ,
.
x2 ,K, x100 ,
(k )
k = 2 , K ,500 ,
499
1( k ) , K, 100
,
,
,
(k )
y2( k ) ,K, y100
:
(k )
i
= + xi + i( k ) , i = 2 , K ,100 .
k = 2 , K ,500
yi( k ) , xi , i = 2 , K ,100 ,
yi( k ) = + xi + i( k )
108
( k ) , ( k ) .
, K ,
( 2) , K , (500) .

( 2) , K , (500) .
( 2)
( 500 )
80
Series: SLOPE
Sample 2 500
Observations 499
60
40
20
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
1.999663
1.994058
2.238951
1.740510
0.083992
0.161028
2.895625
Jarque-Bera
Probability
2.383013
0.303763
0
1 .8
1 .9
2 .0
2 .1
2 .2

;
.
.
(k )
2( k ) , K, 100
,
(k )
2
(k )
100
k = 2 , K ,500 , x ,K, x
(k )
y2( k ) ,K, y100
:
},
y = + x + , i = 2 , K ,100 .

(k )
k
x2( k ) ,K, x100
,
(k )
i
(k )
i
(k )
i
(k )
2
(k )
100
x ,K, x
k = 2 , K ,500
}.
{y ,K, y },
(k )
2
, K,
(k )
2
(k )
100
(k )
100
109
yi( k ) = + xi( k ) + i( k )
( k ) ( k )
, . , ,
(1) (1) , (1) = 10.13984, (1) = 2.553515,
(1) , K , (500 )
(1) , K , (500) .

(1) , K , (500) .
80
Series: SLOPE_RANDOM
Sample 2 500
Observations 499
60
40
20
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
2.552114
2.551333
2.588107
2.530200
0.007346
0.754039
4.608878
Jarque-Bera
Probability
101.1054
0.000000
0
2.53
2.54
2.55
2.56
2.57
2.58
2.59
( k ) ,
2.552114,
= 2 ,
,
= 2 .
, xi i
, xi ,
, ,
.
,
, ,
.
110
yi , xi , i = 2,K,100 ,
:
20
18
16
14
12
10
Y_THEOR
Linear (Y)
8
6
4
2
0
-4
-2
Linear(Y) ,
, .. y = 10.13984 + 2.553515 x ,
Y_THEOR y = 10 + 2 x .
,
,
xi yi
y = 10 + 2 x .
111
2.2. ,

2.2.1.

DGP: yi = + zi + ui , i = 1, K ,100 ,
z ,
:
E (ui ) = 0, D(ui ) = 2 , E (ui zi ) = 0,

E ( yi zt ) = + zi .
, zi ,
zi
xi = zi + vi ,
vi .
, , , yi i , zi .
:
E (vi ) = 0, D(vi ) = v2 ;
ui vi :
vi zi .
( ,
- .)
zi xi xi vi zi
. :
y i = + xi + i ,
i = vi ui
112
Cov(xi , i ) = Cov(zi + vi , vi ui ) = u2 .
> 0, xi i ;
< 0, xi i .
,
n, , ..

.
:
n
(y
i =1
y )(x i x )
;
(x
x)
i =1
yi . :
n
( x
i =1
x + i )( x i x )
n
(x
x)
= +
2
i =1
i =1
)( xi x )
(x
x)
,
2
i =1
2
Cov(xi , i )
= + 2 u2 .
p lim = +
D (x i )
z +u
n
,
, = 0 , .. zi
2
u
. u2 z2 ,
;

. > 0,
.
113
2.2.2.

Ct = + Yt + t ,
Ct , Yt
,
( ).

,
.
,

Yt = Ct + I t ,
I t ,

Ct = + Yt + t
,
Yt = Ct + I t
.
Ct Yt I t ,
:
1
Ct = 1 + 1 I t + 1 t ,
Y = + 1 I + 1 .
t 1 1 t 1 t
, t ~ i.i.d., E ( t ) = 0, D( t ) = 2 > 0
t I t t .
:
114
2
1
Cov( t , t ) =
0,
1
1
Ct Yt
.
,
, :
Cov(Y , t )
,
p lim = +
D (Yt )
n
Cov(Yt , t ) =
D(Yt ) =
(1 )
(D(I ) + ) ,
2
p lim = + (1 )
n
D(I t ) + 2
2 > 0 0 < < 1 ,

.
, ,
,
.
.
:
~
Ct = ~ + I t + ~t ,
~
~ = (1 ) ,
= (1 ) ,
~ = (1 ) ,
E (~ ) = 0,
t
2
D(~t ) = ~2 = 2 (1 ) .
~
, ~
~2 ,
,
~
~
~
~2
= 1 + , = ~ 1 + , 2 = ~2 1 + .
115
,
.
. ,
.
, :
~
Yt = ~ + I t + ~t ,
~
~
~ = = (1 ) , = 1 (1 ) .
, ~
~
~2 ,
,
~
~
~
~
= 1 , = ~ , 2 = ~2 2 .
,
,
.
, 2
, ,
~
~ ~
~ ~
~
~
~2
~ = ~ 1 + , 1 = 1 + , ~2 2 = ~2 1 + ,
,
,
. ,

. ,
.

,
,

.
,
,
. ,
)(
116
2.3.
,
, ,

y i = + xi + i , i ~ i.i.d., E ( i ) = 0, D( i ) = 2 , i = 1, K , n.

n
( y i xi ) = 0 ,
i =1
(y
xi ) x i = 0,
i =1
e = (e1 ,K, en ) ,
e = y x
i - ,
T
1 = (1,K,1)
x = (x1 ,K, xn ) . ,

1 n
1 n
e
1
=
0
,
i
ei xi = 0 ,
n i=1
n i=1

Cov( i ,1) = 0 , Cov( i , xi ) = 0 .
E ( i ) = 0 ,
,
:
E ( i xi ) = 0 .
T
Cov( i , xi ) 0 ,
p lim
n
1 n
ei xi 0
n i=1
1 n
ei xi = 0
n i=1
117
. -
zi ,
Cov( i , zi ) = E ( i zi ) = 0 ,
, ..
( yi xi ) zi = 0.
i 1
=
,
,
.
( yi xi ) = 0 , ( yi xi ) zi = 0 ,
i =1
i =1
:
n
(y
i =1
n
y )(zi z )
(x x )(z
i
i =1
z)
( x x +
i
i =1
(x
i =1
)( zi z )
x )( zi z )
1 n
( i )(zi z )
n i=1
.
=+ n
1
(xi x )(zi z )
n i=1
p lim
n
p lim
n
1 n
( i )(zi z ) = Cov( i , zi ) = 0 ,
n i=1
1 n
(xi x )(zi z ) = Cov(xi , zi ) ,
n i=1
118
, p lim = 0 ,
n
: Cov( xi , zi ) 0.
zi
Cov( i , zi ) = 0, Cov( xi , zi ) 0,
,
.

xi , xi i .
, ,

y i = + xi + i , xi

() , xi
i . ,
,
, (
) IV: IV , IV ( IV , IV ). IV
Instrumental Variables (
).
.
,
, ..
C t = + Yt + t ,
Yt = C t + I t .

2
0 , Yt
1
. Cov(I t , t ) = 0 (
:
Cov(Yt , t ) =
119
), I t
. ,

1
1
1
: Cov(Yt , I t ) = Cov
It +
D (I t ) 0 ,
t , I t =
+
1
1
1
1
I t
.

n
IV =
(C C )(I
t
t =1
n
(Y Y )(I
t
t =1
I)
I)
IV-
.
Ct = + Yt + t
I t . :
Cov(Ct , I t ) = Cov( , I t ) + Cov(Yt , I t ) + Cov( t , I t ) .

Cov(Ct , I t ) = Cov(Yt , I t ) ,
:
Cov(Ct , I t )
.
Cov(Yt , I t )
n ,

:
120
IV
1
n
(C
1
n
(Yt Y )(I t I ) (Yt Y )(I t I )
t =1
n
C (I t I )
=
t =1
(C
t =1
n
C (I t I )
.
t =1
[Gujarati (1995),
p.651]:
Cons = ,
Y = ,
I = .
. 1987 .
1970
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
CONS
1813.5
1873.7
1978.4
2066.7
2053.8
2097.5
2207.3
2296.6
2391.8
2448.4
2447.1
2476.9
2503.7
2619.4
2746.1
2865.8
2969.1
3052.2
3162.4
Y
2873.9
2955.9
3107.1
3268.6
3248.1
3221.7
3380.8
3533.3
3703.5
3796.8
3776.3
3843.1
3760.3
3906.6
4148.5
4279.8
4404.5
4539.9
4718.6
I
429.7
475.7
532.2
591.7
543.0
437.6
520.6
600.4
664.6
669.7
594.4
631.1
540.5
599.5
757.5
745.9
735.1
749.3
773.4
1989
1990
1991
3223.3
3260.4
3240.8
121
4838.0
4877.5
4821.0
784.0
739.1
661.1

Const = + Yt + t
:
Dependent Variable: CONS
Sample: 1970 1991
Included observations: 22
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
Y
-301.1158
0.734314
38.52693
0.009844
-7.815722
74.59484
0.0000
0.0000
, :
Cons t = 216.8 + 3.704 I t + t ,
Yt = 667.4 + 5.104 I t + t ,

~
~
~ = 216.8 , = 3.704 , ~ = 667.4 , = 216.8 .

:
~
~
~
= 1 + = 0.787 , = ~ 1 + = 46.1 .
,
:
~
~
~
= 1 = 0.995 , = ~ = 3.1 .
.

I t , :
122
2
n
IV
(C
t =1
n
C (I t I )
(Yt Y )(It I )
= 0.725604 .
t =1
, ,
,

Yt ,

Yt .

Yt I t (
).
,
Yt = + I t ,
Yt
t . ,
Yt :
Yt = Yt + Yt Yt ,
Cons t = + Yt + t ,
Yt
.
123

Const = + Yt + t
, 2SLS (two-stage least squares).

2 SLS 2 SLS , ,
(Cons
2 SLS 2 SLS Yi ) = 0 ,
(Cons
2 SLS 2 SLS Yt ) I t = 0 ,
t =1
n
t =1
.. IV-.

2SLS :
Dependent Variable: CONS
Sample: 1970 1991
Included observations: 22
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
Y_CLEANED
-267.4634
0.725604
352.8290
0.090399
-0.758054
8.026691
0.4573
0.0000
,
:

, ,
,

;
124

,
;
.
, ,
,
,

. , IV-
, OLS-.

. - ,
, ,
.
, ,
(weak instruments), ..
, IV-
, OLS- (.,
, [Staiger, Stock (1997)]).
125
2.4.

,
,

.
. .
:
Q d = a 0 + a1 P,
s
Q = b0 + b1 P,
s
d
Q = Q ,
Q s , Q d , P
; a1 < 0 , b1 > 0 .
, .. a0 ,
a1 , b0 b1 ,
P Q .
P Q :
Q a1P = a0 ,
Q b1 P = b0 ,

a b ab
a b
Q= 0 1 1 0 , P= 0 0 .
b1 a1
b1 a1
a0 > b0 .
126
,
, a0 a0 + ut t -
, ,
t - b0 b0 + vt .
t Pt Qt ,

Qt = a0 + a1Pt + ut ,
Qt = b0 + b1Pt + vt .
Pt Qt ,
Pt Qt .
t - a0 , a1 ,
b0 , b1 () ut , vt .
:
ut vt ;
, Pt Qt
;
- Pt Qt .
Qt = + Pt + t ,
, :
. ,

1948 1961
([ (2004), . 110]):
-
77.484
-24.775
.
13.921
29.794
t-.
5.566
-0.832
P-.
0.0001
0.4219

, ,

127
,
,
.
Pt
Pt , :
a b a b b u a1vt
Qt = 0 1 1 0 + 1 t
= 1 + wt1 .
b1 a1
b1 a1
Qt
, :
a b0 u t vt
Pt = 0
+
= 2 + wt 2 .
b1 a1 b1 a1

Qt = 1 + wt1
Pt = 2 + wt 2
. - ,

t ,
:
b u a1vt ut vt
1
=
(b1D(ut ) + a1D(vt )).
Cov(wt1 , wt 2 ) = Cov 1 t
,
b1 a1 b1 a1 b1 a1

(,
),

.
t1 , t1 ,
a0b1 a1b0
a b

0 0 .
b1 a1
b1 a1

128
a0 , a1 , b0 , b1 ,

.
(,
) Yt ,
:
Qt = a0 + a1 Pt + a2Yt + ut ,
Qt = b0 + b1 Pt + vt .
, ,
:
a b ab
ab
bu a v
Qt = 0 1 1 0 + 2 1 Yt + 1 t 1 t = 11 + 21Yt + wt1 ,
b1 a1
b1 a1
b1 a1
a0 b0
u v
a2
+
Yt + t t = 12 + 22Yt + wt 2 .
b1 a1 b1 a1
b1 a1
4 ,
5 .

. -
.
,
Pt =
21
= b , 11 b1 12 = b0 ,
22 1

.

,
. ,
: .
129

,
-
,
Rt .
:
Qt = a0 + a1 Pt + a2Yt + ut ,
Qt = b0 + b1 Pt + b2 Rt + vt
6 .
Qt = 11 + 21Yt + 31Rt + wt1 ,
Pt = 12 + 22Yt + 32 Rt + wt 2 ,
,
. ,
:
Qt a1 Pt = a0 + a2Yt + ut , Qt b1Pt = b0 + b2 Rt + vt ,
a0 b0
1
= (1, Yt , Rt ) a2 0 + (ut , vt ) ,
b1
0 b
2
:
11 12
(Qt , Pt ) = (1, Yt , Rt ) 21 22 + (wt1 , wt 2 ) .
31 32
,
,
, :
1
(Qt , Pt )
a1
130
a0
(Qt , Pt ) = (1, Yt , Rt ) a2
0
a0
= (1, Yt , Rt ) a2
0
b0
1
1
1
=
0 + (ut , vt )
a1 b1
b2
b0
1
0
a
b2 1
1
1
+ (ut , vt )
b1
a1
1
=
b1
1
1
,
= (1, Yt , Rt ) + (ut , vt )
a1 b1
,
11 12 a0 b0
1
1

1
.
= 21 22 = a 2 0
a1 b1

31 32 0 b2
1
1
1
1 b1 a1
,
1
a1 b1 1
a1 b1

bu a v
ab
a b ab
ab
Qt = 0 1 1 0 + 2 1 Yt 1 2 Rt + 1 t 1 t ,
b1 a1
b1 a1
b1 a1
b1 a1
u v
b
a0 b0
a2
+
Yt 2 Rt + t t .
b1 a1
b1 a1
b1 a1 b1 a1

11 12 a0 b0
1
1

1
,
= 21 22 = a2 0
a1 b1
31 32 0 b2
Pt =
131
11 12
a0 b0
1
1
= a2 0 ,
21 22
a1 b1 0 b
2
31 32
6 6
:
11 12 a1 = a0 , 11 12b1 = b0 ,
21 22 a1 = a 2 , 21 22b1 = 0,
31 32 a1 = 0, 31 32b1 = b2 .
:
a1 = 31 / 32 , b1 = 21 / 22 ,
a2 = 22 ( 31 / 32 21 / 22 ), b2 = 32 ( 31 / 32 21 / 22 ),
a0 = 11 12 31 / 32 , b0 = 11 12 21 / 22 .
,
.
,
,
St , ,
- ,
.
:
Qt a1 Pt = a0 + ut , Qt b1Pt = b0 + b2 Rt + b3 St + vt ,
a0 b0
1
= (1, Rt , S t ) 0 b2 + (ut , vt ) .
b1
0 b
3

Qt = 11 + 21Rt + 31St + wt1 , Pt = 12 + 22 Rt + 32 St + wt 2

1
(Qt , Pt )
a1
132
11 12 a0 b0
1

1
1
,
= 21 22 = 0 b2
a1 b1
31 32 0 b3

11 12
a0 b0
1
1
= 0 b2 ,
21 22
a1 b1 0 b
3
31 32
6 6
:
11 12 a1 = a0 , 11 12b1 = b0 ,
21 22 a1 = 0, 21 22b1 = b2 ,
31 32 a1 = 0, 31 32b1 = b3 .

.
:
a0 = 11 12 a1 , a1 = 21 22 , a1 = 31 32 ,
a1
.
11 12 a0 b0
1

1
1
=
= 21 22 = 0 b2
a1 b1
31 32 0 b3
a0 b0
a0b1 + b0 a0 a1 + b0
b1 a1
1
1
=
b2
b2 ,
=
0 b2
a1 b1
1 a1 b1
1
b3
b3
0 b3
21 22 = 31 32 , a1
,
.
,
133
,
,
21 22 31 32 = 0, 21 , 22 , 31 , 32
, , 21 22
31 32 ,
a1 , ,
a0 .
.
(
) :
11 12b1 = b0 , 21 22b1 = b2 , 31 32b1 = b3 .

b0 , b1 , b2 , b3 ,

b0 , b1 , b2 , b3 .
, :
;
.
,

,
.
2.5.
134
1, , ,
, :
;
;
.
; , i -
, .

.
,
.
, ,
. t
, i - ,
,
t , t + 1 , K ,
Qt = a1Pt + a2Qt 1 + ut ,
Pt = b1Qt 1 + vt
Qt Pt , Qt 1
.
,
g ,
;
g ;
K
;
1
135
g ,
,
, 1.
( g = 2 , K = 1 , .)

,

.

,
:
11 yt1 + K + g1 ytg = 11 xt1 + K + K 1 xtK + ut1 ,
y + K + y = x + K + x + u ,
tg
1g t1
Kg tK
tg
gg
1 g t1
t = 1, K , n, yt1 ,K , ytg ,
xt1 , K , xtK
, ut1 ,K , utg .
, ji j -
ji j -
i - . (,
.) ,

i - ,
yt1 11 + K + ytg g1 = xt111 + K + xtK K 1 + ut1 ,
y +K+ y = x +K+ x + u ,
tg gg
t1 1 g
tK Kg
tg
t1 1 g
136
:
11 K 1g
11 K 1 g
= M O M , = M O M ,
g1 K
K1 K
gg
Kg
yt = ( yt1 ,K , ytg ) , xt = ( xt1 , K , xtK ) , ut = (ut1 , K , utg ) .

( .) :
yt = xt + ut , t = 1, K , n .
,
,
1 ; :
yt = xt 1 + ut 1 = xt + wt .
11 K 1g
1
= = M O M , wt = ut 1 = (wt1 , K, wtg ) ,
K 1 K Kg
wti i -
t .

Qt = a0 + a1 Pt + a2Yt + ut ,
Qt = b0 + b1 Pt + b2 Rt + vt
Qt a1 Pt = a0 + ut ,
Qt b1 Pt = b0 + b2 Rt + b3 S t + vt .
, ut = (ut1 , K , utg ) ,
i = 1,K, n , g -

= 2 I g , I g ,
137
wt = (wt1 , K , wtg )
.

:

.
11 K 1g
= = M O M ,
K 1 K Kg
= ,
.

, .. ,
= 1 . ,
g 2 + Kg ,
Kg . ,

, ,
2.
1
(. 5)

.
138
i - ,

i i - ,
, i -
;
i i - ,
,
i - .
i i
:
,
i -
1.

(g + K ) g , ,
:
= .

g K
i - i -
i .
,
i -
,
( g ) ( K )
.
139
,
i

i i = 0 ,
i Ri ( g + K ) , Ri
. i -
= 1
,
:
rank ( i ) = g 1 .
( i Ri g .)
i ,
i - i , = [ i : A i ] .
rank ( i ) = rank ( i [ i : i ]) = rank ( i i : i i ) ,
i i = 0 ,
rank ( i ) = rank (0 : i i ) = rank ( i i ) .
i i Ri (g 1) ,
g 1 , ,

i -
:
Ri g 1.
, ,
i ( )
(..
i )
i - g i K i
140
g i + K i ,
i - :
g i + K i g 1,
K i g g i 1.
, ,
i - ,
, i -
, . i -

, g g i 1
, .
,
i - :
1. rank ( i ) < g 1 i -
();
i -
2. rank ( i ) = g 1 Ri = g 1
;
i -
3. rank ( i ) = g 1 Ri > g 1
().
1
. 2 3 i -

.
,

i -

, ,

,
141

= 1 .
, ,
2
i -
,

3
, .
,

.

.

Qt = a0 + a1 Pt + ut ,
Q t = b0 + b1 Pt + vt .
: (Qt , Pt ) ,
,
1,
: (Qt , Pt , 1) . g = 2, K = 1 , ,
:
1
1
, = (a0 ,b0 ) ,
=
a1 b1
1
1

= = a1 b1 .
B a
b0
0

, g1 = g 2 = 0 , K1 = K 2 = 0 ,

g i + K i g 1 . .
142
:
Qt = a0 + a1 Pt + a 2Yt + ut ,
Q t = b0 + b1 Pt + vt ,
..
Qt a1 Pt = a0 + a 2Yt + u t ,
Q t b1 Pt = b0 + vt .
: (Qt , Pt ) .
: ( 1, Yt ) .
: (Qt , Pt , 1, Yt ) .
g = 2, K = 2 , , :
1
=
a1
1
,
b1
a
= 0
a2
b0
,
0
1
11 12
1
21 22 a1 b1
A = ( 1 2 ) =
.
= =
31 32 B a 0
b0
a
0
41 42
2

11 = 1.
.

42 = 0 ,
g 2 = 0 , K 2 = 1 ,
g 2 + K 2 = g 1 = 1, ..
.
, 42 = 0
2 2 = 0 , 2 = (0 0 0 1) .
143
2 2 = (0 0 0 1)(1,a1 , a0 , a 2 ) = (a 2 ) ,
rank ( 2 ) = rank ( 2 2 ) = rank (a 2 ) = 1 ,

rank ( 2 ) = g 1
. , g 2 + K 2 = g 1 ,
T
.
:
Qt = a0 + a1 Pt + a2Yt + u t ,
Q t = b0 + b1 Pt + b2 Rt + vt ,
..
Qt a1 Pt = a0 + a 2Yt + u t ,
Q t b1 Pt = b0 + b2 Rt + vt .
: (Qt , Pt ) .
: ( 1, Yt , Rt ) . :
(Qt , Pt , 1, Yt , Rt ) . g = 2, K = 3 , ,
:
a0 b0
1
1
, = a 2 0 ,
=
a1 b1
0 b
2
1
1
a1 b1
= = a 0
b0 .
B

0
a2
b2
0
,

144
g1 = g 2 = 0 ,
K1 = K 2 = 1 , g i + K i = g 1 , .
41 = 0
11 = 0 , 1 = (0 0 0 0 1) .
11 = (0 0 0 0 1)(1, b1 , b0 , 0, b2 ) = (b2 ) ,
rank (1 ) = rank (11 ) = rank (b2 ) = 1 ,
rank (1 ) = g 1
. ,
g1 + K1 = g 1, .
32 = 0
2 2 = 0 , 2 = (0 0 0 1 0 ) .
T
2 2 = (0 0 0 1 0 )(1, a1 , a0 , a2 , 0 ) = (a2 ) ,
rank ( 2 ) = rank ( 2 2 ) = rank (a2 ) = 1 ,
rank ( 2 ) = g 1
. ,
g 2 + K 2 = g 1, .

