總體經濟時間序列分析
授課老師：林向愷
研究室：經研所 316 室
聯絡電話：2351-9641 轉 669 或 0952-068664
I. 課程目標
本課程為總體經濟時間序列的計量分析 (econometric analysis of
macroeconomic time series) 而非統計分析。本課程著重時間序列模型 (尤其
是向量自迴歸模型) 的認定與估計。時間序列模型需要額外條件才能讓模
型得以認定。第一種方法是以結構性向量自迴歸模型 (structural VAR model)
為架構，並透過額外認定條件賦予干擾項經濟意義。這種方法主要係藉由經
濟理論對干擾項變異數，共變異數矩陣中待定係數找出認定所需的額外條
件。由於額外條件僅讓結構性向量自迴歸模型足以認定 (just identified)，故
有無法利用統計檢定方法檢驗認定這些條件是否成立缺點。第二種方法則是
利用完整設定的經濟模型以及理性預期假設說導出對模型待估的結構性參
數 (structural parameters) 的跨式限制條件 (cross-equation restrictions)。
介紹不同類型認定條件後，本課程亦將介紹如何估計結構性時間序列模
型以及檢定不同型式的限制條件。
II. 課程內容
1. 結構性向量自迴歸模型
Ahmed, S., Ickes, B.W., Wang, P. and Yoo, B.S. (1993).
“International Business Cycles.”
American Economic Review, 83:335-359.
Benassy, Jean-Pascal (1995). “Money and Wage Contracts in an Optimizing Model of the
Business Cycle.” Journal of Monetary Economics. 35:303-315.
Bernanke, B. (1986). “Alternative Explanations of the Money-Income
Correlation.”Carnegie-Rochester Conference Series on Public Policy, 25:49-100.
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Blanchard, O.J. (1989). “A Traditional Interpretation of Macroeconomic Fluctuations.”
American Economic Review. 79:1146-64.
Blanchard, O.J. and Quah, D. (1989). “The Dynamic Effect of Aggregate Demand
and Supply Disturbances.” American Economic Review. 79:655-673.
Blanchard, O.J and Perotti, R. (2002). “An Empirical Characterization of the
Dynamic Effects of Changes in Government Spending and Taxes on Output.”
Quarterly Journal of Economics. 117:1329-1368.
Cogley, Timothy and Nason, James M. (1993). “Impulse Dynamics and Propagation
Mechanism in a Real Business Cycle Model.” Economics Letter. 43(4):77-81.
Cogley, Timothy and Nason, James M. (1995). “Output Dynamics in Real-Business-Cycle
Models.” The American Economic Review. 85(3):492-511.
Cooley, T.F. and Dwyer, M. (1998). “Business Cycle Analysis without Much Theory: A
Look at Structural VARs.” Journal of Econometrics. 83:57-88.
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Journal of Economics. 709-738.
Gali, Jordi (1994). “Government Size and Macroeconomic Stability.” European Economic
Review. 38(1):117-32.
Gali, Jordi (1999). “Technology, Employment, and the Business Cycle: Do
Technology Shocks Explain Aggregate Fluctuations?” The American Economic
Review. 89(1):249-271.
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Simulated Macroeconomic Models.” Journal of Business and Economic Statistics.
9(3):297-303.
Keating, J.W. (1990). “Identifying VAR Models under Rational Expectations Models.”
Journal of Monetary Economics. 25:453-476.
King, R.G. and Plosser, C.I. (1984). “Money, Credit and Prices in a Real Business Cycle.”
American Economic Review. 74:195-232.
King, Robert G. and Watson, Mark W. (1994). “The Post-War U.S. Phillips Curve: A
Revisionist Econometric History.” Carnegie-Rochester Conference Series on Public
Policy. 41:157-220.
King, Robert G. and Watson, Mark W. (1996). “Money Prices, Interest Rates and the
Business Cycle.” Review of Economics and Statistics. 78(1):35-53.
King, R.G., Plosser, C.I., Stock, J. and Watson, M. (1991). “Stochastic Trend and
Economic Fluctuations.” American Economic Review. 81:819-846.
