/2003/008

2003

c , 2003 .

c , 2003 .

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

. . . . . . . . . . . . . . . . . . . . . . . . . .

II

5
7

. . . . . . . . . .

. . .

? . . . . . . . . 10

- . . . . . . . . . . . . . . 12

. . . . . . . . . . . . . . 14

. . . . 17

- . . . . . . . . . . . . . . . 20

III

22

. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22

. . . . . . . . . . . . . . . . . . . 22

- . . . . . . . . . . . . . . . . . . 24

. . . . . . . . . . . 25

. . . . . . . . . . . . . . 28

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

. . . . . . . . . . 33

, - . . . . . . . . . . . . . . . . 35

. . . . . . . . . . . . . . 36

10

- . . . . . . . . . . . . . . . . . . . . . . . 40

11

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

12

. . . . . . . . . . . . . . . . . . 42

IV

45

. . . . . . . . . . . . . . . . . . . . . . . . . 45

. . . . . . . . . . . . . . . . . . . . . . . . 47

. . . . . . . . . 48

. . . . . . . . . 53

. . . . . . . . . . . 56

? . . . . . . . . . . . . . . . . . 59

. . . . . . . . . . . . . . . . . . . . . 61

.
, . ,
. , ,
, . -
,
. ,
, -, . ,
, . , , GAUSS. , .
. . . - ,
().

1. Anatolyev, Stanislav Intermediate and Advanced Econometrics: Problems and Solutions, Lecture Notes series, New Economic School, 2005
2. Hayashi, Fumio Econometrics, Princeton University Press, 2000
3. Goldberger, Arthur A Course in Econometrics, Harvard University Press, 1991
4. Greene, William Econometric Analysis, Prentice Hall, 4th edition, 2000
5. Hamilton, James Time Series Analysis, Princeton University Press, 1994
6. Baltagi, Badi Econometric Analysis of Panel Data, John Wiley & Sons, 1995, 2001
7. Newey, Whitney and McFadden, Daniel Large sample estimation and hypothesis
testing, in: Handbook of Econometrics, volume 4, Elsevier Science, 1994

- ().
; ().
, .
:
= arg max E[h(z, q)],
q

q, k 1,
, h , z .
?
. , ,
. ,
y = g(x, ) + e,

E[e|x] = 0,

z = (x0 , y)0 , q = b, = , = R h(z, q) = (y g(x, b))2 ,

.
(: -
, , , , ).
z1 , . . . , zn .
n

1X
h(zi , q).
b = arg max
q n
i=1
1/n , .. .
. , .
. ,
- h. , ,
. , ,
p
b , .. ;

n(b ) N (0, Vb), .. ;

5

 , ,

Vb = (E[h ])1 E[h h ](E[h ])1 ,

h(z, )
2 h(z, )
h =
k 1, h =

q
q q 0
k k.
,
b = arg max
bR

n
X

(yi g(xi , b))2 .

i=1

max min, -.
,

((y g(x, b))2 |b= = 2(y g(x, ))g (x, ),

b
yg(x, ) , g (x, ) . ,
h =

Vb, E[h h0 ] = 4E[e2 g g0 ].

h =

2 g(x, )
0
[2(y

g(x,
b)g
(x,
b))]
=
2g
(x,
)g
(x,
)
+
2(y

g(x,
))
.
b
b=

b0
b b0

, E[e|x] = 0,
Vb = (E[g g0 ])1 E[g g0 e2 ](E[g g0 ])1 .
E[g g0 ] Qxx , E[g g0 e2 ] Qe2 xx .
. c ,
.. :
n
n
n
b
e
1 X h(zi , ) 1 X 2 h(zi , )
1 X h(zi , )

=
+
n(b ),
0=
q
q
n i=1 q q 0
n i=1
n i=1

b
e .
!1
n
n
2
X
e

h(z
,
)
1 X h(zi , )
i
b

n( ) =
.
n i=1 q q 0
q
n i=1
e
, , ,
n

e p
1 X 2 h(zi , )
E[h ],
n i=1 q q 0

1 X h(zi , ) d

N (0, E[h h0 ]).

q
n i=1

, Vb.
6

 ? ,
, , , (, , , h ).
:
1. . ,
. , , ,
( ) ( ).
,
E[h ] ;
, .
2. . , ..
. , .
, , .
3. . ,
,
,
.
,
().

II
1

. k 1: z f (z|), f (z|) (
).

b = arg max L(z1 , . . . , zn , q),
q

 L(z1 , . . . , zn , ) , (
) .
, z1 , . . . , zn , L(z1 , . . . , zn , q) :
b = arg max
q

Pn

i=1

n
Y

1X
log f (zi |q),
f (zi |q) = arg max
q n
i=1
i=1

log f (zi |q) = l(z1 , . . . , zn , q) .

,
:
= arg max E[log f (z|q)].
q

, .
( ). , f (z|q) 6= f (z|)
1 q 6= . E[log f (z|q)]
.
. : g(x)
, E[g(X)] < g(E[X]), X , . q , ,
:




f (z|q)
f (z|q)
< log E
=
E[log f (z|q)] E[log f (z|)] = E log
f (z|)
f (z|)

Z 
f (z|q)
= log
f (z|) dz = log 1 = 0.
f (z|)
. -
s(z, q)

log f (z|q)
.
q

( ). -
0:
E[s(z, )] = 0.
. = arg max E[log f (z|q)].
q

:
. k k
n

1X
s(zi , bZES ) = 0.
n i=1
8

, bZES -, , ,

, (: ?).