, .
T
,
Qt = a0 + a1Pt + ut ,
Qt = b0 + b1Pt + b2 Rt + b3 St + vt ,
..
Qt a1Pt = a0 + ut ,
Qt b1Pt = b0 + b2 Rt + b3 S t + vt ,
,
: ( 1, Rt , St ) . :
(Qt , Pt ,1, Rt , St ) .
145
g = 2, K = 3 , ,
1
=
a1
a0
1
, = 0
b1
0
b0
b2 ,
b3
1
1
a1 b1
= = a 0
b0 .

b2
0
b3
0

.
.
:
41 = 0 , 51 = 0 . g1 = 0 , K1 = 2 , g1 + K1 = 2 > g 1,
.
11 = 0 ,
0 0 0 1 0
.
1 =
0 0 0 0 1
0 0 0 1
1 =
0 0 0 0
0 0 0 1
11 =
0 0 0 0
1
1
a1 b1
0
0 b2
,
a 0
b0 =
0 b3
1
b2
0
b3
0
0
b
(1, b1 , b0 , b2 , b3 )T = 2 ,
1
b3
146
b2
rank (1 ) = rank(11 ) = rank = 1 ,
b3
rank (1 ) = g 1
. g1 + K1 > g 1,
.
,
(
-):
Ct = a0 + a1Yt + a2Ct 1 + ut1 ,
I t = b0 + b1 (Yt Yt 1 ) + ut 2 ,
Yt = Ct + I t ,
Ct , I t , Yt .
Yt ,
:
Ct a1Yt = a0 + a2Ct 1 + ut1 ,
Ct + (1 b1 )Yt = b0 b1Yt 1 + ut 2 .
: (Ct , Yt ) .
: ( 1, Ct 1 , Yt 1 ) . : ( Ct , Yt ,1, Ct 1 , Yt 1 ) .
:
1
1
a1 1 b1
= a0
b0 .
0
a2
b1
0
51 = 0 , ..
11 = 0 , 1 = (0 0 0 0 1) .
147
rank (1 ) = rank (11 ) = rank ( b1 ) = 1 = g 1 ,

.
g1 + K1 = 1 = g 1,
.
42 = 0
12 + 22 = 52 .
2 2 = 0 ,
0 0 0 1 0
.
2 =
1 1 0 0 1
1
1
a1 1 b1
0
a2
0 0 0 1 0
,
a0
2 =
b0 =
1 a1 0
1 1 0 0 1 a
0
2
b1
0
rank ( 2 ) = 1 ,
rank ( 2 ) = g 1
. R2 = 2 > g 1,
.
1

, .
.
,
Qt = a0 + a1Pt + ut ,
Qt = b0 + b1Pt + vt
148
.
:
Qt = a0 + a1Pt + ut ,
Qt = b1Pt + vt .

;
: (Qt , Pt , 1) . g = 2, K = 1 , ,
:
1
1
, = (a0 , 0 ) ,
=
a1 b1
1

= = a1
B a
0
b1 .
0

, g1 = 0 , K1 = 0 ,
g i + K i g 1 .
.
32 = 0 , .. 2 2 = 0 ,
2 = (0 0 1) .

rank ( 2 ) = rank (a0 0 ) = rank ( 2 1 ) = (a0 ) = 1 = g 1 ,
.
g 2 + K 2 = 1 = g 1,
.
149
i -
( )
,
, .
.

Q d = a0 + a1 P + ut ,
s
Q = b0 + b1 P + vt ,
s
d
Q = Q
, ( ) ,
,

. , ,

Qtd = a0 + a1Pt + a2Yt + ut ,
s
Qt = b0 + b1Pt + vt ,
d
s
Qt = Qt ,

, :
Qt = a0 + a1 Pt + a2Yt + ut ,
Qt = b0 + b1 Pt + vt ,
, ,
.
,
g = 3 .
, :
(Q
d
t
, Qts , Pt ,
150
(1, Yt )
5 : Qtd , Qts , Pt ,1, Yt .

:
Qtd a1 Pt = a0 + a2Yt + ut ,
s
Qt b1Pt = b0 + vt ,
d
s
Qt Qt = 0,
:
0
1
1
1 1
0
= a1 b1 0 .
b0
0
a0
0
0
a2

21 = 0 , .. 11 = 0 , 1 = (0 1 0 0 0 ) .
rank (1 ) = rank (0 1 1) = 1 < g 1 = 2 ,

.
K 2 = 2 :
12 = 0 52 = 0 , .. 2 2 = 0 ,
1 0 0 0 0
.
2 =
0 0 0 0 1

1 0 1
= 2 = g 1 ,
rank ( 2 ) = rank
a2 0 0

,
, g 2 + K 2 = 2 = g 1.
151

.

.
i -

,
.
(
)
,
,
.

,
.
:
yt = xt + ut , t = 1, K, n ,
11 K 1g
11 K 1g
= M O M , = M O M ,
g1 K
K1 K
gg
Kg
yt = ( yt1 ,K, ytg ) , xt = ( xt1 , K, xtK ) , ut = (ut1 , K , utg )
.
:
yt = xt 1 + ut 1 = xt + wt ,
152
11 K 1g
= M O M , wt = ut 1 = (wt1 , K, wtg ) .
K 1 K Kg
)
Cov(u u ) = (Cov (u , u )) = 0
E (ut ) = 0 , Cov utT ut = (Cov(uti , utj )) = = ( ij ) ,

T
t
ti
sj
t s ,
,

. E (wt ) = 0
= (ij ) = Cov wtT wt = (Cov (wti , wtj ))
wt :
) ( ) ( )
= Cov(wt ) = Cov ut 1 = 1 1 ,
T

= T .
(
),
,
, ,
, .
,
,
i -

. ,
153
, .

12 K 1g
11 K 1g
11

= M O M = [ 1 : 1 ] , 1 = M 1 = M O M .

g2 K
g1 K
gg
gg
g1

11 = 1T 1 ,

. ,
i - ,

ii = iT i , i i - ,
ii i -
.

Qt = a0 + a1 Pt + a2Yt + ut ,
Qt = b0 + b1 Pt + vt .
,
,
.
1
1
1
, 2 =
,
=
a1 b1
b1
( )
12 1
= 11 2b112 + b1222 .
D(vt ) = 22 = (1 b1 ) 11
b
22
1
21

,
b1 ,
D(vt ) .
154
3
,
,
, i -
.
,
,
, i -
i - ( ,
). ,
Qt = a 0 + a1 Pt + a 2Yt + u t ,
Q t = b0 + b1 Pt + b2 Rt + v t
:
Yt
Rt
a1
1
a0
a2
b0
b0
b2
Qt
Pt
i -
, ,
, i - , ,
i -.
1-
b2 , 2-
a2 . 1,
g 1 = 1 , .
155

Qt = a0 + a1 Pt + ut ,
Qt = b0 + b1 Pt + b2 Rt + b3 St + vt
3
Qt
Pt
Rt
St
1
i
a1
a0
1
1
0
0
b0
b0
b2
b3
1
2
,
,
.

.
: (b2 b3 ) . 1, g 1 = 1
.
4
, ,
, .
.
, ,

a11 yt1 + a12 yt 2 + a13 yt 3 = a14 xt1 + a15 xt 2 + ut1 ,
a21 yt1 + a22 yt 2 + a23 yt 3 = a24 xt1 + a25 xt 2 + ut 2 ,

a y + a y + a y = a x + a x + u ,
33 t 3
34 t1
35 t 2
t3
31 t1 32 t 2

a14 = 0 , a12 = a13 .
1a1 = 0 ,
0 0 0 1 0
,
1 =
0 1 1 0 0

156
a24
a34 0
a24
a34
a14
=
.
1 A =
a12 a13 a22 a23 a32 a33 0 a22 a23 a32 a33
,
.

;
xt1 ;
yt 2 yt 3 .
5

.

,
.

Qt = a1Pt + a2Qt 1 + ut1 ,
Pt = b1Qt 1 + ut 2 .
Pt Qt ,
Qt 1 .
1 1
, = (a2 b1 ) , = ( 11 12 ) ,
=
a1 0
= :
1 1
= (a2 b1 ) ,
( 11 12 )
a1 0
( 11 a1 12 11 ) = (a2 b1 ) , .. a2 = 11 a1 12 , b1 = 11 .
,
,

, .
157
,
:
= T .
:
11 12 1 a1 11 12 1 1
21 22 1 0 21 22 a1 0
2a112 + a1222 11 a121
.
= 11
11
1 12
11
, 12 = 21 = 0 , ..
,
:
11 a121 = 0 ,
a1
:
a1 = 11 21 .
a2
:
a2 = 11 a1 12 .
6
5
Qt = a1Pt + a2Qt 1 + ut1 ,
Pt = b1Qt 1 + ut 2
12 = 21 = 0
.

,
t .
158
Cov(Qt 1 , ut 2 ) = 0 , . .
Qt 1 t .
Cov(Qt 1 , ut1 ) = 0
Cov(Pt , ut1 ) = Cov(b1Qt 1 + ut 2 ) = b1Cov(Qt 1 , ut1 ) + Cov(ut 2 , ut1 ) = 0 ,
12 = 21 = 0 Pt
. 12 0 , Pt
, .
2.6.

.

() ,
,

.
2.6.1.
i -
,
( )
.

( )
,

=
= T ,

.

159
(ILS indirect least

squares). i -

.

- ,
. ,

.

.
2.6.2.

2.3
Ct = + Yt + t ,
Yt = Ct + I t .
Yt
Y = + I ,
t
Yt = + I t + t .
C = + Y +
t
, Yt
t .
g
yt = xt + ut , t = 1, K, n ,
160
11 K 1g
11 K 1g
= M O M , = M O M ,
g1 K
K1 K
gg
Kg
yt = ( yt1 ,K, ytg )
t - ,
xt = ( xt1 , K, xtK )

t - ,
ut = (ut1 , K , utg ) t -
,
.
. ( ,
.)
,
yt1 , ,
:
yt1 = 11 yt1 + K + g ,1 ytg + 11 xt1 + K + K1 ,1 xtK1 + ut1 ,
1
yt1 = Yt11 + X t11 + ut1 ,
Yt1 = yt1 , K , ytg
g1
, ,
X t1 = xt1 ,K, xtK
K1
, , 1
1
, .

yt1 ,K, ytg .
1
( :
, 2SLS two-step least squares, two-stage least squares).
161
1.
,
.
yt1 ,K, ytg
1
y t1 , K , y tg
.)
yt1 ,K, ytg
2.
1
y t1 , K , y tg .
1
.

(OLS)

, 2SLS
. ,
i -

yti , :
yi = ( y1i ,K, yni ) - i -
n ,
y11
K y1g
i
Yi = M O M n g i

yn1 K yngi
, i -
,
T
162
x11
K x1K
i
Xi = M O
M n K i

xn1 K xn K
i
, i -
,
T
ui = (u1i ,K, uni ) - i -
n ,
x11 K x1K
X = M O M n
x
n1 K xnK
K , ,
11 K 1g
= M O M
K 1 K Kg
,
w11 K w1g
W = M O M n
wn1 K wng
g . (,
, yi = ( y1i ,K, yni ) ui = (u1i ,K, uni )

-,
i -
t = 1, K, n .
-
yt = ( yt1 ,K, ytg )
ut = (ut1 , K , utg ) ,
g ,
t .)
163
2SLS i -

Yi = X i + Wi ,
i
, ,
, i -
, Wi W ,
W ,
.

,
i
i
. Y
Y Y = X
i
,
i - ,
.
i i
, i -
, :
yi = Yi i + X i i + ui = Z i i + ui ,

i = i , Z i = [Yi X i ] .
i
:
y i = Yi i + X i i + u i = Yi i + X i i + Yi Yi i + u i ,
y i = Z i i + i ,
Z i = Yi X i .
((
164
2SLS
i .
:
1
2 SLS = Z T Z T Z T y .
, , , Z iT Z iT
. , rank Z iT ZiT = rank Z iT rank X .
Z T Z T , g + K , rank X = K ,
, K g i + K i , .. K K i g i = g g i 1 ,
,
. i2 SLS ,

1
p lim ZiT Z iT = Qi
n n
,
i .
i - (c.
[Schmidt (1976), p. 150-151]).
OLS,
t -
( OLS)
.
. , ,

y t1 = 11 y t1 + K + g ,1 y tg + 11 x t1 + K + K1 ,1 x tK1 + u~t1 ,
1
y t1 , K ,
y tg
1
.
OLS
:
(y
n
~
S2 =
t1
t =1
11 y t1 K g
tg
,1 y
1
165
11 x t1 K K1 ,1 x tK1
n g1 K1
:
(y
n
S2 =
t =1
t1
11 y t1 K g
,1 y tg 1
11 x t1 K K1 ,1 x tK1
n g1 K1
y t1 , K , y tg
1
y t1 , K , y tg .
1
2SLS;

, 2SLS (, 11 112 SLS ).

.
1
2SLS
t -,
,
, t -.
, , , t .

.
2

Qt = a0 + a1Pt + ut ,
Qt = b0 + b1Pt + b2 Rt + b3 St + vt ,
166
,
Pt ,
Rt St . 2SLS
Pt
.
,
( ,
,
). 2SLS
.
3 ( )

i -
i2 SLS , y i2 SLS = Z i i2 SLS
yi u i2 SLS = y i y i2 SLS . (,
,
2SLS y i Z i i2 SLS .) ,
,
:
(,
);

(

);
(, );

().
167

, ,
.
3a

.
,

. , , Stata.
2.6.3. GLS- .

g
,
( ),

OLS-

,K,
, ,

1
g

yi = Yi i + X i i + ui = Z i i + ui , i = 1, K, g .
2SLS-
Y = X
i
i2 SLS i , OLS y i = Z i i + i .
2 SLS , i = 1, K, g ,
i
2 SLS
12 SLS
= M
2 SLS
168
OLS-
Z
K

y1 1
Z 2 K 1 1
M =
M + M ,
M O M
M
y g K Z g g
g

y = Z + ,
Z1 K
y1
1
1
K

2
y = M , Z =
, = M , = M .
M O M

M
yg
g
g
K Z g
, 2 SLS :
T
2 SLS = Z T Z Z T y .

t1 , K, tg (
ut1 ,K, utg ) Z1 , K , Z g .
,
OLS , (GLS),
.
,
, ,

.
,
:
11

M
11I g
n1 21I g
Cov( ) = Cov M =
M
1g I
M g1 g

ng
12 I g
22 I g
M
g 2 I g
169
K 1g I g
K 2 g I g
,
O
M
K gg I g
Cov( ) = I g ,
I g g ,
ij = Cov ( ti , tj ) ,
= (ij ) ( t1 , K, tg ) ,
I g ,
I g .
, GLS
ij . ,
ij
1 2 SLS T 2 SLS
u i
u j .
n
Cov( ) ij
ij =
ij ,
Cov( ) I g .
(FGLS feasible
generalized least squares)
1
3SLS = Z T 1 I g Z Z T 1 I g y ,
( (
))
170

, 3SLS- (three-stage least squares).
2.6.4.

g n
:
Y = X +U ,
y11 K y1g
Y = M O M n g
yn1 L yng
, ,
x11 K x1K
X = M O M n
x
n1 K xnK
K , ,
u11 K u1g
U = M O M n
u n1 L ung
g ,
11 K 1g
11 K 1g
= M O M ,
= M O M
g1 K gg
K 1 K Kg
.

ut = (ut1 , K , utg ) g t - :
171
u1 ,K, un g -
N g (0, )

;
u1 ,K, un .

u1 ,K, un :
n
pU (u1 , K , un ) =
t =1
1
g
exp ut 1u Tt .
2
det
ut = yt xt , u1 ,K, un
y1 , K, yn ,
y1 , K, yn :
g
pY ( y1 , K , yn ) = J 2
det
1
T
exp ( yt xt ) 1 ( yt xt ) ,
2
J u1 ,K, un
y1 , K, yn , J = det .
, det 0 .
,
, , , Y , X ,
g
n
L(, , Y , X ) = det 2
det
1 n
T
exp ( yt xt ) 1 ( yt xt ) ,
2 t =1
172

n
ng
ln L(, , Y , X ) = n ln det ln (det )
ln(2 )
2
2
1 n
T
( yt xt ) 1 ( yt xt ) .
2 t =1

1 ,
:
T
= n 1 (Y X ) (Y X ) .

ln L(, , Y , X ) ,

n
T
ln L (, ) = n ln det ln n 1 (Y X ) (Y X ) .
2
ln L
,
. ,
,
.
T
(Y X ) (Y X )

.
n g + K .

.
, ln L ,

T Y X

= n 1 Y X
)(
,
.
173

(FIML full information maximum likelihood).
,

,
X ,
1
p lim X T X = Q
n n
.
FIML- .
u1 ,K, un
. (., , [Amemiya (1985), 7].)
4
FIML ,
, ,
,
T
n
ln L (, ) = ln n 1 Y X 1 Y X 1 ,
2
.., = 1 ,
~
T
Q(, ) = Q ( ) = (Y X ) (Y X )
,

.

~
Q( ) ,

.

)(
174
,

, Q(, ) .
5
FIML
.
FIML-

.
. ,
.
6
FIML
.
7

FIML OLS
.

y1 = Y11 + X 11 + u1
,
.
,
,
n , X
:
Y = X + W .
,
y1; :
175
Y1 = X1 + W1 .

:
y1 = Y11 + X 11 + u1 ,
Y1 = X1 + W1.

u
1
= X 1 X 1 1 1 + 1
[ y1 Y1 ]
W
0
1 I g 1
1
FIML.
1 , 1 , ,
(LIML limited
information maximum likelihood).

1 ,1 , 1 .
1
Y1 = X1 + W1 .
1 1 ,
.
2.6.5.

(single equation) . :
(),
ILS;
, 2SLS,
LIML, 3SLS, FIML.
176
3SLS FIML

. 2SLS LIML
(
) ,
. 2SLS LIML

; 3SLS FIML
.
,
. :
i - ,
2SLS, LIML ILS ;
, 2SLS LIML
,
LIML
;
i - , 2SLS
d
2 SLS
n i
i N (0, C 2 ) ;
, 3SLS
d
3 SLS
n i
i N (0, C 3 ) , C2 C3
( ),
3SLS ;
= I g
, i3 SLS = i2 SLS ;
FIML 3SLS
; n FIML.
177
8
i - Y = X + U
2SLS
GLS, 3SLS. , , i -
,
uti = u t 1,i + t , < 1 .
i -
().
,
(OLS)
u tiIV = u tIV1,i + t ,
u tiIV , i -
.

2SLS xt = ( xt1 ,K, xtK )
yt 1 = ( yt 1,1 ,K, yt 1, g ) xt 1 = (xt 1,1 ,K, xt 1, K ) .
2.6.6.

( 3 . 2.6.2)
i - ,
u i2 SLS = y i Z i i2 SLS ,

,
, ,
.

178
i -
yi = Yi i + X i i + ui = Z i i + ui
,
, .
, i -
,
. -
, .
, ,
[Hausman (1978)].
( p 1) -
~
~
, H
0
H A ,
H 0 ,
H A .
~
q = . H 0
, ..
, q .
, H 0 ,
q ,
H 0 .
([Hausman
(1978)])
~
,
.
179
, 3SLS ;
, 3SLS
.
, [Spencer, Berk (1981)],

,
-
.
i -
(
LIML ).

H = n q T [asCov(q )]1 q ,
asCov(q )

~
asCov (q ) q = ,
H 0
-.
,
~
q = ,
asCov (q )
. ,
H ,
.
,
,
.

.
, [Davidson, MacKinnon
(1993)]
(DurbinWuHausman test), .
180
yi = Yi i + X i i + ui = Z i i + ui , X
, Yi
i - ,

. H 0 : i -
, ..
Yi ui . ,
() ,
Yi . ,
i -
(OLS).
.
OLS
,
Yi ,
:
Yi = X i + Wi
Y .
i

i - ,

y i = Z i i + Yi + i ,
OLS
H 0 : = 0 .
F -, , ,
.
Yi
W = Y Y , ..
i
y i = Z i i + W i + i
181
H 0 : = 0 .
H 0
, OLS
i - .

.
W i = Yi Yi , ,
u i , i -
(OLS).
R 2 , OLS
u i = Z i i + W i + i .
nR 2 ( n )
2 ( g i ) , g i
Yi . nR 2 > 12 (g i ) ,
.

i - . ,
,

. ,

, , , ,
J-, [Godfrey, Hutton (1994)].
,
i -
yi = Yi i + X i i + ui = Z i i + ui

182
Yi = X i + Wi ,
X .
i -
, 2SLS-
u i2 SLS = y i Z i i2 SLS .
u i2 SLS
, X . R
. J -
J = nR 2 ( n )
- ,
X
.

J -,
, -
(.. J -, P ).
, IV

,
.
J -,
,
( )
i - /.
[Godfrey, Hutton (1994)] , ,
,
,
1 (1 J )(1 H ) = J + H J H ,
J
J -, H
, .
183
8

,
.

. ,
. ,
,
OLS .
IV OLS-.
2.6.7.
.
1
- :
P = 1Q + 11 + 12 DPI + u1 ,
Q = 2 P + 21 + 22Weather + 23 Invest + u2 ,
P ,
,
Q ,
DPI ,
(CPI),
Weather ,
-
,
Invest CPI
,
.
184
,
.
30 ;
.
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
Price (P)
108.9
100.6
109.7
111.6
109.8
104.4
89.6
117.2
109.3
114.9
112.0
112.9
121.0
112.8
102.9
86.0
95.7
104.9
114.0
121.9
127.2
128.3
125.0
117.1
122.7
111.6
114.1
110.4
109.2
108.9
Quantity (Q)
127.4
105.1
76.7
93.8
88.3
78.4
89.6
75.3
109.1
121.3
106.3
129.1
118.6
94.3
81.0
104.9
94.6
102.9
110.6
111.7
117.6
125.1
87.4
84.6
107.8
120.7
102.8
99.2
107.1
127.4
DPI
97.6
98.2
99.8
100.5
96.6
88.9
84.6
96.4
104.4
110.7
99.1
105.6
116.8
105.3
85.6
84.8
89.8
93.2
105.9
110.8
115.3
120.6
105.7
103.5
110.6
109.3
99.5
105.9
102.7
97.6
Weather
99.1
98.9
110.8
108.2
108.7
100.6
70.9
110.5
92.5
89.3
90.3
95.2
98.6
105.7
107.8
80.4
90.7
88.9
96.9
101.9
104.9
103.6
106.2
100.8
110.5
86.7
93.8
99.9
104
99.1
Invest
142.9
123.8
111.9
121.4
92.9
97.6
64.3
78.6
109.5
128.6
95.8
130.9
125.7
109.8
88.4
96.9
90.8
101.7
110.8
117.9
134.8
140.2
78.3
94.7
135.9
126.8
90.5
134.8
123.8
142.9
,
,
:
185
yt1 = 11 yt 2 + 11 xt1 + 21 xt 2 + ut1 ,
yt 2 = 12 yt1 + 12 xt1 + 22 xt 3 + 32 xt 4 + ut 2 ,
yt1 = Pt , yt 2 = Qt , xt1 1 , xt 2 = (DPI )t , xt 3 = (Weather )t ,

xt 4 = (Invest )t . : ( yt1 , yt 2 ) .
: (1, xt 2 , xt 3 , xt 4 ) . ,
: ( yt1 , yt 2 ,1, xt 2 , xt 3 , xt 4 ) . , g = 2 ,
K =4,
12
1
1
11 12
11
12
12
11
1
21 0
.
, B =
=
=
=
,
22
21

11
0
22
32
0
0
32
A
51 = 0, 61 = 0,
g1 = 0 , K1 = 2 , g 1 + K 1 > g 1, ..
.