Leamer, Edward E. (1985). “Vector Autoregressions for Causal Inference?” in K.
Brunner and A. Meltzer, eds., Understanding Monetary Regimes,
Carnegie-Rochester Conference Series on Public Policy (North-Holland,
Amsterdam). 255-303.
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Lippi, Marco and Reichlin, Lucrezia (1993). “The Dynamic Effects of Aggregate
Demand and Supply Disturbances: Comment.” The American Economic Review.
83(3): 642-658.
Litterman, R.B. and Weiss, L. (1985). “Money, Real Interest Rates, and
Output: A Reinterpretation of Postwar U.S. Data,” Econometrica, 53(1): 129-156.
McCallum, B.T. (1983). “A Reconsideration of Sim’s Evidence Concerning
Monetarism.”
Economic Letters. 13:167-171.
Sims, C.A. (1972). “Money, Income and Causality.” The American Economic Review,
LXII(4): 540-552.
Rotemberg, Julio J. (1996). “Prices, Output, and Hours: An Empirical Analysis Based
on a Sticky Price Model.” Journal of Monetary Economics. 37:505-533.
2. 變數外生性與政策分析
Chamberlain, Gary (1982). “The General Equivalence of Granger and Sims
Causality.” Econometrica. 50: 569-582.
Chang, P., and S. Sakata (2007). “Estimation of Impulse Response Functions Using
Long Autoregressions.” Econometrics Journal. 10: 453-469.
Cooley, T.F. and LeRoy, S.F. (1985). “Atheoretical Macroeconometrics: A Critique.”
Journal of Monetary Economics. 16: 283-308.
Engle, Robert E., David F. Hendry and Jean-Francois Richard (1983), “Exogeneity.”
Econometrica. 51: 277-304.
Koop, Gary, Pesaren, M. Hashem, and Potter, Simon M. (1996). “Impulse Response
Analysis in Nonlinear Multivariate Models.”
Journal of Econometrics.
74:119-147.
Jorda, O. (2005). “Estimation and Inference of Impulse Responses by Local
Projections,” American Economic Review. 95:161-182.
Kilian, L.(2001). “Impulse Response Analysis in Vector Autoregressions with
Unknown Lag Order.” Journal of Forecasting. 20:161-179.
Kilian, L. and Chang, P.-L. (2000). “How Accurate are Confidence Intervals for
Impulse Responses in Large VAR Models?” Ecnomics Letters. 69: 299-307.
Sargent, T.J. (1982). “Beyond Supply and Demand Curves in Macroeconomics.”
American Economic Review. 72(2): 382-389.
Sims, Christopher A. (1980a). “ Macroeconomics and Reality. ”
Econometrica.
48:1-47.
Sims, Christopher A. (1980b).“Comparison of Interwar and Postwar Business Cycles:
Monetarism Reconsidered.” American Economic Review. 70:250-259.
Sims, Christopher A. (1982). “Policy Analysis with Econometric Models.” Brookings
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Papers on Economic Activity.107-164.
Sims, C.A. (1986). “Are Forecasting Models Usable for Policy Analysis?” FRB of
Minneapolis Quarterly Review. 2-15.
Sims, Christopher A. (1989). “Models and Their Uses.” American Journal of
Agricultural Economics. 71(2):489-94.
Simon, Herbert A. (1953). Causal Ordering and Identifiably, Ch.III in William
C. Hood and Tjalling C. Koopmans, eds., Studies in Econometric Method.
New Heaven: Cowles Foundation.
Sims, Christopher A. (1989). “Macroeconomic and Methodology.” Journal of
Economic Perspectives. 10(1):105-20.
Rudebusch, G.D.(1992), “Trends and Random Walks in Macroeconomic Time Series: A
Re-Examination.” International Economic Review. 33: 661-680.
Runkle, D.E.(1987). “Vector Autoregression and Reality,” Journal of Business and
Economic Statistic. 5: 437-442.