.

( ). :



s(z, q)
I(q) E
.
q 0
I() = E[s(z, )s(z, )0 ].
.
Z
1 = f (z|q) dz

q .

f (z|q) , . q:
Z
Z
f (z|q)
log f (z|q)
0=
dz =
f (z|q) dz.
q
q
q 0 :
Z 2
Z
log f (z|q)
log f (z|q) log f (z|q)
0=
f (z|q) dz +
f (z|q) dz.
0
q q
q
q 0
q = :



s(z, )
0=E
+ E[s(z, ) s(z, )0 ].
q 0

,
p
- : b ;

- :

n(b ) N (0, Vb);

-
0

Vb = (E[h ])1 E[h h ](E[h ])1 = (I())1 I()(I())1 = (I())1 .

, , ,
.

, :
!1
n
X
b
1
s(z
,
)
i
(1)
,
Vbb =
n i=1
q 0
,
n

(2)
Vbb

1X
b s(zi , )
b0
s(zi , )
n i=1

!1

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

:
(3)
Vbb

n
b
1 X s(zi , )
n i=1
q 0

!1

1X
b s(zi , )
b0
s(zi , )
n i=1

n
b
1 X s(zi , )
n i=1
q 0

!1

. ,
, . , .

, , .
1. z .
, .
. z U [0, ], ..

0, z < 0,
f (z|) =
1/, 0 6 z < ,

0, z > ,

10

 , z1 , . . . , zn .
 n Y
n
1
1[0 6 zi < q] max.
L(z1 , ...zn , q) =
06q
q
i=1
b = max{z1 , . . . , zn }.
, .
Fb(t) = P r{z1

0,
=
(t/)n ,

1,

6 t, . . . , zn 6 t} = (Fz (t))n =
t<0
06t<
t>

0, t < 0
1, 6 t

p
d
, b , , b , ..

. :


t
b
b
= Fb ( + t/n) =
Fn()
(t) = P r{n( ) 6 t} = P r 6 +
b
n

(
0,
+ t/n < 0

et/ , t < 0
=
(1 + t/n)n , 0 6 + t/n <

1, t > 0

1,
+ t/n >

d
, n(b) Exp(1/). , - -

, ( ).

2. k .
.
 
 

xi
i
2
N
, I2 ,
yi
i

i = 1, . . . , n,

.. 2n k = (n + 1)- . ,

bi =

xi + yi p
9 i ,
2

2
1 X
p
b2 =
(xi yi )2 .
4n i=1
2

3. , .
. :
(
N (, 2 ) 12 ,
z
N (0, 1) 12 .
11


q = (m, s2 ), = (, 2 ), = (, +) (0, +).
- :
f (z|m, s2 ) =

Qn

i=1

f > 0.

1 1
1 1
2
2
2

e(zm) /2s + ez /2 ,
2
2 2s
2 2

f (zi |m, s2 ) max

b = z1 , b2 0, f (z1 |b
, b2 ) >

-.
. b .

- .
b , ,
, ..

n(b ) N (0, Vb).

b :
(
b < n 14 ,
0, ||

b
=
b .
,

n(b )

0,

=0

N (0, Vb),

6= 0.

0, , ; .
, .. ,
.
.
= arg max E[h(z, q)]
q

h(z, q) 6= log f (z|q), , .

b
n
X
e
h(zi , q)
arg max
q

12

i=1

 . b e
, .
. :


h(z, )
E
= 0 .
q

, :
Z

h(z, )
f (z|) dz = 0,
q
Z 2
Z
h(z, )
h(z, ) log f (z|)
f (z|) dz +
f (z|) dz = 0.
0
q q
q
q 0
,
E[h ] + E[h s0 ] = 0,

h

h(z, )
,
q

2 h(z, )
,
q q 0

log f (z, )
.
q

Ve Vb = (E[h ])1 E[h h ](E[h ])1 (E[ss0 ])1 .

, . ,
Ve Vb = (E[h s0 ])1 (E[h h0 ] E[h s0 ](E[ss0 ])1 E[sh0 ])(E[sh0 ])1 .
u = h E[h s0 ](E[ss0 ])1 s, h s.
E[uu0 ] = E[h h0 ] E[h s0 ](E[ss0 ])1 E[sh0 ] E[h s0 ](E[ss0 ])1 E[sh0 ]+
+E[h s0 ](E[ss0 ])1 E[ss0 ](E[ss0 ])1 E[sh0 ] = E[h h0 ] E[h s0 ](E[ss0 ])1 E[sh0 ].
. , .
, - .