42 = 0 ,
g 2 = 0 , K 2 = 1 ,
g 2 + K 2 = g 1, ..
.
3 . 2.5.
:
yt 1
yt 2
xt 2
xt 3
xt 4
11
11
21
12
12
22
32
186

: ( 22 32 ) .
1, g 1 = 1 ,
.
: ( 21 ) .
1,
. ,
g1 + K 1 > g 1, g 2 + K 2 = g 1, ..
, .
,
,
.
,

yt1 = 11 + 21 xt 2 + 31 xt 3 + 41 xt 4 + wt1 ,
yt 2 = 12 + 22 xt 2 + 32 xt 3 + 42 xt 4 + wt 2 .
( EVIEWS):
Dependent Variable: Y1
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
X2
X3
X4
-12.40954
1.030854
0.361564
-0.152442
8.192675
0.090988
0.066508
0.040203
-1.514712
11.32951
5.436388
-3.791820
0.1419
0.0000
0.0000
0.0008
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.902361
0.891094
3.259777
276.2797
-75.87140
2.016289
Mean dependent var

S.D. dependent var
Schwarz criterion
F-statistic
Prob(F-statistic)
111.1445
9.877858
5.324760
5.511587
80.09524
0.000000
187
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
X2
X3
X4
81.78495
0.581396
-0.924096
0.475229
17.56752
0.195106
0.142613
0.086207
4.655463
2.979896
-6.479734
5.512656
0.0001
0.0062
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.824120
0.803826
6.989927
1270.336
-98.75575
2.084533
Mean dependent var

S.D. dependent var
Schwarz criterion
F-statistic
Prob(F-statistic)
101.8111
15.78165
6.850383
7.037209
40.60943
0.000000
= ,

11 12
11 12
12 21 0
21 22 1
32 11
1 0 22
31
0
32
41 42
:
11 1211 = 11 , 12 1112 = 12 ,
21 2211 = 21 , 22 2112 = 0 ,
31 3211 = 0 , 32 3112 = 22 ,
41 4211 = 0 , 42 4112 = 32 .

,

12 , 12 , 22 32 . ,

, . ,
:
12 = 22 21 ,
188
12 = 11 12 ( 22 21 ),
22 = 31 32 ( 22 21 ),
32 = 41 42 ( 22 21 ) .
ki ,

.
,
12 = 22 21 = 0.581396 1.030854 = 0.5639945 .
:
12 = 88.78386, 22 = -1.128017, 32 = 0.561206.

n .

.

, 2SLS
,
ILS 2SLS
. , , , (., , [Sawa
(1969)]) 2SLS
. ,
,
,
.
,

189
.
:
System: FRU
Estimation Method: Two-Stage Least Squares
Coefficient
Std. Error
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)
-0.361831
18.16639
1.279190
0.563994
88.78386
-1.128017
0.561206
Determinant residual covariance
0.081657
9.760145
0.126018
0.175307
15.06578
0.158217
0.065442
t-Statistic
Prob.
-4.431122
1.861283
10.15089
3.217171
5.893080
-7.129565
8.575557
0.0000
0.0683
0.0000
0.0022
0.0000
0.0000
0.0000
479.5253
Equation: Y1=C(1)*Y2+C(2)+C(3)*X2
Observations: 30
R-squared
0.781184 Mean dependent var
Adjusted R-squared
0.764975 S.D. dependent var
S.E. of regression
4.788722 Sum squared resid
Durbin-Watson stat
2.036078
Equation: Y2=C(4)*Y1+C(5)+C(6)*X3+C(7)*X4
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
2.152230
111.1445
9.877858
619.1603
101.8111
15.78165
1089.865

.
yt 2
,
.
yt1 ,
.
190

xt 2 , xt 3 xt 4 ( ,

).
,
,
u i2 SLS = y i Z i i2 SLS
:
20.638675 16.439387
.
16.439387 36.328821

1
0.600370
,
1
0.600370

. ,
,

.
3SLS :
System: FRU
Estimation Method: Iterative Three-Stage Least Squares
Convergence achieved after: 2 weight matricies, 3 total coef iterations
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)
Coefficient
Std. Error
t-Statistic
Prob.
-0.361831
18.16639
1.279190
0.592909
89.91484
-1.159822
0.550297
0.077466
9.259287
0.119551
0.150576
13.79846
0.130071
0.056107
-4.670812
1.961964
10.69998
3.937596
6.516294
-8.916811
9.808057
0.0000
0.0550
0.0000
0.0002
0.0000
0.0000
0.0000
486.0481
191
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
2.036078
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
2.139746
111.1445
9.877858
619.1603
101.8111
15.78165
1088.063

, :
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)
Coefficients
2SLS
3SLS
-0.361831
-0.361831
18.16639
18.16639
1.279190
1.279190
0.563994
0.592909
88.78386
89.91484
-1.128017
-1.159822
0.561206
0.550297
Std. Errors
2SLS
3SLS
0.081657
0.077466
9.760145
9.259287
0.126018
0.119551
0.175307
0.150576
15.06578
13.79846
0.158217
0.130071
0.065442
0.056107
.

.
192
FIML:
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)
Coefficient
Std. Error
t-Statistic
Prob.
-0.363540
18.18156
1.280771
0.593625
89.82550
-1.159165
0.549823
0.097355
13.65099
0.167147
0.221715
19.84547
0.151139
0.065905
-3.734157
1.331886
7.662534
2.677418
4.526248
-7.669539
8.342675
0.0005
0.1886
0.0000
0.0099
0.0000
0.0000
0.0000
Log Likelihood
-172.0962
486.9397
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
2.030828
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
2.137757
111.1445
9.877858
621.5590
101.8111
15.78165
1087.984

.

.
,

. :
System: SYS_FULL_OLS
Estimation Method: Least Squares
Coefficient
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)
-0.213716
18.15974
1.130662
0.614038
86.61460
-1.154140
0.553841
193
Std. Error
t-Statistic
Prob.
0.063693
8.908678
0.108276
0.159561
14.71164
0.153404
0.064458
-3.355431
2.038432
10.44241
3.848293
5.887487
-7.523517
8.592225
0.0015
0.0465
0.0000
0.0003
0.0000
0.0000
0.0000
517.6508
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
2.442191
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
2.138293
111.1445
9.877858
515.8424
101.8111
15.78165
1085.757
,
FIML OLS:
Coefficient
FIML
-0.363540
18.18156
1.280771
0.593625
89.82550
-1.159165
0.549823
OLS
-0.213716
18.15974
1.130662
0.614038
86.61460
-1.154140
0.553841
194
yt 2
,
, ,
. ,

.
0.902361 0.824120
.
, ,
xt 3 , xt 4 . (
.)
3SLS. xt 4
. :
System: SYS_EXACT_2_3
Estimation Method: Iterative Three-Stage Least Squares
Convergence achieved after: 1 weight matrix, 2 total coef iterations
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
Coefficient
Std. Error
t-Statistic
Prob.
-0.393021
18.16779
1.310468
1.603271
68.85896
-1.469719
0.106679
9.612186
0.142630
0.324620
29.34434
0.308619
-3.684137
1.890079
9.187882
4.938909
2.346584
-4.762247
0.0005
0.0641
0.0000
0.0000
0.0226
0.0000
3322.482
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
1.946538
111.1445
9.877858
667.2557
195
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
1.199501
101.8111
15.78165
4622.411
, xt 4
, , 3SLS
:
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
X4 excluded
X4 included
-0.393021
18.16779
1.310468
1.603271
68.85896
-1.469719
-0.361831
18.16639
1.279190
0.592909
89.91484
-1.159822

yt1 .
,
,
.

13.08436 4.971235, , , ,

.
xt 4
xt 3 ,
:
196
Estimation Method: Three-Stage Least Squares
Coefficient
Std. Error
C(1)
C(2)
C(3)
C(4)
C(5)
C(7)
-0.318323
18.16444
1.235561
0.274776
16.26065
0.499415
0.116740
8.863637
0.145848
0.265732
26.12243
0.113699
t-Statistic
Prob.
-2.726758
2.049321
8.471570
1.034037
0.622478
4.392423
0.0086
0.0453
0.0000
0.3057
0.5362
0.0001
2157.560
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
2.166955
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
1.624247
111.1445
9.877858
567.3771
101.8111
15.78165
3676.710
, xt 3
, 3SLS
:
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)
X3 excluded
X3 included
-0.318323
18.16444
1.235561
0.274776
16.26065
-0.361831
18.16639
1.279190
0.592909
89.91484
-1.159822
0.550297
0.499415
197

yt1 .

11.66938
4.584099 ,
. ,

xt 3 , xt 4
:
4.788722,
6.469047;
: 2.036078 2.139746
.
2

,
30 ,
:
yt1 = 0.5 yt 2 + 80 + 0.7 xt 2 + ut1 ,
yt 2 = 0.75 yt1 + 10 1.5 xt 3 + 1.5 xt 4 + ut 2 ,

xt 2 , xt 3 xt 4 , ,
ut1 ut 2 ,
D(ut1 ) = D(ut 2 ) = 36 Corr (ut1 , ut 2 ) = 0.7 .

:
Y1
88.1
87.1
101.1
98.6
109.4
Y2
152.4
114.6
74.1
99.2
74.0
X2
97.6
98.2
99.8
100.5
96.6
X3
99.1
98.9
110.8
108.2
108.7
X4
142.9
123.8
111.9
121.4
92.9
198
105.2
100.6
121.7
96.0
90.3
105.7
91.3
95.5
101.0
110.2
87.1
97.4
99.8
99.9
102.8
99.8
95.8
123.4
110.4
98.7
88.2
110.0
88.3
93.6
103.5
2
72.4
69.2
51.3
109.7
135.5
100.2
144.5
126.1
90.6
66.7
104.0
85.3
102.6
110.8
114.8
131.2
141.2
62.6
73.2
121.1
134.5
91.8
115.1
114.5
76.9
88.9
84.6
96.4
104.4
110.7
99.1
105.6
116.8
105.3
85.6
84.8
89.8
93.2
105.9
110.8
115.3
120.6
105.7
103.5
110.6
109.3
99.5
105.9
102.7
96.8
100.6
70.9
110.5
92.5
89.3
90.3
95.2
98.6
105.7
107.8
80.4
90.7
88.9
96.9
101.9
104.9
103.6
106.2
100.8
110.5
86.7
93.8
99.9
104
108.4
97.6
64.3
78.6
109.5
128.6
95.8
130.9
125.7
109.8
88.4
96.9
90.8
101.7
110.8
117.9
134.8
140.2
78.3
94.7
135.9
126.8
90.5
134.8
123.8
104.5

,
.
:
Estimation Method: Least Squares
Coefficient
C(1)
C(2)
C(3)
C(4)
C(5)
-0.363218
88.69833
0.476608
1.019773
-11.07961
Std. Error
t-Statistic
Prob.
0.041816
10.49401
0.122697
0.297976
28.30156
-8.686139
8.452281
3.884420
3.422330
-0.391484
0.0000
0.0000
0.0003
0.0012
0.6970
C(6)
C(7)
-1.752307
1.672787
199
0.214654
0.127403
-8.163409
13.12991
576.6877
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
2.154319
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
2.151388
Estimation Method: Two-Stage Least Squares
Coefficient
Std. Error
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)
-0.424633
83.95884
0.585040
0.901844
-1.113488
-1.684157
1.628247
0.0000
0.0000
0.045795
10.96205
0.130033
0.420366
37.81363
0.274838
0.169687
100.0167
9.334551
648.0877
102.0033
27.23976
1074.586
t-Statistic
Prob.
-9.272577
7.659048
4.499177
2.145379
-0.029447
-6.127827
9.595614
0.0000
0.0000
0.0000
0.0365
0.9766
0.0000
0.0000
522.6707
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
1.952744
100.0167
9.334551
699.8659
200
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
2.162986
102.0033
27.23976
1081.060
3SLS :
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)
Coefficient
Std. Error
t-Statistic
Prob.
-0.424633
83.95884
0.585040
0.889189
-0.653169
-1.671481
1.624186
0.043445
10.39951
0.123360
0.369342
34.88671
0.220626
0.152419
-9.774155
8.073345
4.742549
2.407495
-0.018723
-7.576096
10.65606
0.0000
0.0000
0.0000
0.0196
0.9851
0.0000
0.0000
518.5160
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
1.952744
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
2.161325
100.0167
9.334551
699.8659
102.0033
27.23976
1082.617
201
:
Coefficient
OLS
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)
2SLS

-0.363218
-0.424633
88.69833
83.95884
0.476608
0.585040

1.019773
0.901844
-11.07961
-1.113488
-1.752307
-1.684157
1.672787
1.628247
3SLS
True
-0.424633
83.95884
0.585040
-0.5
80.0
0.7
0.889189
-0.653169
-1.671481
1.624186
0.75
10.0
-1.5
1.5
GodfreyHutton
:
yt1 = 11 yt 2 + 11 xt1 + 21 xt 2 + ut1 ,
yt 2 = 12 yt1 + 12 xt1 + 22 xt 3 + 32 xt 4 + u t 2 ,
, 2.
x1 = 1, x2 , x3 , x4 .

.
2SLS- , ,
u t21SLS , u t22SLS .
u t21SLS x1 = 1, x2 , x3 , x4 .
0.000319 ,
J = nR 2 = 0.00957 . 4 3 = 1 .
P- 0.922 ,
. (
u t22SLS x1 = 1, x2 , x3 , x4 , J = 0 ,
4 4 = 0 , J -
.)
202
,

--.

yt 2 = 12 + 22 xt 2 + 32 xt 3 + 42 xt 4 + wt 2
w t 2 = y t 2 y t 2 .

y t1 = 11 y t 2 + 11 xt1 + 21 x t 2 + w t 2 + t1
H 0 : = 0 .
, t . :
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y2
C
X2
W2
-0.424633
83.95884
0.585040
0.616608
0.023668
5.665468
0.067204
0.074993
-17.94140
14.81940
8.705405
8.222165
0.0000
0.0000
0.0000
0.0000
R-squared
Durbin-Watson stat
0.928759
2.089751
Mean dependent var

Prob(F-statistic)
100.0167
0.000000
= 0.617
,
.
,

y t 2 = 12 y t1 + 12 x t1 + 22 x t 3 + 32 x t 4 + w t1 + t 2
203
:
Variable
Coefficient
Std. Error
t-Statistic
Prob.
Y1
C
X3
X4
W1
0.901844
-1.113488
-1.684157
1.628247
0.238481
0.426087
38.32829
0.278578
0.171996
0.605917
2.116571
-0.029051
-6.045545
9.466768
0.393586
0.0444
0.9771
0.0000
0.0000
0.6972
R-squared
Durbin-Watson stat
0.950369
2.187028
Mean dependent var

Prob(F-statistic)
102.0033
0.000000

,
. , OLS

,

.
, 2SLS
yt 1 , ~
yt 2 yt 1 , yt 2
3SLS ~

xt 2 , xt 3 xt 4 , ,
.
~yt 1 xt 2 ,
~y , x x .
t2
t3
t4

,
, :
~yt 1 xt 2 , xt 3
xt 4 ,
Corr (x3 , x2 ) = 0.308, Corr ( x4 , x2 ) = 0.680,
xt 2 :
204
~yt 2 xt 3 xt 4 ,
xt 2 , xt 3 xt 4 .
,
.
,
yt1 = 0.5 yt 2 + 50 + 1.1xt 2 + ut1 ,
yt 2 = 0.5 yt1 45 + 1.1xt 4 + ut 2 ,
xt 2 , xt 4 ut1 , ut 2 ,
.
, 3SLS :
Coefficient
Std. Error
C(1)
C(2)
C(3)
C(4)
C(5)
C(7)
-0.412458
53.69121
0.955053
0.545426
-56.93625
1.167493
0.062834
10.66377
0.151915
0.213593
25.48195
0.064218
t-Statistic
Prob.
-6.564206
5.034918
6.286768
2.553572
-2.234375
18.18025
0.0000
0.0000
0.0000
0.0135
0.0296
0.0000
506.2606
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
1.741253
98.82331
6.911911
707.9373
205
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
2.049311
125.5639
23.42729
1118.560

.
xt 4
xt 5 ,
xt 5 = xt 2 + 2t , t ~ i.i.d. N (0,1) , t = 1, K,30,
:
y t1 = 0.5 y t 2 + 50 + 1.1x t 2 + u t 1 ,
y t 2 = 0.5 y t1 45 + 1.1x t 5 + u t 2 .

: ,
. , ,
.
System: SYS_2_5
Coefficient
Std. Error
C(1)
C(2)
C(3)
C(4)
C(5)
C(8)
-2.109257
9.837905
3.365924
0.940376
-82.48076
1.023874
3.560708
90.42874
4.983926
0.427263
30.85206
0.193137
3003.720
t-Statistic
Prob.
-0.592370
0.108792
0.675356
2.200928
-2.673428
5.301291
0.5561
0.9138
0.5020
0.0320
0.0099
0.0000
206
Observations: 30
R-squared
-7.828599 Mean dependent var
Adjusted R-squared
-8.482569 S.D. dependent var
S.E. of regression
Durbin-Watson stat
1.700910
102.6282
5.264654
7096.260
Observations: 30
R-squared
Adjusted R-squared
S.E. of regression
Durbin-Watson stat
2.085919
117.9538
14.61378
1079.787

, ,

;
, :
Coefficient
C(1)
C(2)
C(3)
C(4)
C(5)
C(7)
C(8)
Std. Error
Equation 1
Equation 2
Equation 1
Equation 2
-0.412458
53.69121
0.955053
0.545426
-56.93625
1.167493
-2.109257
9.837905
3.365924
0.940376
-82.48076
0.062834
10.66377
0.151915
0.213593
25.48195
0.064218
3.560708
90.42874
4.983926
0.427263
30.85206
1.023874
0.193137
,
xt 5 xt 2 :
Corr xt 5 , xt 2 = 0.969 .
,
,
207

,
:
~yt 1 xt 2
xt 5 , xt 2 ,
~yt 2 xt 5
xt 2 , xt 5 .
2.6.8.

yt +1,1 ,K, yt +1, g
()
xt +1,1 , K, xt +1, K ,
:

(y
t +1,1 , K ,
) (
.
y t +1, g = xt +1,1 , K , x t +1, K
2

( y30+t ,1 , y30+t , 2 ) , t = 1, K,30 ,
(x30+t ,2 , x30+t ,3 , x30+t ,4 ) , t = 1,K,30 ,
(xt , 2 , xt ,3 , xt , 4 ) ,
t = 1, K,30 .

:
208

Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
X2
X3
X4
61.35073
0.428163
0.511247
-0.502120
7.478051
0.083052
0.060707
0.036696
8.204107
5.155376
8.421559
-13.68320
0.0000
0.0000
0.0000
0.0000
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
X2
X3
X4
54.21529
0.386136
-1.223092
1.175413
18.22556
0.202414
0.147955
0.089436
2.974685
1.907652
-8.266637
13.14250
0.0063
0.0675
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
Durbin-Watson stat
0.936459
0.929127
7.251752
1367.286
-99.85894
2.066287
Mean dependent var

S.D. dependent var
Schwarz criterion
F-statistic
Prob(F-statistic)
102.0033
27.23976
6.923929
7.110755
127.7280
0.000000
, yt ,1 , yt , 2 , t = 31, K,60,
:
y t ,1 = 61.351 + 0.428 xt 2 + 0.511x t 3 0.502 x t 4 ,
y t , 2 = 54.215 + 0.386 xt 2 1.223xt 3 + 1.175 xt 4 .
t = 31,K,60
yt ,1 _ true, yt , 2 _ true , :
yt1 = 0.5 yt 2 + 80 + 0.7 xt 2 ,
yt 2 = 0.75 yt1 + 10 1.5 xt 3 + 1.5 xt 4 .

():
Y1_PREDICT
116.3
92.1
95.6
77.9
87.4
98.3
102.0
97.0
122.0
108.9
98.6
92.6
88.2
91.8
107.1
115.2
98.8
100.1
92.8
99.4
86.5
110.2
106.2
83.8
93.0
89.7
88.3
116.3
92.1.
95.6
Y1_TRUE
119.2
98.4
94.6
117.9
91.1
94.6
75.9
85.8
98.6
103.0
96.6
124.2
109.4
99.1
92.1
87.4
91.2
108.3
116.5
98.0
100.1
91.8
99.1
85.4
111.4
106.0
82.6
92.3
89.9
87.8
Y2_PEDICT
49.4
101.2
106.7
70.3
107.2
91.5
145.6
114.1
121.6
116.0
105.2
64.4
73.2
117.3
119.4
132.9
124.1
93.1
68.0
79.7
100.6
107.2
94.1
133.1
89.0
61.9
140.6
117.7
155.3
141.7
209
Y2_TRUE
53.3
101.2
106.4
73.0
106.6
91.9
141.9
113.1
120.8
114.3
105.2
67.7
75.6
115.7
117.9
130.3
122.9
92.7
70.9
80.5
100.9
106.8
94.5
130.4
90.5
64.5
137.4
116.9
151.4
138.5
,
.
(MAPE Mean
Absolute Percent Error),
210
MAPE(i) =
y _ predict yt ,i _ true
1 30
100 t ,i
,
30 t =1
yt ,i _ true
:
MAPE(1) = 0.881% , MAPE(2) = 1.797%.
:

.
, 3SLS:
Coefficient
C(1)
C(2)
C(3)
C(4)
C(5)
C(6)
C(7)
-0.424633
83.95884
0.585040
0.889189
-0.653169
-1.671481
1.624186
yt1 = 0.425 yt 2 + 83.959 + 0.585 xt 2 ,
yt 2 = 0.889 yt1 0.653 1.671xt 3 + 1.624 xt 4 .

(Y1F, Y2F):
Y1F
117.9539
98.62752
95.21508
116.2262
92.14986
95.65463
77.93844
87.49209
98.28987
101.7954
97.07454
Y1_PREDICT
116.3
92.1
95.6
77.9
87.4
98.3
102.0
97.0
122.0
108.9
98.6
Y2F
49.43060
101.2295
106.7986
70.28356
107.2833
91.58455
145.6529
114.3175
121.6912
115.6271
105.3218
Y2_PREDICT
49.4
101.2
106.7
70.3
107.2
91.5
145.6
114.1
121.6
116.0
105.2
121.9508
108.9582
98.49096
92.60201
88.14985
91.87218
106.9471
115.1834
98.80164
100.0887
92.81281
99.37046
86.43539
110.1443
106.2692
83.80259
93.01326
89.61098
88.19077
92.6
88.2
91.8
107.1
115.2
98.8
100.1
92.8
99.4
86.5
110.2
106.2
83.8
93.0
89.7
88.3
116.3
92.1.
95.6
64.30229
73.29769
117.0801
119.3591
132.8158
124.2472
92.66480
68.00794
79.70102
100.6958
107.3434
94.12591
133.1007
89.02851
62.01926
140.5781
117.8567
155.1329
141.5809
211
64.4
73.2
117.3
119.4
132.9
124.1
93.1
68.0
79.7
100.6
107.2
94.1
133.1
89.0
61.9
140.6
117.7
155.3
141.7

,
.
, ,
:
MAPE(1) = 0.906% , MAPE(2) = 1.773% ,

MAPE(1) = 0.881% , MAPE(2) = 1.797% ,
. ,
.

:
212
130
120
110
100
90
80
70
5
10
15
Y1_PREDICT
20
25
30
Y1_TRUE
160
140
120
100
80
60
40
5
10
15
Y2_PREDICT
20
25
Y2_TRUE
30
3.
3.1. ,

{y it , xit ; i = 1, K , N , t = 1, K , T }
y x N (, ,
, . .) T ()
( ,
)
y x , y , x
. x
p ,

yit = xitT it + uit , i = 1,K, N , t = 1,K, T ,
it xit () t
i . ,
, -
it .
(pool)
it :
yit = xitT + uit ,
,
uit ~ i.i.d. N 0, u2 , i = 1,K, N , t = 1,K, T ,

E (xit u js ) = 0 i, j = 1,K, N , t , s = 1,K, T ,
x .
NT ,

214
.

