jmulti，eviews，r套件vars 與書中輸出結果之比較
TRANSCRIPT
Microsoft Word - JMulTi 2 : VAR
JMulTi (
ˆ u ) R vars
( 2 ) 31
37 Coef.OLS
38 (39 ) Sigma.OLS (ddSigma.OLS)
44 loglike ( JMulTi
4 )
R vars
54 RCoef.ROLS (
)
56 RCoef.RFGLS ( 57 RCoef.RMLE)
68 RCoef1.RMLE
JMulTi ()
( 0.094, 0.047, 0.016 ) 76
Coef.OLS.Std ()
( 0.092, 0.047, 0.016 ) 78
RCoef.RFGLS.Std
( 0.092, 0.047, 0.016 ) 78
RCoef1.RFGLS.Std
t-ratio ( 1.07, 2.29, -3.69 ) 79
t.ratios
( block exogeneity Wald test) 82
Wald1$F
92 ( p = 2 )
103 forecast ()
115 IRF$std
120 ddTheta.Std
()
2 )
EViews
JMulTi SVAR
171 VAR.example.A
171 VAR.example.A (
)
173-174 BQ BQ$AB
JMulTi SVAR
181 ddTheta.A (
)
182 ddTheta.BQ
()
185 Dec.A (
) EViews
186 Dec.BQ
() EViews
100
190 Hist.Dec.A (
)
191 Hist.BQ (
)
project) 193 Hist.c0 (
)
JMulTi (
ˆ u ) R vars
( 2 ) 31
37 Coef.OLS
38 (39 ) Sigma.OLS (ddSigma.OLS)
44 loglike ( JMulTi
4 )
R vars
54 RCoef.ROLS (
)
56 RCoef.RFGLS ( 57 RCoef.RMLE)
68 RCoef1.RMLE
JMulTi ()
( 0.094, 0.047, 0.016 ) 76
Coef.OLS.Std ()
( 0.092, 0.047, 0.016 ) 78
RCoef.RFGLS.Std
( 0.092, 0.047, 0.016 ) 78
RCoef1.RFGLS.Std
t-ratio ( 1.07, 2.29, -3.69 ) 79
t.ratios
( block exogeneity Wald test) 82
Wald1$F
92 ( p = 2 )
103 forecast ()
115 IRF$std
120 ddTheta.Std
()
2 )
EViews
JMulTi SVAR
171 VAR.example.A
171 VAR.example.A (
)
173-174 BQ BQ$AB
JMulTi SVAR
181 ddTheta.A (
)
182 ddTheta.BQ
()
185 Dec.A (
) EViews
186 Dec.BQ
() EViews
100
190 Hist.Dec.A (
)
191 Hist.BQ (
)
project) 193 Hist.c0 (
)