13

y|x.
. f (y, x|q)
x, x,
, , .
f (y|x, q), f (x) q ( ,
x).
( ).
y|x N (x0 , 2 ),
q = (b s2 )0 , = ( 2 )0 ,
log f (y|x, q) = const

(y x0 b)2
1
log s2
.
2
2s2

f (y, x|q) = f (y|x, q)f (x),
, ,
log f (y, x|q) = log f (y|x, q) + log f (x).

b = arg max
q

n
X

log f (y, x|q) = arg max

q

i=1

n
X

log f (y|x, q),

i=1

.. - log f (x) .
, f (x) q .
:

y x0 b
x

s2
s(y|x, q) =
,
1
(y x0 b)2
2+
2s4
2s 0

xx
y x0 b
2

x
s(y|x, q)

s0
s4
=
,

yxb 0 1
(y x0 b)2
q 0

s4
2s4 s6



0
E
[xx
]
0
s(y|x, )
1
= 2
I() = E
1 .
0
q

00
2 2
14

 I()
2 . , --:

n(b ) N (0, 2 (E[xx0 ])1 ),

n(b2 2 ) N (0, 2 4 ).

.
, . , , :
(
)
 b
n
X

n
1
= arg max log s2 2
(yi x0i b)2 ,
2
2
2s
b2
b,s
i=1

b =

n
X

xi x0i

!1

i=1

n
X

xi yi ,

i=1

.. - -,
n

1X
b 2,
b2 =
(yi x0i )
n i=1
.. - 2 .
( ).
(
1, x0 + e > 0,
y=
e|x N (0, 1).
0, x0 + e < 0,

y|x Bernoulli((x0 )),

P r{y = 1|x} = P r{e > x0 |x} = 1 (x0 ) = (x0 ).
(, , )
f (y|x, b) = (x0 b)y (1 (x0 b))1y .
b, 2 .
2 1. ,
log f (y|x, b) = y log (x0 b) + (1 y) log(1 (x0 b))

15


b = arg max
b

n
X

yi log (x0 b) + (1 y) log(1 (x0 b)).

i=1

.
p
d
b n(b ) N (0, V b) .

. -

s(y|x, b) = y

(x0 b)
(x0 b)
y (x0 b)
+
(1

y)
x
=
(x0 b)x.
0
0
0
0
(x b)
1 (x b)
(x b)(1 (x b))

s(y|x, b), b,




(y (x0 ))2
(x0 )2
0
2
0
0
I() = E
(x ) xx = E
xx .
(x0 )2 (1 (x0 ))2
(x0 )(1 (x0 ))
, E[(y E[y|x])2 |x]
- , (x0 )(1 (x0 )). :
Vbb =

n
b2
1X
(x0i )
xi x0i
0
0
b
b
n i=1 (xi )(1 (xi ))

!1

,
.
- -
E[y|x] = (x0 ),
,
V [y|x] = (x0 )(1 (x0 )).
, -
- ,
.

, x .
,
, .
, , .

16

 q = (q1 , q2 , q3 ), = (1 , 2 , 3 ), f (y, x|q1 , q2 , q3 ) = f (y|x, q1 , q2 )f (x|q2 , q3 ).

, :
J
b1
n
X
bJ
--: 2 = arg max
log f (yi , xi |q1 , q2 , q3 ),
q1 ,q2 ,q3
i=1
J
b

b1C
bC

--:

= arg max
q1 ,q2

b2M
bM

--:

n
X

log f (yi |xi , q1 , q2 ),

i=1

= arg max
q2 ,q3

n
X

log f (xi |q2 , q3 ).

i=1

2 1 , 3 2 2
3 .
. (
, ) . , bC , bC , bM
1

b3M , b1J , b2J b3J .

: W, LR LM.
H0 : 0 .
H0 : = 0 , .. 0 = {0 }
.
1.
d
b 0 )(b 0 )
W = n(b 0 )0 I(
2k .

b b 0 ) ;
0 I(
. Ib (0 ), , .

2.
ln (q) =

n
X
i=1

17

log f (zi |q).

b
ln (0 ) :
!
2
b
e
1
1
l
(
)
1
1
n
0 1 ln ()
b =
b
b
b
ln (0 ) ln ()
(

)
+
(

)
(0 ),
0
0
n
n
n
q 0
2
n q q 0
| {z }
0

b
ln ()
=0
q 0
p
b b
.
0
p
e 0 ,


e p
s(z, 0 )
1 2 ln ()
E
= I(0 ).
n q q 0
q 0

d

b ln (0 ) 2 .
LR = 2(ln ()
k

, ,
.
3. (-). : ,
E[s(z, 0 )] = 0.
,
n

1 X
d

s(zi , 0 ) N (0, I(0 )).

n i=1
, :
!0
n
1 X
b 0 )1
LM =
s(zi , 0 ) I(
n i=1

n
X

s(zi , 0 )

2k .

i=1

:
max
q=0

1
ln (q).
n

, , .
. z1 , . . . , zn i.i.d. Bernoulli() H0 : = 0 , 0 < 0 < 1.
ln (q) =

n
X

zi log q + (1 zi ) log(1 q).

i=1

18

 -
0=

n 
X
zi
i=1

1 zi

b
1 b

1X
b =
zi .
n i=1

z 1z
zq

=
,
q 1q
q(1 q)


(z )2
1
I() = E 2
=
.
(1 )2
(1 )
s(z, q) =

:
n(b 0 )2
,
0 (1 0 )
n
X
b
1 b
LR = 2
zi log + (1 zi ) log
=

0
0
i=1
!
b
b

b log
= 2n b log + (1 )
,
0
1 0
!2
n
1 X zi 0
LM =
0 (1 0 ) = W.
n i=1 0 (1 0 )
W =