(OLS) .
(BLUE
best linear unbiased estimate) .
,
N / T ,
.

(invest),
(mvalue) (kstock) 10
1935 1954 ..

STATA8 ,
.
, .
Cross-sectional time-series FGLS regression
Coefficients: generalized least squares
Panels:
homoskedastic
Correlation: no autocorrelation
Estimated covariances =
1
Number of obs =
200
Estimated autocorrelations = 0
Number of groups = 10
Estimated coefficients =
3
Time periods
= 20
Wald chi2(2)= 866.14, Prob > chi2 =0.0000
Log likelihood = -1191.802
invest
Coef.
Std. Err.
z
P>z
mvalue
.1155622
.0057918
19.95
0.00
kstock
.2306785
.025284
9.12
0.00
cons
-42.71437
9.440069
-4.52
0.00
,
,
215
.
(..
mvalue kstock)
,
Wald = qF , F F -
, q -
( q = 2 ).
- q
.
(P-),
866.14, Prob >
chi2 =0.0000,
mvalue kstock .
,
.
t-
,
P-,

( Z t
). P-
.
, ,
,
. , , ,
, yit = xitT + uit uit ,
,
: D(uit ) = ui2 . OLS ,
,
216

(, ).

:
(WLS weighted least squares) ,
,
.
()
Panels:
heteroskedastic
Wald chi2(2) = 669.69, Prob > chi2 = 0.0000
invest
mvalue
kstock
cons
Coef.
Std. Err.
.1116328
.0049823
.1537718
.0125707
-21.44348
3.901219
z
22.41
12.23
-5.50
P>z
0.00
0.00
0.00

(Panels: heteroscedastic).
,
kstock

.
95% :
(0.129, 0.178), (0.181, 0.280)
, ,

,
(OLS),
217
.
Stata8
.
()
. xtpcse invest mvalue kstock, hetonly casewise
Linear regression, heteroskedastic panels corrected standard errors
Estimated covariances = 10,
R-squared = 0.8124
Wald chi2(2) = 567.87, Prob > chi2 = 0.000
Het-corrected
invest
Coef.
Std. Err.
z
P>z
mvalue
.1155622
.0070863
16.31
0.00
kstock
.2306785
.029747
7.75
0.00
cons
-42.71437
7.131515
-5.99
0.00

(cross-sectional correlation):
t s
0
Cov(uit , u js ) =
,
ij ( 0 ) t = s
= ( ij ) .

(GLS generalized least squares),
.
,
, ,
.
()
Panels:
heteroskedastic with cross-sectional correlation
218
Estimated covariances = 55
Number of obs = 200
Number of groups =10
Estimated coefficients = 3
Time periods = 20
Wald chi2(2) =3738.07, Prob > chi2 = 0.0000
invest
Coef.
Std. Err.
z
P>z
mvalue
.1127515
.0022364
50.42
0.00
kstock
.2231176
.0057363
38.90
0.00
cons
-39.84382
1.717563
-23.20
0.00
,
10
10 , 45
ij , i j .

= ( ij ) ,
( )
20
.
OLS- ,
(correlated panels
corrected standard errors). :
.xtpcse invest mvalue kstock, casewise
Linear regression, correlated panels corrected
standard errors
(PCSEs)
Estimated covariances = 55, R-squared = 0.8124
Wald chi2(2) = 637.41, Prob > chi2 = 0.0000
Panel-corrected
invest
Coef.
Std. Err.
z
P>z
mvalue
.1155622
.0072124
16.02
0.00
kstock
.2306785
.0278862
8.27
0.00
cons
-42.71437
6.780965
-6.30
0.00
219

, , ,
i -
AR(1) .
yit = xitT + uit ,
uit = i ui ,t 1 + it ,
i < 1 , i1 , i 2 ,K, iT
,
N 0, 2i , , it
ui ,t k , k 1 . i
. , , (

) yit = xitT + uit
,
u i1 , u i 2 , K , u iT ,
di =
(u
u i ,t 1 )
it
t =2
2
it
t =1
, i 1 di 2 ,
i , DW 1 d i 2 .
:
u i1 , u i 2 , K , u iT , ,

u it = i u i ,t 1 + it .
:
220
3
T
i =
u
t =2
i ,t 1
it u
.
u it2
t =1
[ Stata8 tscorr .]
i , i = 1,K, N ,

. ,
OLS-
.
, AR-,
.. 1 = 2 = L = N = ,
= ( 1 + 2 + L + N ) N ,
.
()
,
.

AR(1)- ( ),
.
. xtpcse invest mvalue kstock, correlation(ar1) hetonly rhotype(dw)
(note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])
Prais-Winsten regression, heteroskedastic panels corrected standard
errors
Autocorrelation: common AR(1)
R-square = 0.5468
Wald chi2(2) = 91.72, Prob > chi2 = 0.0000

Het-corrected
invest
Coef.
Std. Err.
mvalue
.0972395
.0126259
kstock
.306441
.0561245
cons
-42.07116
21.02442
rho
.8678619
,
.
221
z
7.70
5.46
-2.00
P>z
0.00
0.00
0.045

, , .
. xtpcse invest mvalue kstock, correlation(ar1) hetonly rhotype(tscorr)
casewise
errors
Autocorrelation: common AR(1)
R-squared = 0.6904
Wald chi2(2) = 192.41, Prob > chi2 = 0.0000
Het-corrected
invest
Coef.
Std. Err.
z
P>z
mvalue
.1032102
.0112252
9.19
0.000
kstock
.2947986
.0459298
6.42
0.000
cons
-45.78767
13.97367
-3.28
0.001
rho .7563511
.

AR(1)- ( ),
( DW-) .
222
. xtpcse invest mvalue kstock, correlation(ar1) rhotype(dw)

(note: estimates of rho outside [-1,1] bounded to be in the range [-1,1])
errors
Panels: heteroskedastic (balanced)
R-squared = 0.5468
Wald chi2(2) = 120.05, Prob > chi2 = 0.0000
Panel-corrected
Coef.
Std. Err.
z
P>z
mvalue
.0972395
.0124362
7.82
0.000
kstock
.306441
.054533
5.62
0.000
cons
-42.07116
24.09387
-1.75
0.081
rho .8678619

:.
xtpcse invest mvalue kstock, correlation(ar1) rhotype(tscorr) casewise
Prais-Winsten regression, correlated panels corrected standard
errors (PCSEs)
Panels: correlated (balanced
R-squared = 0.6904
Wald chi2(2)= 215.52, Prob > chi2 = 0.0000
Panel-corrected
Coef.
Std. Err.
z
P>z
mvalue
.1032102
.0108656
9.50
0.000
kstock
.2947986
.0432809
6.81
0.000
cons
-45.78767
15.24513
-3.00
0.003
rho .7563511
223
,
,
AR(1) ( i ). ( DW) :
. xtpcse invest mvalue kstock, correlation(psar1) rhotype(dw) casewise
errors (PCSEs)
Panels: correlated (balanced)
Autocorrelation: panel-specific AR(1)
Estimated covariances = 55, R-squared = 0.7570
Estimated autocorrelations = 10,
Estimated coefficients = 3,
Wald chi2(2) = 211.38, Prob > chi2 = 0.0000
Panel-corrected
Coef.
Std. Err.
z
P>z
mvalue
.1013946
.0108632
9.33
0.000
kstock
.3449446
.0478113
7.21
0.000
cons
-41.18685
19.33078
-2.13
0.033
rhos = .7427231 .8831453 .9741851 .7277056 .9564705 ...
.9343119

.xtpcse invest mvalue kstock, correlation(psar1) rhotype(tscorr) casewise
errors (PCSEs)
Panels: correlated (balanced)
Autocorrelation: panel-specific AR(1)
R-squared = 0.8670
Estimated autocorrelations =10
Wald chi2(2) = 444.53, Prob > chi2 = 0.0000
Panel-corrected
224
Coef.
Std. Err.
z
P>z
mvalue
.1052613
.0086018
12.24
0.000
kstock
.3386743
.0367568
9.21
0.000
cons
-58.18714
12.63687
-4.60
0.000
rhos = .5135627 .87017 .9023497 .63368 .8571502 ... .8752707
,
, ,
20 , .

, 95%
.
invest
Coef.
Std.Err.
z
P>z
95% Conf. Int.

mvalue
.116
.0058
19.95 0.00
.104 .127
kstock
.231
.0253
9.12 0.00
.181 .280
WLS
mvalue
.112
.0050
22.41 0.00
.102 .122
kstock
.154
.0126
12.23 0.00
.129 .178
SUR GLS
mvalue
.113
.0022
50.42 0.00
.108 .117
kstock
.223
.0057
38.90 0.00
.212 .234
AR(1) common rho (Durbin Watson) : est rho = .8678619
mvalue
.097
.0126
7.70
0.00
.072 .122
kstock
.306
.0561
5.46
0.00
.196 .416
AR(1) common rho (OLS) : est rho = .7563511
mvalue
.103
.0112
9.19
0.00
.081 .125
kstock
.295
.0460
6.42
0.00
.205 .385
SUR&AR(1) common rho (DW) : est rho = .8678619
mvalue
.097
.0124
7.82
0.00
.073 .122
kstock
.306
.0545
5.62
0.00
.200 .413
SUR&AR(1) common rho (OLS) : est rho = .7563511
mvalue
.103
.0109
9.50
0.00
.082 .125
225
kstock
.295
.0433
6.81
0.00
.210 .388
SUR&AR(1) different rho (DW)
mvalue
.101
.0109
9.33
0.00
kstock
.345
.0478
7.21
0.00
rhos = .7427231 .8831453 .9741851 .7277056 ... .9343119
SUR&AR(1) different rho (TSCORR)
mvalue
.105
.0086
12.24 0.00
kstock
.339
.0368
9.21 0.00
rhos = .5135627 .87017 .9023497 .63368 ... .8752707
SUR&AR(1)

AR(1)- .

M0 : yit = i + i xit + uit , i = 1,K , N , t = 1,K , T ;
i i , uit . (
x
.)
,
uit ~ i.i.d. N 0, u2 , i = 1,K, N , t = 1,K, T ,

x , N

,

. i i
,
i i :
226
3
T
i =
(x
it
t =1
x i )( y it y i )
(x
it
t =1
xi )
i = y i i x i ,
i = 1,K, N ,
1 T
1 T
y
,
x
=
xit .
it i T
T t =1
t =1
yit xit

(BLUE).
uit
,
,
uit ~ i.i.d. N 0, ui2 , i = 1,K , N , t = 1,K , T ,

, i -
wi = 1 ui . ui2
,
, wi = 1 ui
yi =
wi = 1 ui , ui2 .
, ,
ui2 :
ui2 = RSS (i ) / ( N p ) .
RSS (i ) ,
i - , p
(
p = 2 ).
227
,

.
1 (SUR, SURE seemingly unrelated regressions).

, .
i - -
y (i ) = X (i ) (i ) + u (i ) ,
yi1
1 xi1
ui1
(i )
(i )
(i )
(i )
y = M , X = M M , = , u = M ,

y
1 x
u
iT
iT
iT
SUR :
X (1)
0 L
0 (1)
u (1)
y (1)
(2 )
0
X
0
L
M
M
+
M =
M
O
M ( N ) ( N )
( N ) M
u
y 0
0 L X ( N )
( )
y = X + u .

NT 1 - u
11 12 L 1N
12 22 L 2 N
= Cov(u ) =
,
M
M
O
M
1N 2 N L NN
228
(T T ) - ij
ij
0
ij =
M
ij
0
, ij = Cov (uit , u jt ) .
M O M
0 L ij
(GLS-)

1
=
= X T 1 X X T 1 y .
SUR
GLS
L
L
,
NT NT .
:
( 1)
( 1)
11
12
L 1( N1)
(1)
( 1)
( 1)
22
2N
1 = 12
,
M
O
M
M
( 1) ( 1) L ( 1)
NN
2N
1N
ij( 1)
L
0
0
( 1)
L
ij
0
0
( 1)
ij =
,
M
O
M
M
0
0
L ij( 1)
ij(1) 1 ,
11 L 1N
M .
= M O
1N L NN

N N .
229

(i ) ,
.
. , ij = 2
i j , SUR-
1 , T . , = 0 , SUR-
OLS- . ,
SUR- - ,
ij . (feasible) SUR-

FGLS ,
ij ij .
e (i ) = y (i ) X (i ) (i ) ,
OLS- i - .
ij
ij
(e )
=
(i ) T
e( j)
j = i RSS (i ) T , , ,
i - ,
RSS (i ) (T p ) ,
p
. (, T > p .)
X ,
, GLS FGLS
T .
230
[Greene (1993), .
481] y x
( N = 3 ) ( T = 10 ).
t
1
2
3
4
5
6
7
8
9
10
Y1
13.32
26.30
2.62
14.94
15.80
12.20
14.93
29.82
20.32
4.77
X1
12.85
25.69
5.48
13.79
15.41
12.59
16.64
26.45
19.64
5.43
Y2
20.30
17.47
9.31
18.01
7.63
19.84
13.76
10.00
19.51
18.32
X2
22.93
17.96
9.160
18.73
11.31
21.15
16.13
11.61
19.55
17.06
Y3
8.85
19.60
3.87
24.19
3.99
5.73
26.68
11.49
18.49
20.84
X3
8.65
16.55
1.47
24.91
5.01
8.34
22.70
8.36
15.44
17.87
Yi, Xi i - ,
i = 1, 2, 3 .
.
35
30
25
20
Y1
15
X1
10
5
0
1
10
231
25
20
15
Y2
X2
10
5
0
1
10
30
25
20
Y3
15
X3
10
5
0
1
10
232
( Eviews)
.
:
Variable
t-Statistic
Prob.
C
X1
-2.468913
1.167170
0.980426
0.058250
-2.518205
20.03737
0.0359
0.0000
Variable
t-Statistic
Prob.
C
X2
-1.384797
1.014542
1.972680
0.115314
-0.701988
8.798102
0.5026
0.0000
Variable
t-Statistic
Prob.
C
X3
0.455479
1.076374
0.305362
10.72516
0.7679
0.0000
R-squared
0.9805
R-squared
0.9063
R-squared
1.491604
0.100360
0.9350
= ( ij )
1.2549 0.0099 0.9101
1.0351 ;
= 0.0099 1.9628
0.9101 1.0351
4.3279

1
0.0063 0.3905
1
0.3552 .
0.0063
0.3905 0.3552
GLS
233
:
Variable
t-Statistic
Prob.
C
X1
-2.857213
1.192389
-3.52
25.11
0.002
0.000
R-squared
0.812548
0047494
0.9800
:
Variable
t-Statistic
Prob.
C
X2
-2.11701
1.05876
-1.28
10.96
0.214
0.000
R-squared
1.66034
0.09663
0.9046
:
Variable
t-Statistic
Prob.
C
X3
0.721196
1.055824
0.60
13.61
0.553
0.000
R-squared
1.199687
0.077589
0.9346
, ,
.

H 0 : ij = 0 i j .

.
.
N i 1
= T rij2 ,
i =2 j =1
rij =
ij
ii jj
i -
j - . H 0
234
-
N ( N 1) 2
(,
H 0 , ij = ji ).
3 ,
2.787 . P, 2 (3) ,
0.4256 , P-,
.
,
x1 , x2 , x3

,
:
H 0 : 1 = 2 = 3 .
SUR
: F P-,
F -, qF ( q
) P-,
2 (q ) .
:
Wald Test:
F-statistic 1.342317 Probability 0.278120
Chi-square 2.684634 Probability 0.261240
P-
: H 0 : 1 = 2 = 3
.

,
H 0 : 1 = 2 = 3 .
, SUR
235
y11 1 x11 0 0 0 0
u11
M M M M M M M
M
y 1 x 0 0 0 0 1 u
1T 1T
1 1T
y21 0 0 1 x21 0 0 u21
2
M = M M M M M M + M
y2T 0 0 1 x2T 0 0 2 u2T
3
y31 0 0 0 0 1 x31 u31
M M M M M M M 3 M
y3T 0 0 0 0 1 x3T
u3T
,
y , y11 , y12 ,K, y1T ,
y21 , y22 ,K, y2T , y31 , y32 ,K, y3T , 6 :
- (dummy variables)
d1 1,K,1, 0,K,0, 0,K,0 ;
123 123 123

T
d 2 01
,2
,0, 11
,2
,1, 01
,2
,0 ;
K3
K3
K3
T
d 3 01
,2
,0, 01
,2
,0, 11
,2
,1 ;
K3
K3
K3
T
d1 x , d 2 x d 3 x ,
- x ,
x11 , x12 ,K, x1T , x21 , x22 , K, x2T , x31 , x32 ,K, x3T ,
d1 x , d 2 x d 3 x
d1 x : x11 , x12 , K , x1T , 0,0, K , 0, 01
,0, K3
,0
424
3 424
144244
3 1
T
d 2 x : 01
,02
,K
,0, x 21 , x 22 , K , x 2T , 01
,0, K3
,0
4
4
3
1442443 424
T
d 3 x : 01
,02
,K
,0, 01
,02
,K
,0, x 31 , x 32 , K , x3T .
4
4
3
4
4
3
1442443
T
236

,
,
OLS-,
H 0 : 1 = 2 = 3
F-. :
Variable
Coefficient Std. Error t-Statistic Prob.
D1
D2
D3
D1*X
D2*X
D3*X
-2.468913
-1.384797
0.455479
1.167170
1.014542
1.076374
1.388033
2.233064
1.137109
0.082467
0.130535
0.076508
-1.778714
-0.620133
0.400559
14.15324
7.772208
14.06874
0.0880
0.5410
0.6923
0.0000
0.0000
0.0000
R-squared
0.950532
Wald Test:
F-statistic 0.592788
Probability 0.560676
, H 0 : 1 = 2 = 3
.

M0 : yit = i + i xit + uit , i = 1,K, N , t = 1,K, T ,
.
(RSS) S0 ,
(y
N
S0 =
it
i i x it
i =1 t =1
:
H 1 : i i,
H 2 : i i i .
H 1 : i

i.
237
M1 : yit = i + xit + uit , i = 1,K, N , t = 1,K, T .

(RSS) 1
S1 ,
(y
N
S1 =
it
i x it
i =1 t =1
M1
N
yit = i d ij + xit + uit ,

j =1
d ij = 1 ,
j = i , d ij = 0 ,
N -. :
T
y = ( y11 , y12 , K , y1T , y 21 , y 22 , K , y 2T , K , y N 1 , y N 2 , K , y NT ) ,
x = ( x11 , x12 , K , x1T , x 21 , x 22 , K , x 2T , K , x N 1 , x N 2 , K , x NT ) ,
T
u = (u11 , u12 , K , u1T , u 21 , u 22 , K , u 2T , K , u N 1 , u N 2 , K , u NT ) ,

T
d1 = 1,1, K ,1, 0, 0, K , 0 ,
424
3 1
424
3
1
NT T
T
T
d 2 = 0, 0, K , 0, 1,1, K ,1, 0, 0, K , 0 ,
424
3 1
424
3 1
424
3
1
T
T
NT 2T
d N = 0, 0, K , 0,1,1, K ,1 ,
424
3 1
424
3
1
T
NT T
X = [d1 d 2 K d N x ] NT ( N + 1) ,
d1 , d 2 , K , d N , x .
M1
y = X + u ,
238
= (1 , 2 , K , N , )T .
,
= 1 , 2 , K , N ,
= X T X
XT y.
,
uit ~ i.i.d. N 0, u2 , i = 1,K, N , t = 1,K, T ,

x .
X
(N + 1) - ,
E = ,
()
.. ,

1
Cov = 2 X T X .
()
,
1 , 2 , K , N , .
,
1 T
1 T
1 T
yi = yit , xi = xit , ui = uit
T t =1
T t =1
T t =1
y, x i -
.
yit = i + xit + uit ,
yi = i + xi + ui , i = 1,K, N .
:
yit yi = ( xit xi ) + (uit ui ) , i = 1, K , N , t = 1, K , T
239
(, ).

1 , 2 , K , N .
,
.

N
(x
i =1 t =1
N
it
x i )( y it y i )
(x
i =1 t =1
it
xi )
(within-group
estimate), ,

,
. , ,
,
,

, i ,
. ,

within-. ,
-.
,
1 , 2 , K , N
:
i = y i x i , i = 1,K, N .
, , K , ,
1
240
3
N
yit = i d ij + xit + uit .
j =1
,
, i ,
,
.
H 2 : i i i.
M2 : yit = + xit + uit , i = 1,K, N , t = 1,K, T ( pool).

N
(x
it
i =1 t =1
N T
x )( y it y )
(x
i =1 t =1
,
it
x)
= y x ,
1 N T
1 N T
yit , x =
xit .
NT i=1 t =1
NT i =1 t =1
2 S 2 ,
y=
(y
N
S2 =
i =1 t =1
it
x it
H 1 H 2
M0 .
241
H 2 . F-
(S S0 ) 2(N 1) ;
F2 = 2
S 0 ( NT 2 N )
H 2 , F2 ~ F2 ( N 1), NT 2 N .
F2 ,
. F2
, .
H1 . F-
(S S 0 ) (N 1) ;
F1 = 1
S 0 (NT 2 N )
H1 , F1 ~ FN 1, NT 2 N .
F1 ,
. F1 ,
H1 ( i ) .
i ,
,
H 3 : 1 = K = N
1 = K = N , ..
M1 : yit = i + xit + uit .

(S S ) (N 1) ,
F3 = 2 1
S1 ( NT N 1)
H 3 FN 1, NT N 1 .
242
H 1 : i
i M0 .
M0 H 2 : i i
i :
Wald Test:
F-statistic
3.595209
Probability
0.019644
. H 3 :
1 = K = N M1 : yit = i + xit + uit :
Wald Test:
F-statistic
6.810977
Probability
0.004183
.
M1
i , i .
3.2.
,
,
{y it , xit ; i = 1, K , N , t = 1, K , T } ,
N , T
. T
y1t , y2t ,K, y Nt

N T (,

).
, T ,
.
,
H 1
x :
..
243
yit = i + xit + uit , i = 1,K, N , t = 1,K, T ,

N
y it = i d ij + x it + u it ,
j =1
d ij = 1 , i = j
d ij = 0 ,
N -. i
( , fixed effects). ,
,
uit ~ i.i.d. N 0, u2 , i = 1,K, N , t = 1,K, T ,

x .
:
1. OLS (LSDV least squares dummy
variables);
2. (FE fixed effects
model);
3. (CV covariance
analysis).
,
, :
N
CV
(x
i =1 t =1
N
it
(x
i =1 t =1
x i )( y it y i )
it
xi )
244
( )
D CV =
u2
N
(x
it
i =1 t =1
.
xi )

1. (-, withinestimator),
2. ,
3. .
W (
W within) . ,
FE

:

N
yit = i d ij + xit + uit -

j =1
yit yi = ( xit xi ) + (uit ui ) ,

i = 1, K , N , t = 1, K , T .
N ,
( N +1),
.
:
i = y i x i , i = 1,K, N .

CV
(BLUE) ,
p lim CV = , p lim CV = , p lim i = i ,
T
p lim i i , E ( i ) = i .
N
, CV
N T , i ,
245
T . ,
i T ,

T N
i ,
i .
,
CV , (.. BLUE),
x (.. ,
E (xit u js ) = 0 i, j = 1,K, N , t , s = 1,K, T ).
E ( xit uis ) = 0
t , s = 1, K , T i = 1, K , N (.. x
).

i .
,
,
, .. .
i -
,
,
.
,

.
,
.
,

i .