Zellner, Arnold (1979). “Causality and econometrics, ” in K. Brunner and A. Meltzer,
eds., Three Aspects of Policy and Policymaking: Knowledge, Data and Institution,
Carnegie-Rochester Conference Series on Public Policy (North-Holland,
Amsterdam). 10:9-54.
3. 線性隨機差分方程與時間序列模型
Beveridge, S. and Nelson, C.R.(1981). “New Approach to Decomposition of Economic
Time Series into Permanent and Transitory Components with Particular
Allention to Measurement of the Business Cycles.” Journal of Monetary
Economics. 7(2):151-174.
Fernandez-Villaverde,J., Rubio-Ramirzz, J.F. and Sargent, T.J.(2004). “A.B.C’s (and
D)’s for Understanding VARS.” Manuscript.
Granger, C.W.J. (1969). “Investigating Causal Relations by Econometric Models and
Cross-Spectral Methods.” Econometrica. 37(5): 424-438.
Pesaran, H.Hashem and Shin, Yongcheol (1998). “Generalized Impulse Response
Analysis in Linear Multivariate Models.” Economics Letters. 58:17-29.
Jacobs, Rodney L., Leamer, Edward E. and Michael P. Ward (1979). “Difficulties
with Testing for Causation. ” Economic Inquiry. 401-413.
Nelson, Charles, R. (1979). “Granger Causality and the Natural Rate Hypothesis.”
Journal of Political Economy. 87:390-394.
Sargent, T.J.(1981). Lecture Notes on Linear Filtering and Control. Manuscript.
Sargent, T.J.(1987). Macroeconomic Theory, 2nd ed., Chapter XI. New York: Academic
Press.
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4. 理性預期模型：估計與認定
Eckstein, Z. (1984). “A Rational Expectation Model of Agricultural Supply.” Journal of
Political Economy. 92(1): 1-19.
Eichenbaum, Martin S. (1983). “A Rational Expectations Equilibrium Model of
Inventories of Finished Goods and Employment.” Journal of Monetary
Economics. 12:259-77.
Eichenbaum, Martin S. (1984). “Rational Expectations and the Smoothing
Properties of Inventories of Finished Goods.” Journal of Monetary
Economics. 14: 71-96.
Hansen, L.P. and Sargent, T.J. (1980). “Formulating and Estimating Dynamic Linear
Rational Expectations Models.” Journal of Economic Dynamics and Control.
2(1): 7-46.
Hansen, L.P. and Sargent, T.J.(1982). “Instrumental Variable procedure for estimating
Linear Rational Expectation Models.” Journal of Monetary Economics. 9:
263-296.
Hansen, L.P., Epple, D. and Roberds, W. (1985). “Linear-Quadratic Duopoly Models of
Resource Depletion.” in Energy, Foresight and Strategy, ed. by T.J. Sargent.
Washington D.C.: Resources for the Future.
Lin, Kenneth S. (1990). “Rational Expectations Econometrics: An Introductory Note.”
Manuscript.
Lucas, Robert E., Jr. and Prescott, Edward C.(1971). “Investment under Uncertainty.”
Econometrica. 39: 659-81.
Lucas, Robert E., Jr. and Sargent, T.J. (1980). “Rational Expectations and Econometric
Practice,” in Rational Expectations and Econometric Practice, ed. by R.E.
Lucas Jr. and T.J. Sargent. Minneapolis, MN: Univ. of Minnesota Press.
Sargent, T.J. (1981). “Interpreting Economic Time Series.” Journal of Political
Economy. 89:213-48.
Sargent, T.J. (1987). Macroeconomic Theory, 2nd ed., Chapter XII and XIV, New York:
Academic Press.
Sargent, T.J. (1989). “Two Models of Measurements and the Investment Accelerator.”
Journal of Political Economy. 97(2):251-287.
Townsend, R. (1983). “Forecasting the Forecasts of Others.” Journal of Political
Economy. 91(4): 546-588.
Whiteman, Charles (1983). Linear Rational Expectations Models: A User’s Guide.
Minneapolis, MN: University of Minneapolis Press.
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