H0 : g () = 0,
r1

r 6 k,

.. 0 = { , g() = 0}.
d
b 0 [G(
b 1 G
b
b I(
b ))
b0 ]1 g()
W = ng()
2r ,

G
rk

b
g() b g()
,
G

,
0
0

d
b ln (bR ))
LR = 2(ln ()
2r , bR = arg max ln (q),
q0
!
!
0
n
n

1 X
1 X
d
b bR )
s(zi , bR )
I(
s(zi , bR ) 2r .
LM =
n i=1
i=1

? ,
( ,
). , , :
H0 . ,
1 = 2 , 1 /2 = 1. W-

19

 , LR , LM
.
.
, , LR- ( -
). , W-,
, LM-.

z1 , . . . , zT .
Q
, L(z1 , . . . , zT , q) 6= Tt=1 f (zt |q), . -

, ,
:
L(z1 , . . . , zT , q) = f (zT |zT 1 , . . . , z1 )L(z1 , . . . , zT 1 , q) = . . . .
, zt , ..
f (zt |zt1 , . . . ) = f (zt |zt1 , . . . , ztp )
p.
L(z1 , . . . , zT , q) =

T
Y

f (zt |zt1 , . . . , ztp , q)

t=p+1

p
Y

f (zt |zt1 , . . . , z1 , q)

t=1

--
bE = arg max log L(z1 , . . . , zT , q).
q

, , --
bA = arg max
q

T
X

log f (zt |zt1 , . . . , ztp , q),

t=1+p

Pp

t=1

log f (zt |zt1 , . . . , z1 , q) q.

, .
,
.

20

 1. p
yt |xt N (x0t , 2 ),
xt = (1 yt1 . . . ytp )0 = ( 1 . . . p )0 . = ( 0 2 )0 .



T
X
1
(yt x0t b)2
A
2
l (y1 , . . . , yT , q) = const
log s +
,
2
2s2
t=1+p
-
b =
b2 =

T
X

xt x0t

!1

t=1+p

T
X

x t yt ,

t=1+p

T
X
1
b 2.
(yt x0t )
T p t=1+p

, ,
. ,
1 p, y-, , .
p
.
2. p c :
yt = + t + 1 t1 + . . . + p tp

t |It1 N (0, 2 ).

q = (m f1 . . . fp s2 )0 = ( 1 . . . p 2 )0 .


T
X
1
t (q)2
2
l (y1 , . . . , yT , q) = const
log s +
,
2
2s2
t=1+p
A

t (q) = yt m f1 t1 (q) fp tp (q).

, . , :
0 = 1 = = p = 0.
. - ,
, ,
, .
.

21

III
1

, , , ,
E[m(z, )] = 0,
z ,
k 1, m(z, q) , ,
l 1, l > k. l = k,
, l > k .
,
.
1. , z , E[(z )3 ] = 0,
z, = E[z].
:
m(z, q) =


zq
,
(z q)3

k = 1, l = 2.
2. , x y , E[x] = E[y] = .
. :


xq
m(x, y, q) =
,
yq
k = 1, l = 2.
.

z1 , . . . , zn .
l = k.
n

1X
b = 0.
m(zi , )
n i=1
, , b ().

22

 1 (). , -

n

1X
zi .
b1 =
n i=1
, -
n
X
i=1

(zi b2 )3 = 0.

2 (). ,
- , ,
n

1X
xi ,
b1 =
n i=1

1X
b2 =
yi .
n i=1

, b1 =
6 b2 .

, , ,

, l > k. , ,
.
l > k, , l
k .
:
E[m(z, )] = 0

= arg min E[m(z, q)]0 |{z}

W E[m(z, q)],
{z }
| {z }
q |
1l

ll

l1

W ,
.
, ,
:
b = arg min
q

!0
n
1X
m(zi , q) Wn
n i=1

!
n
1X
m(zi , q) .
n i=1

(). Wn
, W :
p

Wn W.
Wn . , b W

Wn .

. l = k. W Wn
.

23

 1 (). , -
:
n

b = arg min
q

1X
(zi q)
n i=1

1X
(zi q)3
n i=1

Wn

P

n1 ni=1 (zi q)
P
n1 ni=1 (zi q)3

2 (). , -
:
n

b = arg min
q

1X
(xi q)
n i=1

!

 1 Pn
n
1X
n
(xi q)
i=1
(yi q) Wn 1 Pn
n i=1
n
i=1 (yi q)

, : E[m(z, q)] = 0
, q = .


m(z, )
,
Qm = E
q 0
lk
Qmm = E [m(z, )m(z, )0 ] .
ll

,
p
- : b ;

- :

n(b ) N (0, Vb);

-
Vb = (Q0m W Qm )1 Q0m W Qmm W Qm (Q0m W Qm )1 .
, .
b
:
!
!
n
n
b0
1 X m(zi , )
1X
b = 0,
2
Wn
m(zi , )
n i=1
q
n i=1

:
n
n
n
X
e
1X
1 X m(zi , )
b = 1
m(zi , )
m(zi , ) +
(b ).
n i=1
n i=1
n i=1
q 0

n(b ) =

1 X m
b0
1 X m
e0
Wn
n i=1 q
n i=1 q
24

!1

1 X m
b0
1 X
Wn
m(zi , )
n i=1 q
n i=1

(Q0m W Qm )1 Q0m W N (0, Qmm ),

Vb.