.
246

(xit , yit ) ,
yit = i + xit + uit , i = 1, 2, t = 1,K,100 ,
1 = 150 , 2 = 250 , = 0.6 , uit ~ i.i.d. N 0,10 2 .

xit (); i = 1 x1t 150,
i = 2 x2t 150.
450
2
Y
350
y = 250 + 0.6 x
y = 150 + 0.6 x
250
1
y = 8.00 + 1.88 x
150
50
0
50
100
150
200
250
: 1
, i = 1 , 2 ,
i = 2 .
() y = 150 + 0.6 x (
247
), ()
y = 250 + 0.6 x .
100

yit = + xit + uit , i = 1, 2, t = 1,K,100 ,
(),
,
y it = 8.00 + 1.88 x it ,

, .
, xit , yit
xit xi yit yi ,

(
)
:
450
300
150
y = 0.52 x
0
-50
0
150
50
100
150
200
250
248
:
y it = 0.517 x it ,

= 0.6 , .
-
y it = 1 d i1 + 2 d i 2 + x it + u it ,
d ij = 1 , j = i , d ij = 0 ,
:
Dependent Variable: Y
Variable
Coefficient
D1
D2
X
161.4615
264.8593
0.517319
Std. Error
t-Statistic
Prob.
7.260153
10.46430
0.058229
22.23940
25.31074
8.884227
0.0000
0.0000
0.0000
1 = 161.46, 2 = 264.86, = 0.517

, .
3.3.

yit = i + xit + uit , i = 1,K, N , t = 1,K, T ,
H 1 , :
yit = + i + xit + uit ,
i = 0
i =1
). N ,
,

(), ,
, ,
249
. , ,
i ,
y it = + i + x it + u it
(random effects).
i
.

i .
it = i + uit , :
yit = + xit + ( i + uit ) = + xit + it .
it i
uit . ,
i
,
,
.
,
,

.
,
uit ~ i.i.d. N 0, u2 , i = 1,K, N , t = 1,K, T ,
:
E ( i ) = 0 ( E ( it ) = 0 ),
2 , i = j ,
E ( i j ) =
0, i j
250
1 , K , N
N 0, u2 ),
E (xit j ) = 0 , i, j = 1, K , N , t = 1, K , T ,
( E (xit js ) = 0 , it
x ).
,
E (uit i ) = 0 ,
xit
yit
D( yit xit ) = D( it xit ) = D( it ) = D( i + uit ) = 2 + u2 .
,
yit

;
,
1. ;
2. ;
3. (RE
random effects model).

yi = [e xi ] + i ,
xi1
i1
yi1
1

xi 2
i 2
yi 2
1
yi = , e = , xi = , = , i = .
M
M
M
M

1
x

y

iT
iT
iT
,
2 + 2 , t = s,
E ( it is ) = E ( i + uit , i + uis ) = 2 u
, t s,
251
it is

uit ,
i
V = E i iT = u2 I T + 2 eeT .
, T = 3
u2 + 2
2
2
u2 + 2
2 .
V = 2
2
2
u2 + 2

Corr ( it , is ) =
2
=
2 + u2
t s
(
).
RE-
N
CV
(x
i =1 t =1
N
it
x i )( y it y i )
(x
i =1 t =1
it
xi )
.
(BLUE),
,
it i .
,
(GLS-), ,
. , GLS-
252
GLS
N
=
i =1
N
e T 1
V
[
e
x
]
T
i
xi
i =1
e T 1
T V y i
xi

V 1 =
eeT
eeT
1
I
+
,
u2 T T
T
u2
u2 + T 2
. GLS-
, GLS-
RE . ,
1 2
V 1 1
u ,
T
1
.

T u2

.
RE
t
yit = + xit + it ,

yi = + xi + i .
= 1 ,
yit = yit yi , xit = xit xi , it = it i , = (1 ) .

yit = + xit + it
xit ,
it :
( )
Cov it = u2 I T .
OLS BLUE
(x
N
GLS
253
i =1 t =1
N
*
it
)(
x y it* y
(
T
x it
)
,
i =1 t =1
1
NT
y =
y it ,
i =1 t =1
x =
1
NT
x it .
i =1 t =1

GLS = w b + (1 w) CV ,
b =
(x
x )( y i y )
i =1
(-
(x
x)
i =1
, between-group estimate),
yi xi , ..
yi = + xi + i
(
),
,
N
w=
(xi x )
i =1
(x
it
i =1 t =1
xi ) + ( xi x )
2
i =1
GLS RE-
.
b ( )
254
CV
(
), w ,
.
b CV , GLS .
T , 0 , w 0
GLS CV ,
T ,
, .
2 0 , 1 V = E i iT = u2 I T + 2 ee T u2 I T .
, GLS- OLS-, ..
GLS
(x
it
i =1 t =1
N T
x )( y it y )
(x
i =1 t =1
it
x)
= OLS
( ).
,
u2
D GLS =
(x
i =1 t =1
xi ) +
2
it
(x
i =1
x)
( )
D CV =
u2
N
(x
it
i =1 t =1
xi )
> 0 , ,
D GLS < D CV ,
.. GLS- .
) ( )
CV
,
, .
255
GLS, .. GLS (FGLS feasible GLS, EGLS estimated GLS),

( ) u2
u2 + T 2 .
u2 ,
( y it
y i ) CV ( xit xi ) ,
[( y
N
u2 =
it
i =1 t =1
yi ) CV ( xit xi )
N (T 1) 1
NT
N + 1 ).
2 2 = D ( i ) ,
, yi = + xi + i ,

T
b =
(x
i =1
x )( y i y )
(x
i =1
x)
,
2
i -
D y i b b x i = u2 T + 2 .
u2 T + 2
256
(y
N
b b x i
i =1
.
N 2
2
(y
N
2 =
b b x i
i =1
N 2
(y
N
u2 + T 2 = T
u2 T ;
b b x i
i =1
N 2
u2 + T 2 .
.
.
, ,
N T ,
2 .
GLS-
STATA, xtreg ( fe re).
, GLS
= w + (1 w) ,
GLS
CV
GLS
. . , ,
OLS ,
( = 1 ), ,
.
257
.
RE- (
)
H 0 : 2 = 0 ( ).

2
N T
N
T
u
=
u
+
it it uisuit ,
i =1 t =1
i =1 t =1
i =1 s t
,
N
uit
i =1 t =1
1 =
N T
uit2
N
i =1 t =1
u u
is it
i =1 s t
N T
uit2
i =1 t =1
u it
.
, ,
uit
u it , OLS- .
H 0
2
2
N T
u it
i =1 t =1
1 .
N T
u it2
i =1 t =1
258
3
2
2
2
N
N T
2
2
u it
T
u
NT
NT i =1 t =1
i =1
1 =
BP =
1 N T
(
)
2(T 1) N T 2
2
1
T
u it2
u it
i =1 t =1
i =1 t =1
H 0 2 (1) .
, H 0 ,
BP ,
2 (1) .
3.4. ,

R 2 ,
,
,
.

.

, ,

.
N
T
N
1 N T
( y it y )2 = 1
( y it y i )2 + 1
( y i y )2 ,
NT i = 1 t = 1
NT i = 1 t = 1
N i =1

.

:
259
y it
NT ;
y it
;

NT .
,

yit = + xit + uit , i = 1,K, N , t = 1,K, T .
()
yit
y = +
x ,
it
OLS
it
OLS OLS- .
R 2 - ( R 2 overall),
2
Roverall
= corr 2 y it , + OLS x it = corr 2 y it , OLS x it .
,

yi = + xi + i , i = 1,K, N .
()
yit
y = + x ,
.
R - ( R 2 -

between),
2
Rbetween
= corr 2 + b x i , y i = corr 2 b x i , y i .
,

260
yit yi = (xit xi ) + (uit ui ) , i = 1,K, N , t = 1,K, T .

.
OLS- zi = wi + vi

z i = wi zi .
zi wi , z = w = 0 ,
.
yit yi
xit xi ,
,
()
~yit = yit yi
~y = ( x x ) , i = 1,K, N , t = 1,K, T ,
it
CV
CV
it
- .

within),
2
R within
= corr 2 CV (x it x i ) , y it y i .
R 2 - ( R 2 -
R 2

.

R 2 , ,
CV ,
, .
GLS
OLS
,
2
2
2
, Rbetween
, Roverall
Rwithin
R2
= corr 2 y y , (x x ) ,
within
it
2
Rbetween
= corr 2 y i ,
2
Roverall
= corr 2 y it ,
(
(
)
x ),
x i ,
it
it
261
, .
p - , , ,
T
R2
= corr 2 y y , (x x ) ,
within
it
2
2
Rbetween = corr y i ,
2
Roverall
= corr 2 y it ,
(
(
i
x iT
x itT
it
)
) .
2

Rwithin
, = within ;
2

Rbetween
2
, = between ; Roverall
, = .
OLS
()
Stata8

. ,
,
:
u i ,
eit . ,
.
Fixed-effects (within) regression
R-sq:
within = 0.9478
between = 0.8567
overall = 0.9209
:
F(1,26) = 472.26, Prob > F = 0.0000
262
corr(_i, X) = -0.2311
VARIABLE Coef.
x
1.102192
cons
-1.394325
sigma_lfa
sigma_u
rho
Std. Err.
.0507186
.8230266
t
21.73
-1.69
P>t
0.000
0.102
1.480319
1.745136
.4184474 (fraction of variance due to _i)
F test that all alfa_i=0:

F(2, 26) = 6.81, Prob > F = 0.0042

:

,
.
Random-effects GLS regression
R-sq:
within=0.9478
between=0.8567
overall= 0.9209
Random effects:
u_i ~ Gaussian
corr(_i, X) = 0 ()
:
Wald chi2(1) = 325.94, Prob>chi2 = 0.0000
sigma_alfa
0
sigma_u
1.7451362
rho
0 (fraction of variance due to _i)
2 ;
.
:
263
y
Coef.
Std. Err.
z
P>z
x
1.058959
.0586557
18.05
0.000
cons
-.7474755
.955953
-0.78
0.434
,

H 0 : 2 = 0 ,
, ..
8.47.

- 1 P-
0.0036. H 0 .

- .
Stata8
, GLS-,
.
:
Random-effects ML regression
Random effects: _i ~ Gaussian
:
LR chi2(1) = 121.60, Prob > chi2 = 0.0000
y
Coef.
Std. Err.
x
1.092893
.0501518
cons
-1.255205
1.019264
sigma_
1.064836
.5552752
sigma_u
1.713621
.2334960
rho
.2785682
.2205921
z
21.79
-1.23
1.92
7.34
Likelihood-ratio test of sigma_alfa=0:

chibar2(01) = 4.70, Prob>=chibar2 = 0.015
H 0 : 2 = 0 .
P>z
0.000
0.218
0.055
0.000
264
Between regression (regression on group means)

R-sq:
within = 0.9478
between = 0.8567
overall = 0.9209
:
F(1,1) = 5.98, Prob > F = 0.2471
y
Coef.
Std. Err.
t
P>t
x
.3137715
.1283133
2.45
0.247
cons
10.40202
1.929616
5.39
0.117
,
2

1 Rbetween
: 3
.
3.5.
.

.
FE:
i ;
,

().
,
, , ..
.
RE:
i .
265
, ,
.
,
FE-
E ( yit xit ) = E ( i + xit + uit xit ) = i + xit .
RE- E ( yit xit ) = E ( + i + xit + uit xit ) = + xit
, , RE , ,
E ( i xit ) = 0 .
, ,
i = a xi + i , i ~ N 0, 2 , E ( i xit ) = 0 .
:
yit = + xit + a xi + i + uit ,
.
,
xi ,
. ,
i , . ,
E ( i xit ) = E ((a xi + i )xit ) = aE ( xi xit ) =
a T
a
2
(
)
E
x
x
E
x
E ( xis xit ) ,
=
+
is it
it
T s =1
T
s =1, s t
( )
a 0 , E ( i xit ) = 0
i = 1, K , N .
GLS BLUE a ,
:
GLS
= CV , a GLS
= b CV ,
266
GLS
= y x b .
, BLUE
() ,
E a GLS
= E b E CV E CV = , :
E = a + .
) ( ) (
( )
( )
E a GLS
=a,
, RE- (
E ( i xit ) = 0 )
= w + (1 w) .
RE
CV
,
:
E RE = wE b + (1 w)E CV = w( + a ) + (1 w) = + wa ,
a 0 , .
( )
( )
( )
RE

, i
xi i (
E ( i xi ) = 0
E ( i xi ) = 0 ). , CV (FE).
,
(RE).
GLS
1
,
H 0 : a = 0 H1 : a 0 .
2 c (Hausman)
: H 0 : E ( i xi ) = 0 , :
H1 : E ( i xi ) 0 .
:
267
H 0 GLS , RE, , FE-,
CV
.
H1 GLS , CV
.
, H 0 , GLS
,
CV

CV GLS (
).
q = CV GLS ;
,
D(q ) = D CV GLS =
= D
+ D
2Cov ,
.
( ) (
CV
GLS
CV
GLS
RE-,
, GLS , CV
. ,
,
H 0 ,
Cov ,

= D
Cov ,
= 0,
(
Cov (
GLS
GLS
) (
) = D( ),
GLS
, CV
( ) (
CV
i =1 t =1
GLS
GLS
D (q ) = D CV D GLS .
,
u2
D GLS = N T
(xit xi )2 +
GLS
(x x )
i =1
CV
268
( )
D CV =
u2
N
(x
i =1 t =1
it
.
xi )
D(q ) D(q ) .

q 2
m=
D (q )
H 0 (N )
2 (1) .
K H 0
m = q T [Cov(q )] 1 q
2 (K ) .
H 0

yit = xit + ( xit xi ) + it ,
yit = yit yi , xit = xit xi ,
= 1 = 1
u2
.
u2 + T 2
, = 0 .
H 0
,
OLS = b , OLS = CV b .
H 0 ,
:
269
q1 = GLS CV ,
q 2 = GLS b ,
q = ,
3
CV
q 4 = GLS OLS .

GLS = w b + (1 w) CV .

H 0 ;
H 0 .
( )
.
Coefficients
(b) fix
(B)
(b-B)
S.E.
x
1.102192
1.058959
.0432328
b = CV , B = GLS , (b-B) = q = CV GLS .
C
chi2(1) = (b-B)'[(V_b-V_B)^(-1)](b-B) =-2.15,
V_b V_B CV
, .
GLS
,
.
( )
( National Longitudinal Survey, Youth
Sample, ) 545
, 1980 .
270
19801987 . 1980 .
17 23
,
3 .
,
, -,
, ,
( ), (
) .
:
Between
FE
OLS
RE
Const
0.490
_
-0.034
-0.104
(0.221)
(0.065) (0.111)
scooling
0.095
_
0.099
0.101
(0.011)
(0.005) (0.009)
experience
-0.050
0.116
0.089
0.112
(0.050)
(0.008)
(0.010) (0.008)
experience2
0.005
-0.0043
-0.0028 -0.0041
(0.003) (0.0006) (0.0007) (0.0006)
Unin member
0.274
0.081
0.180
0.106
(0.047)
(0.019)
(0.017) (0.018)
married
0.145
0.045
0.108
0.063
0.041
(0.018)
(0.016) (0.017)
black
-0.139
_
-0.144
-0.144
(0.049)
(0.024) (0.048)
hispanic
0.005
_
0.016
0.020
(0.043)
(0.021) (0.043)
Public sector
-0.056
0.035
0.004
0.030
(0.109)
(0.039)
(0.037) (0.036)
Within R2
0.0470
0.1782
0.1679
0.1776
Between R2
0.2196
0.0006
0.2027
0.1835
0.1371
0.0642
0.1866
0.1808
Overall R2
271
RE=EGLS (FGLS) = 0.64

FE=CV
= 1
OLS
= 0
RE OLS Between FE.

, . , ,
i
, FE. H 0 ,
RE-.
(FE) (FE) RE
( ).
, , .
EXPER
EXPER2
MAR
PUB
UNION
Coefficients
(b)
(B)
fix
.116457
.1117851
-.0042886
.0040575
.0451061
.0625465
.0349267
.0301555
.081203
.1064134
(b-B)
.0046718
-.0002311
-.0174403
.0047713
-.0252104
sqrt(diag(V_b-V_B))
S.E.
.0016345
.0001269
.0073395
.0126785
.0073402
chi2(5) = (b-B)'[(V_b-V_B)^(-1)](b-B) = 31.75

Prob>chi2 = 0.0000
31.75
FE- RE- 5
: experience, experience2, Union member, married, Public
sector. 2 (5) 31.75 P 6.6 106 , (RE-)
. ?
272
i
,
,
,
.
FE-,
4.5%, between-
14.5%. ,
,
.

.
, , ,

uit , FE-
.

, within-R2
FE-, ..
. OLS-
overall-R2. RE-
. , OLS-
- , ..
.

EGLS-, .
3.6.
,
u it
, N 0, u2 .
, , i -
ui1 , ui 2 ,K, uiT , , ,
273

.
,
yit = + i + xit + uit , i = 1,K, N , t = 1,K, T ,

uit = ui ,t 1 + it ,
< 1 , i1 , i 2 ,K, iT
,
N 0, 2 , , it
ui ,t k , k 1 .
.
,
:
yit yi = ( xit xi ) + (uit ui ) ,
..
~y = ~
xit + u~it ,
it
-.
, , ( )
,
u~ i1 , u~ i 2 , K , u~ iT ,

(u~
N
it
d=
i =1 t = 2
N
u~ i ,t 1
u~
2
it
i =1 t =1
, 1 d 2 ,
DW 1 d 2 .
274
:
~
u , u~ , K , u~ , ,
i1
i2
iT

u~ = u~
+ .
i ,t 1
it
it
:
N
u~
it
i =1 t = 2
N T
u~i , t 1
.
u~it2
i =1 t =1
[ Stata8 tscorr .]

,
. ,

.

.
DW-:
. xtregar y x, fe rhotype(dw) lbi FE (within) regression with AR(1) disturbances
Number of obs = 27
R-sq:
within = 0.9569
between = 0.1111
overall = 0.9252
F(1,23) = 510.54, Prob > F = 0.0000
corr(_i, Xb) = -0.1625
y
x
cons
rho_ar
sigma_
sigma_u
rho_fov
275
Coef.
1.105796
-1.317209
Std. Err.
.0489398
.6964634
.170171
1.423608
1.773845
.3917622
( ,
_i)
t
22.60
-1.89
P>t
0.000
0.071

F(2,23)= 3.82, Prob > F = 0.0370
modified Bhargava et al. Durbin-Watson = 1.664958
Baltagi-Wu LBI = 1.8196862
1.102192,

, .
.
tscorr-:
. xtregar y x, fe rhotype(tscorr)
FE (within) regression with AR(1) disturbances
Number of obs = 27
R-sq: within = 0.9540
between = 0.1111
overall = 0.9252
F(1,23)= 476.47, Prob > F = 0.0000

corr(_i, Xb) = -0.1626
y
Coef.
Std. Err.
x
1.109267
.050818
cons
-1.392025
.7698403
t
21.83
-1.81
P>t
0.000
0.084
276
rho_ar
sigma_
sigma_u
rho_fov
.09213053
1.4281087
1.7701594
.39426073 ( ,
_i))

F(2,23) = 4.66, Prob > F = 0.0199

.
.
3.7. ()
3.7.1.
,
i
t :
yit = + i + t + xit + uit , i = 1,K, N , t = 1,K, T ,
i = 0 ,
i =1
= 0 , i t
t =1
. i t
.
1 N
yt = yit .. ( ),
N i =1
yi =
1 T
yit
T t =1
.. ( ),
277
1 N T
yit ( ),
NT i =1 t =1
:
( yit yi yt + y ) = (xit xi xt + x ) + (uit ui ut + u ) .

( )
y=
CV =
( y
it
i =1 t =1
y i y t + y )( x it x i x t + x )
(x
i =1 t =1
it
xi xt + x )
=
2
W xy
W xx

( yi y ) = i + (xi x ) + (ui u ) ,
( yt y ) = t + (xt x ) + (ut u )
i t :
= ( y y ) ( x x ) ,
i
CV
t = ( y t y ) CV ( x t x ) .

Stata xtreg, fe
- .
( , )
R-sq:
within = 0.1808
between = 0.0005
overall = 0.0638
F(11,3804) = 76.30, Prob > F = 0.0000
278
corr(_i, Xb) = -0.1203

WAGE_LN
Coef.
Std. Err.
t
P>t
BLACK (dropped)
EXPER
.1317361
.0098356
13.39
0.000
EXPER2
-.0051704
.0007047
-7.34
0.000
HISP (dropped)
MAR
.0464781
.0183123
2.54
0.011
PUB
.0347278
.0385989
0.90
0.368
SCHOOL
(dropped)
UNION
.0791253
.0193354
4.09
0.000
Y80
(dropped)
Y81
.0193045
.0203652
0.95
0.343
Y82
-.0112773
.0202281
-0.56
0.577
Y83
-.0419533
.0203211
-2.06
0.039
Y84
-.0383904
.0203151
-1.89
0.059
Y85
-.0428743
.0202506
-2.12
0.034
Y86
-.0275581
.0203878
-1.35
0.177
cons
1.028383
.0299620
34.32
0.000
,

.
sigma_ .40078197
sigma_u .3509988
rho .56593121 (fraction of variance due to _i)
F test that all _i=0:
F(544, 3804) = 7.97
Prob > F = 0.0000
. test Y81=Y82=Y83=Y84=Y85=Y86=0
279
( Y81 -, 1 1981 . 0
; Y82,,Y86.)
F(6, 3804) = 1.96
Prob > F = 0.0680

.
3.7.2.

yit = + i + t + xit + uit , i = 1,K, N , t = 1,K, T
, i t
E ( i ) = E (t ) = E (uit ) = 0 ,
E ( ) =
i
i = j ,
0, i j ,
2 , t = s,
(
)
E t s =
0, t s,
u2 , i = j t = s,
(
)
E uit u js =
0, ,
E ( i t ) = 0 , E ( iuit ) = 0 , E (t uit ) = 0 ,
E ( i xit ) = E (t xit ) = E (uit xit ) = 0 .
it = i + t + uit .
D( it ) = D ( yit xit ) = 2 + 2 + u2 ,
.
2 , i = j , t s,
Cov( it , js ) = 2
, t = s, i j ,
280
2
, i = j , t s,
D(2it )

, t = s, i j ,
Corr ( it , js ) =
(
)
D
it
1,
t = s, i = j ,
t s, i j.
0,

N
bi =
(x
i =1
x )( y i y )
(x
i =1
x)
=
2
B xy
B xx
bt =
(x
t =1
x )( y t y )
(x
t =1
x)
=
2
C xy
C xx
GLS-
GLS = 1 CV + 2 bi + 3 bt ,
Wxx
W
1 =
= xx ,
2
2
Wxx + 2 Bxx3 C xx Txx
2 =
22 =
22 Bxx
Txx
, 3 =
u2
+ T
2
u
32C xx
Txx
, 32 =
u2
+ N 2
2
u
281
Txx = Wxx + 22 Bxx + 32C xx .

, GLS-
-, ,
.
2 = 2 = 0 ( i t ),
B
C
22 = 32 = 1 , 2 = xx , 3 = xx , Txx = Wxx + Bxx + C xx ,
Txx
Txx
GLS =
W xx W xy B xx B xy C xx C xy W xy + B xy + C xy
=
=
T xx W xx T xx B xx T xx C xx W xx + B xx + C xx
N
(x
=
it
i =1 t =1
N
(x
i =1 t =1
x )( y it y )
it
x)
= OLS ( ).
2
T N 22 0 32 0 ,
=
(
GLS
CV
).

xtreg, re dummy-
.
3.7.3.
282
H 0 : 2 = 2 = 0 ( ).
OLS-
OLS- u it .
BP = LM 1 + LM 2 ,
2
2 N 2
u i
T
NT i =1
LM 1 =
1 ,
N T
2(T 1)
u it2
i =1 t =1
2 T 2
u t
N
NT
t =1
LM 2 =
1 .
2(T 1) N T 2
u it
i =1 t =1
H 0 BP
(2) . H : = 0
2
a
0
LM 1 ~ 2 (1) ;
H 0b : 2 = 0 LM 2 ~ 2 (1) .

F, .
H 0 : 2 = 0 ( t = 0 )

(S S ) (N 1) ,
F3 = 2 1
S1 ( NT N 1)
S 2 RSS OLS (), S1 RSS
(
CV-).

H 0 : 1 = 2 = L = N 1 = 0, 1 = 2 = L = T 1 = 0
283

(S S 2 w ) (N + T 2) ,
F2way = 3
S 2 w (N 1)(T 1) 1
S 2 w RSS .

H 0 : 1 = 2 = L = N 1 = 0 t 0

(S 4 S 2 w ) (N 1) ,
F4 =
S 2 w ((N 1)(T 1) 1)
S 4 RSS
( yit yt ) = (xit xt ) + (uit ut )

H 0 : 1 = 2 = L = T 1 = 0 i 0

(S1 S 2 w ) (T 1) .
F5 =
S 2 w (( N 1)(T 1) 1)
i , t
: STATA xtreg, re dummies
.
:

:
F test that all ALFA_i=0:
F(544, 3804) = 7.97
Prob > F = 0.0000
F-
.

:
284
test
Y81=Y82=Y83=Y84=Y85=Y86=0
F(6, 3804) = 1.96
Prob > F = 0.0680

F- 5% .
3.8.
.

.
,
i = 1,K, N , t = 1,K, T ,
T
N , .
.
yit = + xit + i + uit , i = 1,K, N , t = 1,K, Ti ,
=0,
i =1

.
.
.
1. OLS- , , BLUE,
2 = 0 .
2. (CV) ,
, yi xi
.
3. - ,
Ti i.
4.
285
GLS- - ,
yit = yit i yi , xit = xit i xi ,
yi =
1
Ti
Ti
y
t =1
it
, xi =
1
Ti
Ti
it
t =1
, i = 1
u2
u2 + Ti 2
. . i .
3.9.

, .
,
y2it = y1it + xit + i + uit , i = 1,K, N , t = 1,K, T ,
y1it - g1 ,
xit - k1 ,
- g1 k1 .
zit - k 2 , k 2 g1 ,

E ( zit uit ) = 0 .
:
1 T
1 T
1 T
y2i = y2it , y1i = y1it , xi = xit ,
T t =1
T t =1
T t =1
1 N T
1 N T
1 N T
y
,
y
=
y
,
x
=
2it 1 NT
xit .
1it
NT i =1 t =1
NT i =1 t =1
i =1 t =1
( IV)
-
( y2it y2i ) = ( y1it y1i ) + (xit xi ) + (uit ui ) ,
y2 =
286
IV-- IVW , IVW .

-
( y2i y2 ) = ( y1i y1 ) + (xi x ) + (ui u ) ,
IV-- IVB .
: k 2 = g1 = 1 , k1 = 0 , y2it = y1it + i + uit .
( y
2 it
i =1 t =1
IVW =
(y
y 2i )( z it z i )
1it
i =1 t =1
y1i )( z it z i )
2i z i
i =1
IVB =
1i z i
i =1
E (Y1it i ) = 0 ,
. ,

~y = y y , ~
y1it = y1it y1i ,
2 it
2 it
2i
u~ = u u , ~z = z ~z ,
it
it
it
it
u2
= 1
u2 + T 2
N
u2 =
(( y
i =1 t =1
2 it
y 2i ) ( y1it y1i ) IVW
NT N
)2
,
287
N
u2 + T 2 =
(y
i =1
2i
y1i IVB )
~y = ~y + u~ ,
IV
2it
1it
it
zit zi zi ~zit .
, = [ ] -
g1 + k1 . IV
(2SLS) :
1. IVW ;
2. ;
IVB
u2 u2 + T 2 ,
;
3. IV .
STATA,
xtivreg c re. E (Y1it i ) 0 ,
fe.

. (
National Longitudinal Survey, Youth Sample, ) N=4134
, 1968 . 14 26 .
1968 1988 .
:
1 12 ( 4.6
).

288
ln wit = 1 tenure + 2 age + 3 age2 + 4 notsmsa +

+ 5 union + 6 south + + i + u it ,
i = 1,K , N , t = 1,K , T , wit ,
tenure ()
,
age ,
notsmsa ,
union ,
south .
-
:
. xtreg ln_w tenure age age_2 not_smsa union south, fe i(idcode)
Number of obs =19007
Group variable (i): idcode
Obs per group: min = 1
between = 0.2375
avg = 4.6
overall = 0.2031
max = 12
F(6,14867) = 381.19
Prob > F = 0.0000
corr(_i, Xb) = 0.2074
ln_wage
Coef.
Std. Err.
z
P>z
tenure
.0176205
.0008099
21.76
0.000
age
.0311984
.0033902
9.20
0.000
age_2
-.0003457
.0000543
-6.37
0.000
not_smsa
-.0972535
.0125377
-7.76
0.000
union
.0975672
.0069844
13.97
0.000
south
-.0620932
.0133270
-4.66
0.000
cons
1.091612
.0523126
20.87
0.000
sigma_ | .3910683
sigma_u | .25545969
rho | .70091004 (fraction of variance due to _i)
F test that all _i=0:
F(4133, 14867) = 8.31 Prob > F = 0.0000
289

.
(70%) .
, , ,

( )

, tenureit
ln wit = 1 tenureit + 2 ageit + 3age2it + 4 notsmsait +

+ + i + uit
uit ,

tenureit
union south . ,

1 , 2 , 3, 4 , 5 : union , south , age , age2 ,
notsmsa .
:
. xtivreg ln_w age age_2 not_smsa (tenure=union south), fe i(idcode)
Fixed-effects (within) IV regression
Number of obs = 19007
Obs per group: min = 1 avg =4.6 max = 12
Wald chi2(4) = 147926.58 Prob > chi2 = 0.0000
corr(_i, Xb) = -0.6843
290
ln_wage
Coef.
Std. Err.
z
tenure
.2403531
.0373419
6.44
age
.0118437
.0090032
1.32
age_2
-.0012145
.0001968
-6.17
not_smsa
-.0167178
.0339236
-0.49
cons
1.678287
.1626657
10.32
sigma_ | .70661941
sigma_ u | .63029359
--------------------------------------------------F test that all _i=0:
F(4133,14869) = 1.44
Prob > F = 0.0000
--------------------------------------------------Instrumented: tenure
Instruments: age age_2 not_smsa union south
P>z
0.000
0.188
0.000
0.622
0.000
.

age notsmsa .

.
,
GLS-,
.
:
. xtivreg ln_w age age2 not_smsa black (tenure = union birth_yr south
black) , re i(idcode)
G2SLS random-effects IV regression
Number of obs = 19007
291

between = 0.2098
avg = 4.6
overall = 0.1463
max = 12
Wald chi2(5) = 1446.37
Prob > chi2
= 0.0000
corr(_i, X) = 0 (assumed)
ln_wage
Coef.
Std. Err.
z P>z
tenure
.1391798
.0078756
17.67 0.000
age
.0279649
.0054182
5.16 0.000
age_2
-.0008357
.0000871
-9.60 0.000
not_smsa
-.2235103
.0111371
-20.07 0.000
black
-.2078613
.0125803
-16.52 0.000
cons
1.337684
.0844988
15.83 0.000
sigma_ | .36582493
sigma_u | .63031479
-----------------------------------------------------------------------------Instrumented: tenure
Instruments: age age2 not_smsa black union birth_yr south
3.10.
3.10.1. RE- FE-

,
i .

,
292
. , ,
,
, ..

yit = + i + xit + zi + uit , i = 1, K , N , t = 1, K , T ,
z i , .
RE-,
xit z i ,
: BLUE
GLS- .
FE- i
E ( i z i ) = 0 , E ( i xit ) 0 , GLS-
(, RE-) ,
. t :
y i = + i + xi + z i + u i , i = 1,K, N .
yit yi = ( xit xi ) + (uit u ) , i = 1,K, N .

CV .
i , z i . i
E ( i xit ) 0 , E ( i z i ) = 0 ,
.
, y i xi = + z i + ( i + u i ) .
, ,
( )
(
i =1
+ ui ) , between-
2
293
(( y
=
i =1
y ) ( x i x ) )(z i z )
(z
z)
i =1
= y x z .
CV ,
~ ~ ;
plim ~ = ,
N
.. ~ .
[ STATA e predict residfe, ue xtreg, fe
xtreg, fe Zi , be ]

( ,
)

scooling, black, hispanic.

. , Stata8,
.
Between regression (regression on group means)
R-sq:
within = 0.0000
between = 0.2119
overall = 0.1264
F(3,541) = 48.47, Prob > F = 0.0000
Coef.
Std. Err.
t
P>t
SCHOOL
.1015825
.0089372
11.37
0.000
BLACK
-.1442396
.0484007
-2.98
0.003
HISP
.0210173
.0435069
0.48
0.629
294

( GLS-).
3.10.2.

yit = X it + Z i + i + uit , i = 1, K , N , t = 1, K , T ,
X it k ,
, Z i g
,
.
,
RE- ( ,
), ,
i

.

:
X it = [ X 1it X 2it ] , Z i = [Z 1i Z 2i ] ,
k1 , X 1it , g1 ,
Z1i , i
,
E ( X 1it i ) = E (Z1i i ) = 0 ,
k 2 , X 2it , g 2 ,
Z 2i , i
,
E ( X 2it i ) 0 , E (Z 2i i ) 0 .

yit = X 1it 1 + X 2it 2 + Z1i 1 + Z 2i 2 + i + uit ,
295
,
,
yit yi = (X 1it X 1i )1 + (X 2it X 2i ) 2 + uit ,
,
T
= T , T .
CV
, .
T
,
CV = 1T,CV , 2T,CV
-:
d it = ( y it y i ) (X 1it X 1i )1,CV (X 2it X 2i ) 2,CV

D(uit ) = u2 :
RSS CV
.
u2 =
NT (k1 + k 2 )
, , ,
yi X 1i 1 X 2i 2 = Z1i 1 + Z 2i 2 + ( i + uit ) .
E (Z 2i i ) 0 , OLS-
1 2 , (between-)
.
1 2
(2SLS), [ Z1i X 1it ] .
X 1it (k1 )
Z 2i (g 2 ) .
1 2 1, IV 2, IV .
,
eit = yit X 1it 1,CV X 2it 2,CV Z1i1,IV Z 2i2,IV
296
1 N T 2
eit ,
NT i =1 t =1
u2 + T 2 .
S2 =
2
S 2 u2
.
T
GLS , RE-:
yit = yit yi ..

,
= 1
2 =
u2
u2 + T 2
u2 2 u2 2 .

yit = X 1it 1 + X 2it 2 + Z1i 1 + Z 2i 2 + it .
IV (2SLS),
[X 1it X 1i , X 2it X 2i , X 1i , Z1i ],
= T , T
T
T
, HT
HT = HT
].
1.
.
2. X 1it :
.
3. k1 < g 2 , .
=
.
HT
CV
HT
297
k1 = g 2 , HT = CV
HT = IV = 1T, IV , 2T, IV .
( .)
5. k1 > g 2 , .
Cov
Cov
4.
( )
CV
( )
HT
,
-.
-
X 1 ,
i ( E ( X 1it i ) = 0 ).
3.11.
.
y it = y i ,t 1 + i + u it , i = 1,K , N , t = 1,K , T ,
< 1,
uit ~ i.i.d . N (0, u2 )
(
E (uit yi ,t k ) = 0 k > 0 ). , yit
t = 0,1,K, T . B- :

CV =
(y
i =1 t =1
N
it
y i )( y i ,t 1 y i , 1 )
(y
i =1 t =1
y i , 1 )
i ,t 1
1 T
1 T
yit , yi , 1 = yi , t 1 .
T t =1
T t =1
,
yi =
298
yi =
1 T
( yi ,t 1 + i + uit ) = yi ,1 + i + ui ,
T t =1

yit yi = ( yi ,t 1 yi , 1 )+ (uit ui )
CV = +
(u
i =1 t =1
N
it
u i ) ( y i ,t 1 y i , 1 ) NT
(y
i =1 t =1
y i , 1 ) NT
i ,t 1

:
1 N T
p lim
(uit ui )(yi,t 1 yi, 1 ) =
N NT i =1 t =1
= p lim
N
1
NT
u
i =1
t =1
it
T
T
yi ,t 1 ui yi ,t 1 yi , 1 uit + T ui yi , 1 =
t =1
t =1
1
ui yi , 1 .
N N i =1
,
yi1 = yi 0 + i + ui1 ,
= p lim
yi 2 = yi1 + i + ui 2 = 2 yi 0 + ( + 1) i + ui1 + ui 2 ,
...
y it = t y i 0 + 1 t i (1 ) + t 1 u i1 + L + u i ,t 1 + u it .
, , , T = 2

1 N
p lim
(( + 1) y i 0 + i + u i1 )(u i1 + u i 2 ) =
4 N i =1
N
p lim
N
1
4N
u i21 =
i =1
u2
4
0,
299
CV .
:
1 N T
p lim
(uit ui )(yi,t 1 yi, 1 ) =
N NT i =1 t =1
= p lim
N
T
1 N
2 T 1 T +
u
y
=
i i ,1
,
u
2
2
N i =1
T (1 )
u2 1
T 1 T + T
1
.
2
N
1 2 T
T 2 (1 )
i =1 t =1
, N , T ,
,
u2
p lim CV =
0,
N , T
1 2
p lim CV = . ,
p lim
1
NT
(y
N
i ,t 1 yi , 1 ) =
2
p lim CV , CV
N
, i
,
(uit ui )
(yi,t 1 yi,1 ) . , .
, > 0 . ,
(1 ) 2 .
, CV
c .
300
0.8
lim_gamma_estim
0.6
0.4
0.2
0
-0.2
10
-0.4
-0.6
T
GAM=0.1
GAM=0.3
GAM=0.5
GAM=0.7
GAM=0.9
- T

.

, i :

. :
yi ,t yi ,t 1 = ( yi ,t 1 yi ,t 2 ) + (u it ui ,t 1 ) ,
yi ,t = yi ,t 1 + uit ,

yi ,t = yi ,t yi ,t 1 , uit = uit ui ,t 1 .
Cov(yi ,t 1 , uit ) = Cov ( yi ,t 1 yi ,t 2 , uit ui ,t 1 ) =

= Cov ( yi ,t 1 , ui ,t 1 ) 0 .
301
OLS-
()
T .

(IV instrumental variables). ,
yi ,t 2 ,
Cov( yi ,t 2 , uit ) = Cov ( yi ,t 2 , uit ui ,t 1 ) = 0 ,
Cov( yi ,t 2 , yi ,t 1 ) = Cov ( yi ,t 2 , yi ,t 1 yi ,t 2 ) 0 ,
,
,
N
IV =
(y
i ,t
i =1 t =1
N T
(y
i =1 t = 2
i ,t 1
y i ,t 1 )y i ,t 2
y i , t 2 )y i , t 2
:
N T
1
p lim
(uit ui ,t 1 ) yi,t 2 = 0
N N (T 1) i =1 t = 2
T / N .
yi ,t 2 ,
, y i ,t 2 y i ,t 3 ,
N
IV =
(y
i ,t
i =1 t =1
N T
(y
i =1 t = 3
i ,t 1
y i ,t 1 )( y i ,t 2 y i ,t 3 )
y i ,t 2 )( y i ,t 2 y i ,t 3 )
,
N T
1
p lim
(uit ui,t 1 )(yi ,t 2 yi ,t 3 ) = 0 .
N N (T 2 ) i =1 t = 3
302

ui ,t .
,
N T
1
p lim
(uit ui,t 1 ) yi,t 2 = E [(uit ui,t 1 ) yi,t 2 ] = 0,
N N (T 1) i =1 t = 2
N T
1
p lim
(uit ui ,t 1 )(yi,t 2 yi ,t 3 ) =
N N (T 2 ) i =1 t = 3
= E [(uit ui ,t 1 )( yi ,t 2 yi ,t 3 )] = 0 .

(uit ui ,t 1 ) , yi ,t 2 (uit ui ,t 1 ) , ( yi , t 2 yi ,t 3 ) .
(
)
,

(
). ,
. , yi ,t 2 j , j = 0,1,K

E (uit ui ,t 1 ) yi ,t 2 j = 0,
[
E [( y
i ,t 1
yi ,t 2 ) yi ,t 2 j 0,
.
Arellano, Bond (1991)
, . , , =
4.
E [(ui 2 ui1 ) yi 0 ] = 0
t = 2 . t = 3
E [(ui 3 ui 2 ) yi1 ] = 0 ,

E [(ui 3 ui 2 ) yi 0 ] = 0 .
t = 4 :
303
E [(ui 4 ui 3 ) yi 0 ] = 0 ,
E [(ui 4 ui 3 ) yi1 ] = 0 ,
E [(ui 4 ui 3 ) yi 2 ] = 0 .

(GMM generalized method
of moments).
(T 1) 1 -
ui 2 ui1
ui =
M
u u
i ,T 1
i ,T
(T 1) (T (T 1) / 2 ) -
L
0
0
[ yi 0 ]
0
0 [ yi 0 , yi1 ] L
Zi =
;
M
O
M
[
]
L
0
y
,
K
,
y
i
0
i
,
T
2
Z i ,
. ,

T (T 1) / 2

:
E Z iT u i = 0 .

yi 2 yi1
yi1 yi 0
yi =
M
M
, yi , 1 =
,
y y
y
i ,T 1
i ,T
i ,T 1 yi ,T 2
:
E Z iT (yi yi , 1 ) = 0 .

304
,
. ,
,
.
-
.
, GMM

T
1 N
1 N
Q( ) = Z iT (y i y i , 1 ) W N Z iT (y i y i , 1 ) ,
N i =1
N i =1
WN
. ,
1
N
N
N
GMM = yiT,1 Z i WN Z iT yi,1 yiT,1Z i WN Z iT yi .
i =1
i =1
i=1
i =1
GMM- .
WN .
WN , ,
WN = I N , WN
, GMM-

.
:
( (
p lim W N = Cov Z iT u i
N
))
[(
= E Z iT u i (u i ) Z i
T
)]

i - ,
.
WN = I N GMM-

y i ,t = yi ,t 1 + u it
305
, (1)
.
u it = y i ,t (1) y i ,t 1

u i 2
u i = M .
u
i ,T
1 N T
Z i u i (u i )T Z i .
=
N i =1
uit ~ i.i.d . , .
0
2 1 0 K 0
0
1 2 1 K 0
0 1 2 K 0
0
T
E u i (u i ) = u2 G = u2
M
M
M O M
M
0
0 K 2 1
0
0
0
0 K 1 2
.

W Nopt
1 N
W = Z iT G Z i
N i =1
GMM- .
GMM- GMM

opt
N
306
1
p lim
N N

(
)
y
Z
u
Z
i
i
i , 1
.
i =1
i =1
i =1
uit ~ i.i.d . ,
W
2
u
opt
N
T
i , 1
1
Z i
N
1
=
N
2
u
T
i
Z i
T
i
Z G Z i .
i =1
T
i
yit = yi ,t 1 + xitT + i + uit , i = 1,K, N , t = 1,K, T .

yi ,t = yi ,t 1 + xitT + uit .
, p ,
xit , , ,
uis ,
E (xit uis ) = 0 t, s ,

() xi1 ,K, xiT .
:
[ y i0 , yi1 , K , y i,t 2 , xi1 , K , xiT ].
, p T .
xit :
E (xit uit ) = 0 t ,
xit
. t
307
y , y , K, y
i, t 2 , xi1, K, xit .
i 0 i1
, .
, xit
, , ,
E ( xit uis ) = 0 s > t .

xi1 ,K, xiT
t ,
xi1 ,K, xi ,t 1 , , ,
E (xi ,t j uit ) = 0
j = 1,K, t 1 .
, xit ,
,
.

.
.

.
:
,
,
;

;

WN .
308

y x ( N = 3 )
( T = 10 )

yit = + i + yi ,t 1 + 1 xit + 2 xi ,t 1 + uit , i = 1, 2, 3, t = 2,K,10 .
:
yit = yi ,t 1 + 1 xit + 2 xi ,t 1 + uit , i = 1, 2, 3, t = 3,K,10 .
xtabond Stata8,
:
t
3
4
5
6
7
8
9
10
yi1
yi1 , yi 2
yi1 , yi 2 , yi 3
yi1 , yi 2 , yi 3 , yi 4
yi1 , yi 2 , yi 3 , yi 4 , yi 5
yi1 , yi 2 , yi 3 , yi 4 , yi 5 , yi 6
yi1 , yi 2 , yi 3 , yi 4 , yi 5 , yi 6 , yi 7
yi1 , yi 2 , yi 3 , yi 4 , yi 5 , yi 6 , yi 7 , yi 8
-
1
2
3
4
5
6
7
8
36
xi 3 + L + xi ,10 xi 2 + L + xi 9 . 36 + 2 = 38
. 3
,
3 ,
38 3 = 35 .
309
,
.

.
, H 0 ,
(

)
.
(Sargan):
S = N Q GMM ,
GMM GMM- (
T
= ( , , ) ), Q
=
1
GMM
GMM
GMM .
H 0 ,
( N ) -
,
( 35).
xtabond

W
opt
N
1
=
N
Z G Z i
i =1
T
i
( ).
. xtabond y x l1(x), lags(1)
Arellano-Bond dynamic panel-data estimation
Number of obs =
24
310
One-step results
Coef.
.0830295
Std. Err.
.2100682
z
0.40
P>z
0.693
y1
x
1.132349
.0606134
18.68
0.000
-.0423772
.2375232
-0.18
0.858
x1
cons
.1032841
.1361505
0.76
0.448
Sargan test of over-identifying restrictions:
chi2(35) = 21.81 Prob > chi2 = 0.9600

.

,
.
xtabond
. .
ui1 ,K, uiT ,
uit , ui ,t 1 , ..
Corr (uit , ui ,t 1 ) = Corr (uit ui ,t 1 , ui ,t 1 ui ,t 2 ) = u2 ;

uit , ui ,t s , s = 2, 3, K ,
.
,
.
:
Arellano-Bond test that average autocovariance in residuals
of order 1 is 0: H0: no autocorrelation z = -2.56, Pr > z = 0.0106.
Arellano-Bond test that average autocovariance in residuals of
order 2 is 0: H0: no autocorrelation z = 0.77, Pr > z = 0.4427.
311
,
Konigs, Roodhooft [De Economist, 145 (1997)]
.
, 3000
1986 1994 .

ln Lit = 1 + 2 ln wit + 3 ln rit + 4 ln Yit + 5 ln w jt + uit ,
wit ,
rit ,
Yit ,
wit .
,
,
.
rit K it ,
Yit - .

ln Lit = 1 + 2 ln wit + 3 ln K it + 4 ln Yit + 5 ln w jt + ln Li ,t 1 + i + it .
i
,
.
, i ,
OLS -
ln Li ,t 1 i,t . ,
i,t ln wi ,t

, ln Li ,t 1
312
ln wi ,t .
ln wi ,t 2 , ln wi ,t 3 ..
,

-.