, -

W , Wn , ,
. , Qm
:
Vb = (Q0m W Qm )1 Q0m W Qmm W Qm (Q0m W Qm )1
1 01
1 01 0
Qm
Qm Qm W Qmm W Qm Q1
= Q1
m W
m W

1
W Qmm W W 1 Q01
= Q1
m
m W
01
= Q1
m Qmm Qm .

W , b

, .

. W
Vb Q1
mm , Vb
1
(Q0m Q1
mm Qm ) .

. , .
. , 1

- VbW VbQmm ,

, , :
1

VbW VbQmm = (Q0m W Qm )1 Q0m W

Q )1 Q0m )
(Qmm Qm (Q0m Q1
|
{z mm m
}
(?)

W Qm (Q0m W Qm )1 .

, (?) . u :
1 0
1
u = m(z, ) Qm (Q0m Q1
mm Qm ) Qm Qmm m(z, ).

, (?) E[uu0 ], .. .

25

. -, W = Q1
mm ,
-.
. - -
!0
!
n
n
X
X
1
b1
b = arg min
m(zi , q) Q
m(zi , q) ,
mm
q
n i=1
i=1
p
bmm
bmm .
Q
Qmm , Q

- .

1 (). r = E[(z )r ]

r- .
Qm = E

Qmm = E

"

"

1
3(z q)2

 
1
=
,
32

q=

(z q)2 (z q)4
(z q)4 (z q)6

2 4

4 6

q=

r ,
r- z , b1 :
n
1X
(zi b1 )r ,
br =
n i=1

bm
Q

 
1
=
,
3b
2

b2
b4

bmm =
Q

b4
b6

1X
(zi q)
n i=1

b = arg min
q

b2
b4

1X
(zi q)3
n i=1

b2
b4

b4
b6

!1 

P

n1 ni=1 (zi q)
P
.
n1 ni=1 (zi q)3

, ,

b4
b6
. Vb:

Vb = (1 32 )

2 4
4 6

!1 

1
32

:
Vbb =

b2
b6
b24
p
Vb.
3

b6 6b
2
b4 + 9b
2
26

2 6 24
,
6 62 4 + 932

 - b1 . V b = 2 . ,
1

2 >

2 6 24
,
6 62 4 + 932

942 622 4 + 24 > 0,

(322 4 )2 > 0.
4 6= 322 , .
4 = 32 (, ), b1 b
2

. , -
.
, , . , .
,
, , .
2 ().
 
1
Qm =
, Qmm =
1

x2

xy

xy

y2

bmm =
Q

bx2

c
xy

c
xy
b
2

1X
bx2 =
(xi b1 )2 ,
n i=1
n

c
xy

1X
(xi b1 )(yi b2 ),
=
n i=1
n

1X
by2 =
(yi b1 )2 .
n i=1
b1 b2 x y . -
!
!1 
Pn

n
n
1
b2 c
X
X

1
1
n
(x

q)
xy
i
x
i=1
P
b = arg min
(xi q)
(yi q)
.
n i=1
n i=1
n1 ni=1 (yi q)
c
by2
q
xy

2(1 1)

bx2

c
xy

c
xy
b
2

!1 

27

n1

Pn

i=1 (xi
P
n1 ni=1 (yi

b
)
= 0.
b
)

 b ,
:

b =

by2 c
bx2 c
xy
xy
b1 +
b2 .
2
2
2
2
b
b
b
b
x + y 2c
x + y 2c
xy
xy

!1  1
2
2
x2 y2 xy
x xy
1
,
Vb = (1 1)
=
x2 + y2 2xy
1
xy y2

Vb1 = x2 ,

Vb2 = y2 .

,
x x y: x2 = xy . ,
, y x y:
x2 = xy .
- .
. ,
,
.
.
1: b0 (, - Wn = In ).
bmm .
Q

b1 .
2: -, Wn = Q
mm

, -, , , , . , ,
. ,
, , , ,
. ,
.

28

 ,
, , (, , , ,
). - ,
,
, .
,
H0 :

E[m(z, )] = 0,

HA :

@ : E[m(z, )] = 0.

. b -
E[m(z, )] = 0. J-
!0
n
1X
b Q
b1
m(zi , )
J =n
mm
n i=1

!
n
1X
b
m(zi , )
n i=1

2lk .
.
v=
A

21 1

Qmm

n
X
i=1

b
m(zi , ).

J = v 0 v, = .
:
v=

12 1

Qmm

n
X
i=1

n
e
1 X m(zi , )
n(b ).
m(zi , ) +
n i=1
q 0

1 X
d
b

m(zi , )
N (0, Qmm ),
n i=1
n
e
1 X m(zi , )
p
Qm .
0
n i=1
q

- ,

X
A
1 0
1 1

n(b ) = (Q0m Q1
Q
)
Q
Q
m(zi , ).
m
mm
m mm
n i=1
29

 ,
n

1 X
12
A
1 0
1

(Il Qm (Q0m Q1
Q
)
Q
Q
)
v = Qmm
m(zi , )
mm m
m mm
n i=1
d

1 0
2
2
N (0, Il Qmm
Qm (Q0m Q1
mm Qm ) Qm Qmm ).