0.60

0.045
ln Yit
ln wi ,t
0.008
0.005
-0.66
0.19
ln w j ,t
0.054
0.033
ln K it
0.078
0.006
ln Li ,t 1
ln Li ,t 1
-0.66
,
0.60 (1 0.60 ) = 1.6
.
,
,
,
1.78 .

.
,
.
29
. ,
29
S = N Q GMM ,
GMM
. 51.66,
313
P-, 29 , 0.006. ,

.
3.12.
1,
, -
() (cross-section data ).
n ,

i - ()
y , i - yi .
y i = 1 i -
y i = 0
i -
.
(,
) ( ), ,
,

yi = 1 xi1 + L + p xip + i , i = 1, K , n ,
xi1 , K , xip p i -
1 ,K , p , 1 , K , n
,
i - -
.

:
P{y i = 1 x i } = 1 xi1 + L + p xip ,
,
314
..
0 1 xi1 + L + p xip 1 .
,
.
, i
D ( i x i ) = xiT 1 xiT .
, ,
i () .
, , ,
yi = + xi + i , i = 1, K , n ,
E ( yi xi ) = P{yi = 1 xi } = + xi ,
xi ,
i -
,
( + (xi + 1)) ( + xi ) = ,
, xi .

P{y i = 1 x i } = G ( 1 xi1 + L + p x ip ) ,
G (z ) S- ,
g ( z ) = G ( z ) ,
y i = G ( 1 xi1 + L + p xip ) + i , i = 1, K , n .
,
n ,
xi , 1 , K, n
315
. xi
G ( 1 xi1 + L + p xip ) + i ,
i = 1, K , n , .. y1 ,K, yn .
( xi , i = 1, K , n )
y1 ,K, yn
( )
n
y
1 y
(P{yi = 1 xi }) (P{yi = 0 xi })
i
i =1
(G (x )) (1 G (x ))
n
yi
T
i
T
i
1 yi
i =1
xi ,
i = 1, K , n , ,
( ( )) (1 G (x ))
L( ) = L( x1 , K , x n ) = G xiT
n
i =1
yi
T
i
1 yi
1 ,K , p . , 1 ,K , p
L( ) , .. xi , i = 1, K , n ,
y1 ,K, yn
, .

= ,
,
()
()
L = max L = max
(G(x )) (1 G (x ))
n
T
i
yi
T
i
1 yi
i =1
ln(z ) ,

( )
,
ln L( ) .
( ))
ln L( ) = y i ln G xiT + (1 y i ) ln 1 G xiT .
i =1
i =1
316

(.. X = xij p
( )
n p ,
), L( )
, ,

.

() yi ,
i -
, ,
1, y i > ,
yi =
0 .

y i = 1 xi1 + L + p xip + i , i = 1, K , n ,
,
P{y i = 1 x i } = G xiT = ( 1 x i1 + L + p xip ) .
= 0 .

i

,
.
.

() y it
y it ,
317
1, yit > 0,
yit =
0 .
, y it , i -
t . ,
y it = xitT + i + it ,
xitT - i -
t .
, it

G
.
i ,
N -.
:
ln L( , 1 , K , N ) =
))
= y it ln G ( i + x itT ) + (1 y it ) ln 1 G i + xitT .
i ,t
i ,t
,
i
T ,
N .
OLS-
.
i ,
i
.
, P{y it = 1 x it }
.
318
, ,
y it = x itT +
it
. ,
, ,
y it y i,t 1 ,
y it y i ,t 1 .

(conditional FE).
,
ti ,
i . ,
i -
i . , f ( yi1 ,K, yiT i , )
i - ,
f ( yi1 ,K, yiT ti , i , ) = f ( yi1 ,K, yiT ti , ) .

, ,
,
f ( yi1 , K , yiT ti , ) .

it .

y.
FE- i . , ,
-,
y it = xitT + i + it ,
319
i .
, -
.
3.12.1. -

y it = x itT + i + it ,
it
e
.
1+ ez
exp x itT + i
,
P{y it = 1 xit , i , } =
1 + exp xitT + i
G ( z ) = ( z ) =
}
exp{x + }
1
.
=
P{y = 0 x , , } = 1
1 + exp{x + } 1 + exp{x + }
T
it
it
it
T
it
T
it
- = 2. ,
y i1 + y i 2
(
) i - ,
4 ( y i1 , y i 2 ) :
(0,0) , (0,1) , (1,0) , (1,1) . , y i1 + y i 2
3 : 0, 1, 2 ( i -
, ,
).
y i1 + y i 2 .
y i1 + y i 2 = 0 ,
(0,0) ,
320
P{(0,0) yi1 + yi 2 = 0, i , } = 1 ,

y i1 + y i 2 = 0 0.
yi1 + yi 2 = 2 , (1, 1) ,

P{(1,1) yi1 + yi 2 = 1, i , } = 1 ,

y i1 + y i 2 = 1 0.
y i1 + y i 2 = 1 , (0,1)
(1,0) , , 0 1,
(0,0) (1, 1)
0.
P{(0,1) x it , i , }
=
P{(0,1) y i1 + y i 2 = 1, x it , i , } =
P{y1 + y 2 = 1 x it , i , }
=
P{y i1 = 0 xit , i , }P{y i 2 = 1 xit , i , }
P{y i1 = 0 x it , i , }P{y i 2 = 1 x it , i , } + P{y i1 = 1 xit , i , }P{y i 2 = 0 x it , i , }
}
{
}
=
=
exp{x + }
exp{x + }
1
1
1 + exp{x + } 1 + exp{x + } 1 + exp{x + } 1 + exp{x + }

exp x iT2 + i
1
1 + exp x iT1 + i 1 + exp x iT2 + i
T
i2
T
i1
T
i2
T
i2
T
i1
T
i1
T
i2
{ } ,
exp{x + }+ exp{x + } exp{x }+ exp{x }
exp x iT2 + i
T
i1
exp x iT2
T
i1
T
i2
,
T
exp (x i 2 x i1 )
.
P{(0, 1) y i1 + y i 2 = 1, x it , i , } =
T
1 + exp (x i 2 x i1 )
321
,
P{(1,0) y i1 + y i 2 = 1, x it , i , } = 1 P{(0,1) y i1 + y i 2 = 1, x it , i , } =
=
.
T
1 + exp (xi 2 x i1 )
,
P{( y i1 , y i 2 ) = (r , s) y i1 + y i 2 = l , x it , i , } ,
r , s = 0,1, l = 0, 1, 2 , ,

i ,
.
, T = 2
- ,
,
xi 2 xi1 ,
,
yit (1
yit , 0 yit ). ,
:
L = P{(0, 0) }P{(0,1) }P{(1, 0) }P{(1, 1) } =
N
i =1
exp ( xi 2 xi1 )T
1
1S11 ,

= 1
T
T
(
)
(
)
1
exp
1
exp
x
x
x
x
i =1
i2
i1
i2
i1
S rs = 1 , y i1 = r , y i 2 = s , S rs = 0 .
, , yi1 = yi 2 = 0 yi1 = yi 2 = 1 ,

.
,
yit .
N
S 00
S10
S 01
322

within- .
, . T > 2
,
.
H 0
,
CML ,
ML ML , (
). MLE
H 0
. MLE
H 0 , ,
. ,
, (.
2, . 2.6.5.).
T
1
H =

Cov
Cov
CML
ML
)( (
CML
( )) (
ML
CML
ML
H 0 -
, .

,
()
yi1 ,K, yiT xit , i , .

.
323
3.12.2. -
i

,
, ,
-. ( -,
.)

1, yit > 0,
yit =
0 ,
y it = xitT + uit ,
uit = i + it ,
i , i ~ i.i.d. N (0, 2 ) ,
it , it ~ i.i.d. N (0, 2 ),

.
ui1 , K, uiT , E (uit ) = 0 , D(uit ) = 2 + 2 ,
Cov(u it , u is ) = Cov( i + it , i + is ) = 2 s t ,
2
Cov(uit , uis )
=
= 2 2
D (uit ) D (uis ) +
uit uis ()
s t . D (uit ) = 1 = 2 .
, 2 = 1 2 .
yi1 ,K, yiT
xi1 ,K, xiT
324
f ( yi1 ,K, yiT xi1 ,K, xiT , ) =
f (y
i1
,K, yiT xi1 ,K, xiT , i , )f ( i )d i =
f ( yit xit , i , ) f ( i )d i .

t =1
-
xT +
i
it
,
yit = 1,
2

f ( yit xit , i , ) =
T
xit + i , y = 0,
it
1 2
1 i2
.
exp
2
2 2
2
.

(, Stata).
f ( i ) =
H 0
= 2 = 0 ,

= 0 .
325
3.12.3.

(German Socio-Economic Panel) 5- 1985
1989 .,
(well-being).

0 10.
- - ,
. ,
0 4,
,
5
.

:
:
LOGINCOME () . .
-:
UNEMP (), NOPARTIC ( ),
SELFEMP (), PARTTIME ( )
(
-),
MALE ,
OKHEALTH ,
AGE AGESQUARED ,
VOCATIONAL D. ,
UNIVERSITY D. ,
MARRIED .

.
, , ,
, . ,
326
,

, ..
. ,
100%.
()
,
.

,
. ,
,
,
,
.

, , ,
.
UNEMP
UNEMP*AGE<29
UNEMP*AGE30-49.

.

.
,
UNEMPDUR ( ,
) ,
,
UNEMPDURSQ*10-2.
327
,
,
.

.
.
, ,
. , ,
,
,
.
,
.
UNEMPDUR
PREVDUR,

10 ,
.

CHANGEINC
.
,

.
,
, .. ,
. ,
UNEMP
,
, .

,
.
328

, .
. 1 2
-,
( ),
. -
,
Sit = xitT + it ,

0,
Sit < 0,
1, 0 < Sit < 1 ,

Sit =
M
10, S > .
it
9
B1 B2 FE RE - (1
5 , 0
5).
1 ( )
Pooled
coeff.
s.e.
Constant
1.661
(0.168)
MALE
-0.059
(0.015)
UNEMP
-0.265
(0.050)
329
UNEMP*AGE<29
-0.164
(0.078)
UNEMP*AGE30-49
-0.221
(0.065)
-0.011
(0.007)
0.013
(0.020)
PREVDUR
-0.009
(0.001)
NOPARTIC
-0.042
(0.018)
SELFEMP
-0.107
(0.033)
PARTTIME
-0.060
(0.028)
MARRIED
0.140
(0.017)
OKHEALTH
0.428
(0.014)
AGE
-0.050
(0.004)
AGESQ*10-2
0.062
(0.005)
VOCATIONAL D.
UNEMPDUR
-2
UNEMPDURSQ*10
0.083
(0.013)
UNIVERSITY D.
0.106
(0.033)
LOGINCOME
0.208
(0.017)
CHANGEINC
0.018
(0.022)
1986
-0.027
(0.020)
1987
-0.127
(0.020)
1988
-0.191
(0.020)
1989
-0.219
(0.021)
Observations
24055
330
2 ( )
Male
Female
coeff.
s.e.
coeff.
s.e.
Constant
2.273
(0.246)
1.259
(0.234)
UNEMP
-0.402
(0.063)
-0.118
(0.089)
UNEMP*AGE<29
-0.321
(0.105)
-0.064
(0.126)
UNEMP*AGE30-49
-0.245
(0.085)
-0.175
(0.109)
UNEMPDUR
-0.003
(0.010)
-0.010
(0.018)
UNEMPDURSQ*10-2
-0.013
(0.028)
0.042
(0.064)
PREVDUR
-0.010
(0.001)
-0.008
(0.001)
NOPARTIC
-0.273
(0.035)
0.056
(0.024)
SELFEMP
-0.087
(0.038)
-0.155
(0.069)
PARTTIME
-0.180
(0.129)
-0.001
(0.031)
MARRIED
0.133
(0.024)
0.110
(0.026)
OKHEALTH
0.409
(0.021)
0.426
(0.021)
AGE
-0.063
(0.006)
-0.049
(0.006)
-2
0.078
(0.007)
0.062
(0.007)
VOCATIONAL D.
0.066
(0.019)
0.093
(0.019)
UNIVERSITY D.
AGESQ*10
0.086
(0.040)
0.174
(0.059)
LOGINCOME
0.165
(0.024)
0.253
(0.025)
CHANGEINC
0.014
(0.030)
0.015
(0.031)
1986
-0.018
(0.028)
-0.037
(0.029)
1987
-0.104
(0.028)
-0.152
(0.030)
1988
-0.175
(0.028)
-0.206
(0.030)
1989
Observations
-0.178
12605
(0.029)
-0.258
11450
(0.030)
331
B1 ()
MALE
Random Effects
coef.
s.e.
Fixed Effects
coef.
s.e.
Constant
1.849
(0.682)
UNEMP
-0.849
(0.145)
-1.257
UNEMP*AGE<29
-0.089
(0.225)
0.115
(0.518)
UNEMP+AGE30-49
-0.013
(0.187)
0.368
(0.419)
UNEMPDUR
-0.026
(0.025)
-0.030
(0.047)
0.027
(0.072)
0.109
(0.145)
PREVDUR
-0.011
(0.004)
NOPARTIC
-0.511
(0.084)
-0.287
(0.243)
SELFEMP
-0.185
(0.107)
0.643
(0.418)
PARTTIME
-0.274
(0.274)
-0.162
(0.554)
MARRIED
0.294
(0.068)
0.575
(0.254)
OKHEALTH
0.448
(0.052)
0.409
(0.128)
AGE
-0.073
(0.019)
0.009
(0.114)
0.086
(0.023)
-0.112
(0.131)
VOCATIONAL D.
0.098
(0.060)
UNIVERSITY D.
0.057
(0.115)
LOGINCOME
0.135
(0.068)
0.676
(0.245)
CHANGEINC
0.158
(0.072)
0.086
(0.174)
0.382
(0.040)
-2
UNEMPDURSQ*10
AGESQ*10
-2
No. of individuals
2521
556
(0.358)
332
B2 ()
FEMALE
Random Effects
coef.
s.e.
Fixed Effects
coef.
s.e.
Constant
-0.160
(0.639)
UNEMP
0.003
(0.209)
-0.192
(0.484)
UNEMP*AGE<29
-0.255
(0.299)
-0.069
(0.641)
UNEMP*AGE30-49
-0.550
(0.240)
-0.821
(0.548)
UNEMPDUR
-0.017
(0.039)
0.014
(0.074)
0.047
(0.144)
-0.022
(0.270)
PREVDUR
-0.009
(0.003)
NOPARTIC
0.007
(0.069)
-0.180
(0.225)
SELFEMP
-0.057
(0.191)
-0.268
(0.497)
PARTTIME
0.022
(0.087)
-0.206
(0.241)
MARRIED
0.220
(0.074)
0.561
(0.261)
OKHEALTH
0.529
(0.053)
0.620
(0.126)
AGE
-0.035
(0.019)
-0.179
(0.108)
0.042
(0.023)
0.066
(0.125)
VOCATIONAL D.
0.149
(0.063)
UNIVERSITY D.
0.280
(0.185)
LOGINCOME
0.278
(0.068)
0.356
(0.233)
CHANGEINC
0.159
(0.073)
0.265
(0.160)
0.411
(0.039)
-2
UNEMPDURSQ*10
AGESQ*10
-2
No. of individuals
2290
538
333
, ,
. ,
. ,

2. ,
.

, :
(
0.059 0.015),
.
,
U-
:

.

, .

, .

,
,
, .
:
. ,

0.4020.245 = 0.65,

0.1180.175 = 0.29.
2
. 1, . 1.4.
334
12%
4% .
,
, .

, FE- ,
(Const, PREVDUR,
VOCATIONAL D., UNIVERSITY D.) , ,
, ,
,
5-
. FE- RE-
, .
3.13. -
- .
-
y it , yit > 0,
yit =
0 .
:
f ( yi1 , K , yiT xi1 , K , xiT , ) = f ( yit xit , i , ) f ( i )d i ,
t =1
1 i2
1
exp
f ( i ) =
,
2
2 2
2
335
1
1 y x T 2
it
it
i
exp
y it > 0,
,
2
2
2 2
f ( y it x it , i , ) =
x itT + i
, y it = 0.
1
( )

E ().
(bids)
(maturity),
,

.

, ,
.
,
,

, .

. ,
,
,
.
,
.
.

336
.
. ,
, ,
.

.
,

,
, ,
-.
275 ,
.
,
.
.
,
. 1995 . ,
33
.

, . , ,

. -,
(
). -
. 275 175
.
.
,
. , 1995 .
337
50 .
,
.

.
spread,

.
3,

.
term spread (
)
.
.

. ,
,
.
,
1995 .
,
-
underbidding, 1 ,
.
, ,
volatility, 4
EGARCH(1,1)
, t

3
4
., , [ (2004)].
., , [Verbeek (2000)].
338
t 1
+ t 1 .
t 1
t 1
.
,
. ,
, ,

.
reserve
fulfillment
.
(reserve holdings)

. ,
.
(
)
(maintenance period),
,
- end of period,
, .
maturing allotment ,

.
, .
large, medium, and small
, .

.

y it 1, i -
t - ,
ln t2 = + ln t21 +
339
, 0 . . 1
-
P{yit = 1 xit } = xitT ,

.
( )
1
Random Effects
term spread
underbidding
spread
volatility
reserve fulfillment
maturing
allotment
end of period
Size dummies
large
medium
small
Pseudo-R2
No. of
observations
No. of groups
Conditional FE
Coef. Estimate
Coef. Estimate
Marginal Effect
8.19 (5.16)
0.36 (1.20)
-11.57 (-6.82)
-0.19 (-2.08)
0.68 (0.55)
0.879
-1.242
-0.020
-
8.70 (5.48)
0.30 (0.97)
-12.14 (-7.14)
- 0.20 (-2.18)
1.11 (0.90)
0.13 (22.24)
0.014
0.11 (19.15)
0.74 (6.28)
0.060
0.76 (6.41)
2.51 (1.57)
-8.98 (-3.43)
-12.70 (-4.82)
0.1142
0.1048
8525
275
4495
145
t-.
. FE-
,
. -R2 ,
1, . 1.3.
. 1 RE- FE-.
RE- ,
340

.
(. . 1.4. 1), -
,
,
. , . 1

,

. , 0.060
end of period ,

, (
) ,
, , ,
6%.
,

. ,
,
,
term spread
.

underbidding ,

.
spread
.
,
, ,
, .
maturing allotment

341
, ,
.

end of period
,

.
,
, ,
, .

,
.
reserve fulfillment :
.
volatility, t -
5% .
,
,
,
.. ,
,
.
RE-
. 2.
P-

.
342
2
Coef.
Estimate
H0:

(p-)
term spread
large banks
20.36(0.98)
medium banks
0.74 (0.31)
0.0002
small banks
14.02 (6.45)
underbidding
large banks
0.19 (0.08)
medium banks
0.12 (0.26)
0.7285
small banks
0.60 (1.45)
spread
large banks -20.71 (-0.92)
medium banks
-4.65 (-1.84)
0.0018
small banks -16.81 (-7.17)
volatility
large banks
-1.24 (-1.06)
medium banks
-0.13 (-0.96)
0.5788
small banks
-0.24 (-1.92)
reserve fulfillment
large banks
1.60 (0.12)
medium banks
-1.23 (-0.67)
0.3998
small banks
2.17 (1.26)
maturing allotment
large banks
0.02 (0.40)
medium banks
0.12 (13.67)
0.0187
small banks
0.15 (17.27)
end of period
large banks
1.07 (0.71)
medium banks
0.66 (3.59)
0.8521
small banks
0.78 (5.00)
Size dummies
large
-6.23 (-0.40)
0.1123
medium
-1.75 (-0.79)
small
-8.12 (-3.89)
Pseudo-R2
0.1094
No. of observations
8525
No. of groups
275
t-.
H0:
(p-)
0.0000
0.5392
0.0000
0.1260
0.5626
0.0000
0.0000
0.0000
343

(term spread)
(spread).

. maturing allotment
,
.
,
.
. 2 P-
. ,
, - ,
,
(.1). ,

.

,
.

, (
)

. ,
-.
k -
E {y it x it }
xT
= it k .
x k ,it

. 3
.
344
. 3
GLS- RE-,
, .
3
term spread
underbidding
spread
volatility
reserve fulfillment
maturing
allotment
end of period
Size dummies
large
medium
small
constant
Pseudo-R2
No. of
observations
No. of groups
Tobit
Coef. Estimate
Tobit
Marginal
Effect
Random Effects GLS

Coef. Estimate
11.59 (4.23)
0.32 (0.61)
-16.55 (-7.82)
-0.24 (-1.50)
1.32 (0.61)
1.00
-1.43
-
1.43 (4.27)
0.05 (1.97)
-1.94 (-5.40)
-0.01 (0.38)
-0.67 (2.39)
0.23 (20.41)
0.02
0.01 (7.39)
0.93 (4.61)
0.08
-0.08 (-1.13)
3.95 (1.50)
-8.98 (-3.43)
-12.70 (-4.82)
0.161
-3.46 (-5.10)
-4.80 (-7.14)
21.01 (28.61)
0.062
8525
275
2625
275
t-.
. RE GLS- 5900
.

-
RE-.

volatility underbidding,
term spread, spread, maturing
allotment
- end of period.
underbidding ,
345

. , ,

.
. 4
-,
-, .
4
Coef.
Estimate
term spread
large banks
medium banks
small banks
underbidding
large banks
medium banks
small banks
spread
large banks
medium banks
small banks
volatility
large banks
medium banks
small banks
reserve fulfillment
large banks
medium banks
small banks
maturing allotment
large banks
medium banks
small banks
period end dummy
large banks
H0:

(p-)
H0:
(p-)
5.19 (0.74)
1.82 (0.89)
12.91 (6.63)
0.0004
0.0000
-0.70 (-0.55)
-0.01 (-0.04)
0.42 (1.06)
0.5847
0.7014
-5.64 (-0.75)
-6.15 (-2.82)
-15.30 (-7.37)
0.0076
0.0000
-0.23 (-0.57)
-0.36 (-0.30)
-0.31 (-2.78)
0.2357
0.0428
0.09 (0.02)
-0.57 (-0.36)
2.02 (1.29)
0.5056
0.6187
0.03 (1.48)
0.13 (17.90)
0.20 (23.57)
0.0000
0.0000
0.09 (0.18)
346
medium banks
0.59 (3.91)
0.5445
0.0000
small banks
0.67 (4.77)
Size dummies
large
4.78 (0.74)
0.0103
0.0001
medium
-1.99 (-1.04)
small
-8.34 (-4.40)
Pseudo-R2
0.228
No. of observations
8525
No. of groups
275
t-. 5900
.

(term spread),
(spread) maturing allotment.
4.