1 l k, .
2,
x1 , . . . , x n y1 , . . . , y n .
2 (). ,
b = x + (1 )y,

by2 c
xy
=
.
2
2
b
b
+ 2c
xy
x

J =n

!
!1 
Pn
n
n
1
b
b2 c
X
n

1X
1
xy
i=1 xi
x
b
b
xi
yi
=
P
n i=1
n i=1
n1 ni=1 yi b
c
by2
xy
=

n(x y)2
d
21 .
2
2
b
b
+ 2c
xy
x

, J x y, ,
x y.
-, . ,
H0 :

E[x y] = 0.

1X
p
(xi yi ) 0,
n i=1

t= q

, J-.

n(x y)

N (0, 1).

bx2 + by2 2c
xy

: M , M 0 = M M 2 =
M . I M , , . :
,
2 , .
1

30

 - J , , .
: J 6 q1 ,
, J > q1 , . .
, -
, , , .

, , ;
. ,
-.
y = x0 + e,

E[e| z ] = 0,
l1

k1

l > k.

x . z, l .
. (l = k)
. -
() (2). , -, , ,
, . :
, , :
E[ze] = 0.
:
Qxz = E[xz 0 ] k.
kl

31

 :
Qzz = E[zz 0 ] .
ll

(l = k) ():
n
X

bIV =

zi x0i

!1

n
X

zi yi .

i=1

i=1

(l > k).
E[z(y x0 )] = 0 .
| {z }
l1
m(x,y,z,)

( )
Qm = E[zx0 ] = Q0xz ,

Qmm = E[zz 0 (y x0 )2 ] = Qzze2 .

, 2 Qzz .
:
!1
n
1X 0
p
1
zi zi
W = Q1
Wn =
zz 6 Qmm .
n i=1
, . , , Q1
zz
Q1
mm . -
b = arg min
b

n
X
i=1

xi zi0

!0
n
1X
zi (yi x0i b)
n i=1
n
X

zi zi0

i=1

!1

n
X
i=1

1X 0
zi zi
n i=1
1

zi x0i

n
X
i=1

!1

xi zi0

!
n
1X
zi (yi x0i b)
n i=1
n
X
i=1

zi zi0

!1

n
X

zi yi .

i=1

, (2-). :
2- -;
2- -, E[ze] = 0, .

32

 -.
!1
n
X
1
b1 =
Wn = Q
zi zi0 eb2i
,
mm
n i=1
ebi (, 2) . -

, , .

. :
b = arg min
b

n
X
i=1

xi zi0

!0
n
1X
zi (yi x0i b)
n i=1
n
X
i=1

zi zi0 eb2i

!1

n
X
i=1

1X 0 2
zi zi ebi
n i=1
1

zi x0i

n
X

!1

xi zi0

i=1

n
X
i=1

!
n
1X
zi (yi x0i b)
n i=1
zi zi0 eb2i

!1

n
X

zi yi .

i=1

- , E[ze] = 0.
.
, .
, , 2 ,
2
.

1
!1 n
!1 n
n
n
n
n
X
X
X
X
X
X
b =
xi zi0
zi zi0 eb2i
zi x0i
xi zi0
zi zi0 eb2i
zi yi =
i=1

i=1

i=1

n
X
i=1

i=1

bi x0i

!1

n
X
i=1

i=1

i=1

bi yi0 ,

bi , :
n

1X
b =
xj zj0
n
k1
j=1

1X 0 2
zj zj ebj
n j=1

33

!1

bxz Q
b1 2 z .
z=Q
zze |{z}
|{z}
| {z
}
kl

ll

l1

 : - z ( l ), , k l, .
, ,
, .
, .
, . b . ,
= Qxz Q1
zze2 z,
b
.

,
E[m(z, )] = 0

, .
!0
n
1X
b1
m(zi , q)
Q
mm
n i=1

b = arg min
q

!
n
1X
m(zi , q) ,
n i=1

!0
n
b
1 X m(zi , )
b1
Q
mm
0
n i=1
q
|
{z
}

!
n
1X
b = 0,
m(zi , )
n i=1

b0
Q
m

1 X b0 b1
b = 0.
Q Q m(zi , )
n i=1 m mm
, ,
. , ,
:
n

1X
b = 0,

b(zi , )
n i=1
b0 Q
b1

b(z, ) = Q
m mm m(z, ) . -

(
b1 ), .
Q
mm

34

, , : , l ,
k .
, :
(z, ) = Q0m Q1
mm m(z, ).
, ,
l k .

, -

-,
.

E[xe] = 0.
,
n

1X
xi ebi = 0,
n i=1
.. -.
, , x-, -
.
, :


xe
E 2
= 0.
(x)
, , . ,
() -:
n

1 X xi ebi
= 0.
n i=1 2 (xi )
.
( - 0):



log f (z|)
E
= 0.
q
35

, . , , ..
:
n
b
1 X log f (z|)
= 0.
n i=1
q

, -.
, - . , , , ,
. , , 0. ,
-, .
.

, - . ,
(, ), .
.
- ,
. .
.
Qmm
Qmm =

+
X

E[m(zt , )m(ztj , )0 ].

j=

,
. ,
, -
. : , , , Qmm ( -)
.

36

 Qmm ? , m(z, )
()
,
E[m(zt , )|It1 ] = 0.
j > 0 ( j ),
E[m(zt , )m(ztj , )0 ] = E[E[m(zt , )|It1 ]m(ztj , )0 ] = 0.
|
{z
}
0

, Qmm , -
:
Qmm = E[m(zt , )m(zt , )0 ].
, -.
m(zt , ) q,
Qmm =

q
X

E[m(zt , )m(ztj , )0 ].

j=q

, .
.
a-. . , , .. , , , - .

max E0

t u(ct , )

t=0

s.t. ct + bt 6 yt + Rt bt1
yt , Rt , ,
. ( ) :
 0

u (ct+1 , )
Rt+1 |It = 1.
E 0
u (ct , )
, 80- , . , Rt+1 = R, :
u(c, ) = 1 c +

2 2
c.
2

-.
u0 (c, ) = 1 + 2 c,

37



1 + 2 ct+1
E
R|It = 1,
1 + 2 ct

ct+1 = 1 + 2 ct + et+1 ,

E[et+1 |It ] = 0.

1982- . CRRA-:
u(c, ) =

c1
,
1

> 0.

u0 (c, ) = c .



 
ct
E
Rt+1 1|It = 0,
ct+1
= (, ) . , , ,
et+1 . ,
.
,
. 2, k = 2. ,

0
ct
ct1
.
zt = 1 Rt Rt1
ct1 ct2
. , ct
.., , , ct ,

ct1
: . ,
yt
bt

, ,
yt1
bt1
ct2
,
. ,
ct
Rt2 , Rt Rt1 , .. , , .
.
, , -
.
, ,




ct

E zt (
Rt+1 1) = 0
ct+1

|
{z
}
et+1

38

 ( l = 5, k = 2),
:
1. .
2. .
3. (J-) . , ,
.
,
Qmm . zt et+1 , Qmm , ..
. , ,
. ,
,
.
, .
. p > 1
, .. p
.
ct + bt 6 yt + Rt btp ,



0
p u (ct+p , )
E
Rt+p |It = 1.
u0 (ct , )
,




ct

p
E zt (
Rt+p 1) = 0,
ct+p

|
{z
}
et+p

. Qmm , ..
zt et+p ,
. - Qmm - :
Qmm =

p1
X

E[zt ztj et etj ].

j=(p1)

39

 , . , , (
..).

. ; , .


. .

10

, . , - . -
J- .
,
%

{z1 , . . . , zn }1

{z1 , . . . , zn }
&

...
{z1 , . . . , zn }B

b W, J, . . . .
B . ,

b1 , W1 , J1 , . . .
..
.

, WB , JB , . . .
bB

, ,
.
. t-
t=

b
b
se()

t =

b b
.
se(b )
40

 -
!0
!
n
n
X
X
1
b1 1
b = arg min
m(zi , q) Q
m(zi , q) .
mm
q
n i=1
n i=1
, -
n

1X
b 6= 0
m(zi , )
E [m(z , )] =
n i=1

,
E[m(z, )] = 0.
, .
b

= arg min
q

!0
n
n
1X
1X

b Q
b1
m(zi , q)
m(zi , )
mm
n i=1
n i=1

!
n
n
1X
1X

b .
m(zi , q)
m(zi , )
n i=1
n i=1

J-. J-
!0
!
n
n
X
1X
1
b Q
b ,
b1
J =n
m(zi , )
m(zi , )
mm
n i=1
n i=1

J = n

!0
n
n
X
1X
1
b Q
b1
m(zi , b )
m(zi , )
mm
n i=1
n i=1

!
n
n
X
1X
1
b .
m(zi , b )
m(zi , )
n i=1
n i=1

, , - : ,
.
. , .

11

, - , ,
- (, W = I).
, , l2
Qmm , ,
, -, .
? :

41

 : n = n1 + n2 , ni i- . , . , .
()
: 2- , , -. ( ).
:
!0
!1
n
n
n
1 X m(zi , bI )
1X
1X
0
b
b
m(zi , I )m(zi , I )
m(zi , bI ) = 0.
n i=1
q
n i=1
n i=1
b ,
bI , .
, , .

!0
!
n
n
X
X
1
1
m(zi , q)
m(zi , q)m(zi , q)0
bCU P = arg min
q
n i=1
n i=1

!
n
1X
m(zi , q) .
n i=1

, Qmm . , , . ,

.
. , , . -
, .

12

1. , , . , ? ,
y = x0 + e,
, x0 ,
y x- (,

42

, ).
,
H0 :

E[e|x] = 0,

HA :

E[ex] = 0.

.
,
. H0
HA , ,
. b0 b1 , H0 ,

p lim b0 6= p lim b1 HA .
, , p lim b1 p lim b0 .

p
p
qb = b1 b0 . H0 , qb 0, HA , qb
p lim b1 p lim b0 6= 0.

H0 , b0 b1 :
!!
 
 b   !

0
V0 C

0
d
n

N
,
.