, ,

,
, , [ (2004)].
.
N y1t , K , y Nt ,1
1, ,
, y jt ~ I(1), j = 1,K, N .
= ( 1 , K , N ) , ,
1 y1t + K + N y Nt ~ I(0) ,
( )2;
.
c = E 1 y1t + K + N y N t ,
T

1 y1t + K + N y N t = c .
()
. ,
. 2, ,
.
2
.
348
,

z t = 1 y1t + K + N y N t c .
zt , ,
, ,
, ..
.
, , ,
I(1)
.

y1t , K , y Nt r , r
. , N
, r = 1,K , N 1 .
(, , r = 0 .
r = N ,
N .)
I(1)
r - ,

.
r

,
,
, .
I(1) y1t , K , y Nt
r

VAR( p + 1 ) p + 1 (VAR
vector autoregression). VAR
ECM ( )
349
y1 t = 1 + 11 z1, t 1 + K + 1r zr , t 1 +
+ ( 11, j y1, t j + K + 1N , j y N , t j ) + 1 t ,
p
j =1
..
y N t = N + N 1 z1, t 1 + K + N r z r , t 1 +
+ ( N 1, j y1, t j + K + NN , j y N , t j ) + N t ,
p
j =1
z1t ,K , zrt I(0) ,

(1) , K , ( r ) ,
(11 ,K, N 1 )T ,K, (1r ,K, Nr )T

( ).

yt = + T yt 1 + 1 yt 1 + K + p yt p + t
1 ,K, p N N ,
(N r ) -
r . (1) , K, ( r )
,
ij

z1,t 1 = (T1) yt 1 ,K, zr ,t 1 = (Tr ) yt 1
( t 1 r
y1t , K , y Nt )
y1t ,K, y Nt .
(UECM
unrestricted error correction model).
350
VAR
,
(1) , K, ( r )

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

, ,
.
,
VAR
y1t , K , y Nt . ECM,
VAR,
y1 t ,K, y N t .

(y1t ,K, y Nt )

,
.
, VAR
(SVAR structural vector autoregression)
ECM (SECM structural error correction
model).
y1t , y2t ,
yt = ( y1t , y2t ) ,
ECM:
T
351
y1 t = 12y2t + 11 y1,t 1 + 12 y2,t 1 +
+ a11 11y1,t 1 + 21y2,t 1 + a12 12y1,t 1 + 22y2,t 1 + 1t ,
y2 t = 21y1t + 21
y1,t 1 + 22
y2,t 1 +
+ a21 11y1,t 1 + 21y2,t 1 + a22 12y1,t 1 + 22y2,t 1 + 2t ,
= 11
21
12 11 12
a12
a
, a = 11
,
, 1 =

22
a21 a22
21 22
12

1
, t = 1t ,
=
1
21
2t
ECM :
yt = 1yt 1 + a T yt 1 + t .
1 ,
ECM:
yt = 1yt 1 + T yt 1 + t ,
1 = 11 , = 1a, t = 1 t .
1 12
,
(1 12 21 ) 21 1
, , = 1 12 21 , :
1 =
11 = ( 11 + 12 21
),
12 = ( 12 + 12 22 ) ,
21 = ( 21
+ 21 11 ) ,
22 = ( 22
+ 21 12 ) ,
352
1 1 12 a11 a12
,
21 1 a21 a22
11 = (a11 + 12 a21 ) , 12 = (a12 + 12 a22 ) ,
21 = (a21 + 21a11 ) , 22 = (a22 + 21a11 ) .
ECM
, :
1 ;
1 ;
a ;
.

. , y1t , y2t ~ I(1) ,
. (11 , 21 ) ,
12 = 22 = 0, 12 = 22 = 0,
.
ECM :
yt = 1yt 1 + K + pyt p + a T yt 1 + t ,
T

N N . 1 ,
ECM:
yt = 1yt 1 + K + p yt p + T yt 1 + t ,
j = 1j , = 1a, t = 1 t .
T yt 1 , ..
,
( ECM)
ECM: = 1a.
,
SECM ,
353

ECM. ,
SECM
ECM.

ECM
,
, ..
, 1 , K , p , a .
ECM ,
,
ECM.

.
, EVIEWS,
,
1 < r < N , N r
( )
(common trends), ,
r
N r + 1
. ,
r

354
0
11 0
0
0 22
M
M M
0 , 0 , K , rr .
r , r +1
1, r +1 2,r +1
M
M M
1k 2 k
r k
, ,
,
r + 1,K, N .
EVIEWS
, j -
jj ,
r :
0
1 0

0
0 1
M
M M
0 , 0 , K , 1 .

r , r +1
1, r +1 2, r +1
M
M M

1N 2 N
r, N
r -
r .
, , ,
(, ,
, ).
, :
355

,

..
, ..
.
,

.
, .
,
r
r r 1
.
.
, ,
,
r
, , , 1
2 ,K, r . ,
,
r .
,
.
i - ri
, :
.
:
Ri i = 0,
Ri ri N ri .
:
356
i = H ii ,
H i N (N ri ) N ri , i
(N ri ) 1.
Ri H i = 0,
.. Ri H i .
IS/LM,
:
mt = ln M t , M t ,
inct = GDPt , GDPt ,
pt = ln Pt , Pt GDP,
rt s ,
rtb .
1,
r = 3
t .

11
12
13

21
22
23

1 = 31 , 2 = 32 , 3 = 33 ,
41
42
43

51
52
53

61
62
63

z1t = 11mt + 21inct + 31 pt + 41rt s + 51rtb + 61t ,
z2t = 12 mt + 22inct + 32 pt + 42 rt s + 52 rtb + 62t ,
z3t = 13mt + 23inct + 33 pt + 43rt s + 53rtb + 63t.
,
, .
357

, , ..
mt pt = f1 inct , rt s , t ,
mt pt , inct , rt s , t
rtb ,
z1t = 11mt + 21inct 11 pt + 41rt + 61t.

s
1 : 31 = 11 , 51 = 0.
R11 = 0 ( ),
1 0 1 0 0 0
,
R1 =
0 0 0 0 1 0
1 = H11 ,
0
1
H1 =
0
0
0
0 0 0
11
1 0 0
11
21

0 0 0
, 1 = 21 , 1 = 11 .

31
0 1 0
31

0 0 0
41
0

0 0 1
41
, R1H 1 = 0.
rt s rtb
, ..
rt s rtb = f1 (mt , inct , pt ) ,
rt s rtb , mt , inct , p t
t ,
z2t = 12 mt + 22inct + 32 pt + 42 rt s 42 rtb .
2 : 52 = 42 , 62 = 0.
R2 2 = 0 ( ),
358
0 0 0 1 1 0
,
R2 =
0 0 0 0 0 1
2 = H 22 ,
1
0
0
H2 =
0
0
0
0
12
1 0 0
12
22

0 1 0
, 2 = 22 , 2 = 32 .

0 0 1
42
32
0 0 1
42
42
0
0 0 0
rtb
mt , pt t ,
0 0
rtb , mt , pt t
inct rt s ,
z3t = 13mt + 33 pt + 53rtb + 63t.
3 : 23 = 0, 43 = 0.
R3 3 = 0 ( ),
0 1 0 0 0 0
,
R3 =
0 0 0 1 0 0
3 = H 33 ,
0
0
=
0
0
0
0
1
0
0
0
13

0
13
0

0
, = 23 , = 23 .
3
0 3 33
0
0
43
33

1
43
359

1 < r < N

. r = 2, 3
(., , [Patterson (2000)]).
r = 2 1 , 2
, :
rank (R1 H 2 ) 1 , rank (R2 H1 ) 1 .
r = 3 1 , 2 , 3
, :
rank (Ri H j ) 1, i j , i, j = 1, 2,3, (6 )
rank (R1 [H 2 , H 3 ]) 2, rank (R2 [H 1 , H 3 ]) 2, rank (R3 [H1 , H 2 ]) 2.

, r = 3. :
1 0 1 0
1
, R1H 3 =
R1H 2 =
0 0 0 1
0
0 0 1 0
0
, R2 H 3 =
R2 H1 =
0 0 0 1
0
0 1 0 0
0
, R3 H 2 =
R3 H 1 =
0 0 1 0
0
6 2>1,
. ,
0 1 0
,
0 1 0
0 1 0
,
0 0 1
1 0 0
.
0 0 1

0
1 0 1 0 0 0 0
R1 [H 2 , H 3 ] =
0 0 0 0 1 0 0
0
0
360
0 0
1 0
0 1
0 0
0 0
0 0
1 0 0 0
0 0 0 0 0
0 0 1 0 0
=
1 0 0 0 0
1 0 0 1 0
0 0 0 0 1
0
1 0 1 0 1 1 0
=
0 0 0 1 0 0 1
1
0
0 0 0 1 1 0 1
R2 [H1 , H 3 ] =
0 0 0 0 0 1 0
0
0
0
0
1
0
0
0
1
=
0 0 0 1 0 0 0
0
,
0
0 0 0 1 0 0 0
1 0 0 0 0 0 0
0 0 0 0 1 0 0
=
0 1 0 0 0 0 0
0 0 0 0 0 1 0
0 0 1 0 0 0 1
0
,
1
0
0 1 0 0 0 0 1
R3 [H1 , H 2 ] =
0 0 0 1 0 0 0
0
0
0 1 0 0 0 1 0
=
0 0 1 0 0 0 0
0 0 0 1 0 0
1 0 0 0 1 0
0 0 0 0 0 1
0 1 0 0 0 0
0 0 0 0 0 0
0 0 1 0 0 0
0
.
1
0
0
=
1
1
0
361
2,
. , 1 , 2 , 3
.
r ,
r 1
. ,
r 1 ,
.
r 1 ,
.

,
1 , 2 ,K, r .
, ,
[Johansen, Juselius (1994)],
1 , 2 , 3 .
1 inct , mt pt
,
.

.
1 0 1 0 0 0
R1 = 0 0 0 1 0 0 .
0 0 0 0 1 0
2
rt s rtb ,
;
362
. :
. R2 :
1
0
R2 = 0
0 0 0 0 0
1 0 0 0 0
0 1 0 0 0 .
0 0 1 1 0
0 0 0 0 1
, 3 mt , inct
rt s ; rtb . :

. R3 :
1 0 0 0 0 0
R3 = 0 1 0 0 0 0 .
0 0 0 1 0 0
1
2
3
-
3
-
1
11
H 0
-,
[Johansen, Juselius (1994)].
H0

- q , q
363
. H 0
.
H 0 ,

, -
,
,
.

, :

,
;

ij .

3.5; ,
0.05, 02.95 (5) = 11.07 ,
5
.
,
,
ECM
yt = T yt 1 + 1 yt 1 + K + p yt p + t ,
, ,
1 , 2 , K , r .
ECM
yt = 1yt 1 + K + pyt p + a T yt 1 + t
364

1 , 2 ,K, r .
, 1 , K , p , a
;
y t
yt 1
,1 ,K, p ,a M = t ,
yt p
T
yt 1
AT Z t = t ,
AT = ,1 ,K,p ,a N ( N + pN + rN ) ,
y t
yt 1
Zt = M
(N + pN + rN ) 1 -
yt p
T
yt 1
.
AT , .. A ,
. ,
i - i -
Ai A N 1
Ri Ai = 0 ( )
Ai = H ii ( ), Ri H i = 0.
2, i -
365
;
(, FIML).
ECM (SECM) ECM
, SECM.
ECM
IS/LM,
. [Johansen, Juselius (1994)]

( , III . 1975 . I . 1991 .).
ECM 11
,
VAR
2,
i i :
mt
0.193
inct
pt
0.193
rt
rt
t
0.005
0.009
0.488
mt
inct
0.030
0.159
0.569
0.458
0.001
0.405
pt
0.325
0.039
0.054
rt
0.337
0.008
0.168
rt
0.109
0.023
0.213
366

,
- D84t , 1 I . 1984
. I . 1991 .,
,
. ECM
z1,t 1 , z2,t 1 , z3,t 1
ecm1t 1 , ecm2t 1 , ecm3t 1 ,
ecm1t = inct 0.193(mt pt ) 0.005t 0.027 D84t 8.43,
ecm2t = rt s rtb + 0.00967 D84t + 0.03,
ecm3t = rt 0.488( pt 0.019t ) 0.008 D84t 0.52 .

,
ECM -
, ECM.
ECM
mt , inct , pt , rt s rtb . ,
, .

:
b
mt
inct
pt
rt s
rtb
mt
0.29
0.20
0.10
0.10
inct
pt
0.29
0.35
0.18
0.00
0.12
0.10
0.20
0.35
0.10
0.18
0.12
0.65
rtb
0.10
0.00
0.10
0.65
rt
, Johansen Juselius
,
. , VAR
367
2, ECM
, ,
. , ECM
: mt ,
inct , pt , rt s , rtb , mt 1 , inct 1 , pt 1 , rt s1 , rtb1 , ecm1t 1 , ecm2t 1 ,
ecm3t 1 , 5 ( mt , inct , pt , rt s
rtb ) 12 ,
.
()
.

5 1 = 4 . ,
,
,
, , ..
,
.
Johansen
Juselius 4
,
:
mt
rt s
inct
rtb
inct 1
inct
rt s
pt
rtb
rtb1
pt
rtb
pt 1
rt s1
rtb1
rt s
rt s1
inct 1
pt 1
rtb1
rtb
inct
mt
pt
rtb1
368

( t-)
.
, Johansen Juselius
5 ,
mt , inct , rt s ,
pt rtb .
, , ..
,
,
.
:
mt
1
mt
inct
rts 0
pt 0
rbt 0
mt
inct
rts
pt
rbt
rts
0
0
1
0
0
inct
0
1
0
0
0
pt
0
1
0
rbt mt-1
0
0
0
0
1
inct-1
0
0
0
0
0
rst-1 pt-1 rbt-1

0
0
0
0
0
0
0
0
ecm1t-1 ecm2t-1 ecm3t-1

0
0
0
0

7+7+5=19 ( 19
).
( 3 1 = 2 ) .
, : 5
, 5 3
13 .
369
SECM
( t-
):
mt
mt
1
inct 0.25
(1.1)
rts
inct
rts
1
1
pt
ecm1t-1
pt
rbt
mt-1
0.31
(2.9)
1.10
(6.5)
0.21
(3.0)
0.08
(0.8)
0.08
(1.7)
mt
rts
rbt
rbt
inct
pt
0.35
(2.6)
0.31
(2.0)
0.44
(4.1)
0.19
(2.8)
0.20
(2.2)
0.12
(3.0)
ecm2t-1
0.20
(2.3)
0.28
(4.7)
0.12
(1.4)
rst-1 pt-1
0.41
(3.4)
0.17
(1.3)
0.34 0.24
(3.2) (2.8)
0.13
(1.0)
rbt-1
0.45
(2.1)
ecm3t-1
0.55
(3.6)
0.28
(1.3)
0.48
(3.4)
0.09
(1.3)
, SECM :
mt = 0.35pt + 0.31mt 1 + 0.41pt 1 + 0.20ecm2t 1 0.55ecm3t 1 ,
inc = 0.25mt + 0.31pt + 0.17rt s1 0.44ecm1t 1 + 0.28ecm3t 1 ,
rt s = 1.10rtb + 0.21mt 1 + 0.34rt s1 0.24pt 1 0.45rtb1 +
+ 0.19ecm1t 1 0.28ecm2 t 1 ,
370
p t = 0.08mt 1 0.13p t 1 + 0.20ecm1t 1 0.12ecm2 t 1 +

+ 0.48ecm3t 1
rtb1 = 0.08mt 1 + 0.12ecm1t 1 0.09ecm3t 1 .

.

,
.
4.82,
02.95 (13) = 22.36 ,
.
, SECM
a :
0 . 25
= 0
0 . 35
1
0
0
0
1
0
0 . 31
0
1
0
1 .1 ,
0 .2
0.55
0
0
0.28
0.44
a = 0.19 0.28
0 .
0.20 0.12 0.48
0
0.09
0.12

= 1a .
:
mt
inct
pt
rt
371
ECM
0.070
0.158
0.382
ECM
( )
0.030
0.159
0.360
0.002
0.333
0.458
0.001
0.405
0.322
0.280
0.100
0.325
0.039
0.054
0.200
0.120
0.480
0.337
0.008
0.168
0.569
0.120
0.000
0.090
0.109
0.023
0.213
rtb
SECM
ecm1t , ecm 2t , ecm3t ,
ij
.
[Johansen, Juselius (1994)]
,

,
.
1. .. (2000) . ., .
2. .. (2004) .
. ., .
3. .. (2004) . ., .
4. Aldrich J.H., F.D. Nelson (1984) Linear Probability, Logit, and
Probit Models. Beverly Hills: Sage.
5. Amemiya T. (1985) Advanced Econometrics. Blackwell, Oxford.
6. Arellano M., S. Bond (1991) "Some Tests of Specification for
Panel Data: Monte-Carlo Evidence and an Application to
Employment Equations", Review of Economic Studies, 58, 277294.
7. Davidson R., J.G. MacKinnon (1993) Estimation and Inference in
Econometrics. Oxford University Press, Oxford.
8. Godfrey L.G., J. Hutton (1994) Discriminating between errors-invariables/simultaneity and misspecification in linear regression
models, Economic Letters, 44, 359364.
9. Green W.H. (1993) Econometric Analysis. 2rd edition, Macmillan,
New York.
10. Hausman J. A. (1978) Specification tests in econometrics,
Econometrica, 46, 12511271.
11. Hosmer D.W., S. Lemeshow (1989) Applied Logistic Regression.
Wiley, New York.
12. Johansen S., K. Juselius (1994) Identification of the Long-run and
Short-run Structure. An Application to the IS/LM Model., J. of
Econometrics, 63, 736.
13. Patterson K. (2000) An Introduction to Applied Econometrics: A
Time Series Approach. New York: Sts Martin Press.
373
14. Sawa, T. (1969) The Exact Finite Sampling Distribution of

Ordinary Least Squares and Two-Stage Least Squares Estimators,
Journal of the American Statistical Association, 64, 923936.
15. Schmidt P. (1976) Econometrics. New York, Marcel Dekker.
16. Spencer D., K. Berk (1981) A Limited Information Specification
Test, Econometrica, 49, 10791085.
17. Staiger, D., J.H. Stock (1997) Instrumental Variables Regression
with Weak Instruments, Econometrica, 65, N3, 557586.
18. Verbeek M. (2000) Modern Econometrics. Wiley, Chichester.
, 18
-, 21
-, 32
, 41
-, 20
, 19, 315

LRI, 27
McFaddens R2, 27
, 25
-R2, 27
-, 20
, 42
, 45, 316
, 40
, 41
, 30
, 19, 315
, 316
- , 319
- , 323

, 281
, 257

, 233
, 17, 216, 226

, 226
-, 239

, 347
, 348
, 348
, 347
, 348
, 36
, 347
, 348
, 118
, 100
, 100
VAR, 348
(ECM), 348
, 349

, 350

, 260
, 259
, 259
, 43
, 37
-, 253
, 118, 301
, 302
, 19
375
376
, 19
, 19

OLS , 243
, 297
- , 292
, 227
, 225
, 250
, 265
, 225
, 213
, 243
, 294
, 250
, 285
-, 56, 57
, 58
, 61
, 303
, 304
, 106, 227
, 229, 255

, 102

, 123, 160
, 159
, 175
, 173
, 168
, 170

, 106
, 213
, 284
, 284
, 10
, 10
, 10
, 118
, 10, 313
, 118
, 118
-, 48
, 49
, 50
, 49

-, 37

c A, 102
c A, 104
c C, 104
n- , 100
, 20
, 20
(), 21
(), 56

, 113
, 113
II-
377
378
, 90
, 90
, 88
, 92
I-
, 88, 89
-
, 74
, 74
, 71
- , 334
-, 57, 66
, 71
, 37
, 276
, 248, 276
, 249
, 243

- ,
-
. ...
50 :
: ,
, , ,
:
, ,
.
1994 .
- ,
.
: .
: .
: .
10.11.05
500 .
125993, , ., 5
. (095) 2296736,
FAX (095) 2038816
E-MAIL info@iet.ru,
WEB Site http://www.iet.ru
, 2005

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..

Nosko V.P. Econometrics for Beginners (Additional Chapters)

JEL Classification: 50, 51, 52, 53

E ( y i xi ) = 1 xi1 + L + p xip = xiT ,

E ( y i xi ) = 1 P{y i = 1 xi } + 0 P{y i = 0 xi } = P{y i = 1 xi } .

= xiT xi = P{y i = 0 xi } = 1 xiT .

1 xi1 + L + p xip = xiT ,

Coefficient Std. Error

Coefficient Std. Error

Coefficient Std. Error

y i = 1 xi1 + L + p xip , y = ( y1 + L + yn ) n . ( TSS ,

0 < G xiT < 1 ,

- P{yi = 1 xi } = xiT = (1 xi1 + K + p xip ) .

P{yi = 1 xi } xiT 1 xiT k xik .

= P i > i 1 xi1 L p xip xi ,

P{y i = 1 x i } = P{ i > ( i 1 ) ( 2 xi 2 + L + p xip ) xi }.

Akaike info criterion

Akaike info criterion

02.95 (2) = 5.99 ,

Akaike info criterion

i ,1 < L < i , k < L < i , K 1 , ,

= P 1 < 1 xi1 + L + p xip + i 2 xi =

P{yi = 3 xi } = P yi > 2 xi = P 1 xi1 + L + p xip + i > 2 xi =

yi = 2, 3.693723 < y i 6.306692 ,

uik = 1 xi1, k + L + p xip , k + ik = xikT + ik , i = 1, K , n ,

xik = xi1, k , K , xip , k

P{yi = k } = P uik = max uij = P xikT + ik > max xijT + ij .

- (conditional logit model),

exp vikT + wiT

(xi , price _ observed i ) , xi

Coefficient Std. Error

Coefficient Std. Error

Mean dependent var

E y i xij , j = 1,K, p = 1 xi1 + L + p xip ,

xi = ( xi1 , K, xip )T , = (1 ,K, p )T .

Coefficient Std. Error

Coefficient Std. Error

Coefficient Std. Error

E {yi hi = 1} = x1Ti1 + E {1i hi = 1} = x1Ti1 + E 1i 2i > x2Ti 2 =

i = x2Ti 2 = x2Ti 2 x2Ti 2 .

L(1 , 2 , 1 , 12 ) = (P{hi = 0})1hi (P{hi = 1} f ( yi hi = 1)) i ,

pricei = 4000 + 6 xi + 1i , 11 , K, 1,1000 ~ i.i.d. N (0,1000 2 ) .

(11 , 21 ),K, (1,1000 , 2,1000 )

22 = 0.00445 ; 1 = 1000, 2 = 1, 12 = 707.

Cov(i , j) = E(i E(i))(j E(j))

E( ) = E ((XTX) 1XT(X + )) = E ((XTX) 1XTX ) + E ((XTX) 1XT ) =

(n p)S2/2, S2 = RSS/(n p),

Cov( i , xkj ) = E ( i E ( i ))(xkj E (xkj )) = E ( i )(xkj E (xkj )) =

2 > 0 0 < < 1 ,

(Yt Y )(I t I ) (Yt Y )(I t I )

, 2SLS (two-stage least squares).

(Qt , Pt ) = (1, Yt , Rt ) 21 22 + (wt1 , wt 2 ) .

11 yt1 + K + g1 ytg = 11 xt1 + K + K 1 xtK + ut1 ,

yt1 11 + K + ytg g1 = xt111 + K + xtK K 1 + ut1 ,

yt = ( yt1 ,K , ytg ) , xt = ( xt1 , K , xtK ) , ut = (ut1 , K , utg ) .

rank (1 ) = rank (11 ) = rank ( b1 ) = 1 = g 1 ,

5 : Qtd , Qts , Pt ,1, Yt .

rank (1 ) = rank (0 1 1) = 1 < g 1 = 2 ,

yt = ( yt1 ,K, ytg ) , xt = ( xt1 , K, xtK ) , ut = (ut1 , K , utg )

E (ut ) = 0 , Cov utT ut = (Cov(uti , utj )) = = ( ij ) ,

= (ij ) = Cov wtT wt = (Cov (wti , wtj ))

a21 yt1 + a22 yt 2 + a23 yt 3 = a24 xt1 + a25 xt 2 + ut 2 ,

(ILS indirect least