0
b1
C 0 V1

nb
q N (0, Vqb),

Vqb = V0 + V1 C C 0 . .
p
Vbqb Vqb: Vbqb Vqb.
:

H = nb
q 0 Vbqb1 qb 2dim() .

, HA , ..
2

dim()
qb. H > q1
, ;

dim()
H < q1
, .
Vbqb? C; V0 V1 , b0 b1 ,

, . , C ,

.
. b0
, b1 , Vqb = V1 V0 ,
Vqb Vbqb = Vb1 Vb0 .

1. , ,
b0 b1 .
43

 . ACov(b0 , qb)
, b0 , .

V1 = AV ar(b1 ) = AV ar(b0 + qb) = V0 + Vqb

Vqb = V1 V0 .

2. Vbqb .

3. Vqb .

Vbqb (A A, AA A = A).

, .
d
H = nb
q 0 Vbqb qb 2rank(Vqb) .

b0
b1

H0

HA

, ,

, b0 ,
; b1
, ( ).
1 (). :
H0 :

E[e|x] = 0,

HA :

E[ex] = 0.

:
!1 n
n
X
X
b1 =
xi x0
xi yi ,
i

i=1

Vb1 = n
b0 =
Vb0

n
X

i=1

xi x0i

!1

i=1

n
X
xi x0i
2 (xi )
i=1

n
X

i=1
!1 n

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

xi x0i eb2i

X xi yi
,
2 (x )

i
i=1

!1

44

n
X
i=1

xi x0i

!1

 , 2 (x) . H  xe
(, ) E 2
=
(x)
0 , .
2. . :
y = x0 1 + z 0 2 + e,

E[e2 |z1 , z2 ] = 2 ,

E[e|z1 , z2 ] = 0,

z1 z2 , l2 > k. x
l1 1

k1

l2 1

. H0 : x , .. E[e|x, z1 , z2 ] =
0, HA : x , .. E[e|x, z1 , z2 ] 6= 0. :
(b
1
b2 )00 2-, (x z1 z2 )0 , (b
1
b2 )01 2-,

(z1 z2 )0 . , , ,
(, x z,
..).

IV
1

A A2 = A. A : A0 = A. ,
In , , .
:

a11 B . . . a1k B
.
..
..
..
A B =
.
.

.
nk
ml
an1 B . . . ank B
nmkl

:
(A B)0 = A0 B 0
(A B)1 = A1 B 1
(A B)(C D) = AC BD
(): n k (n > k) X
k.
P = X(X 0 X)1 X 0
M = In P

45

(r(P ) = k),

(r(M ) = n k).

 .
y, X , y :
P y = X(X 0 X)1 X 0 y = X b = yb,
M y = y yb = eb,

X,
P X = X,

M X = 0.

:
RSS = eb0 eb = y 0 M y = y 0 y y 0 X(X 0 X)1 X 0 y.
. , .
?
, .

y = x01 1 + x02 2 + e,

 
x 1 k1 1
x=
,
x 2 k2 2

 
1
=
.
2

, k1 k2 , k1 + k2 . b , ebi = yi x0 b .
i

. :
y = x01 1 + u1 ,

(1)

x2 = x01 2 + u2 ,

(2)

u
b1 = ub2 0 2 + e.

(3)

1. b2 ebi - - (3)
- (1) y x1 - (2) x2

x1 .

46

2. , b1 - y x02 b2 x1 .
. x1 , b2 y y
x2 x2 , b1 = y x0 b2 .
2

,
.

{yit , xit }, i = 1, . . . , n , t = 1, . . . , T
. ,
-, .
, .
i t, .
i t, . i = 1, . . . , n t = 1, . . . , T,
. i / t ,
. , ,
. .
- :
o ( nT );
( );
, -.
, :
1. . 50% , 50% .
-, , : (1) ,
, (2)
, , .
, .
2. . ,
, , ,

47

 .
.
(, , , ) n , T . T , , n ,
T ( : ,
T 3 5 ). , ,
-.

yit = + x0it + uit ,
i = 1, . . . , n, t = 1, . . . , T , xit i.i.d. , t.
uit (), ,
:
uit = i + vit

uit = i + t + vit

i , t vit . ,
i i.i.d.(0, 2 ),

t i.i.d.(0, 2 ),

vit i.i.d.(0, v2 ).

, vit .
( ) . ,
.

i . ,
, ,
yit = + i + x0it + vit ,
i = 1, . . . , n, t = 1, . . . , T , vit i.i.d.(0, v2 ) xit .
vit , .
.

48

,

(

1, i- ,
0, ,

i . , ,
, , . , . -.
i , .
, .
, .
:
yi = iT i + Xi + vi ,

i = 1, . . . , n,

yi1

yi2

yi =
.. ,
T 1
.
yiT

1

1

iT =
.. ,
T 1
.
1

0
Xi1

0
Xi2

Xi =
.. ,
T k
.
0
XiT

vi1

vi2

vi =
.. .
T 1
.
viT

t , i, . , , - .
, :
y = D + X + v,

y1

y2
y =
..

,
nT 1
.

yn

X1

X2

X =
.. ,
nT k
.

Xn

v1

v2

v =
.. ,
nT 1
.

2
=
..

,
n1
.
vn
n

iT 0 0 . . . 0

0 iT 0 . . . 0
D =
..
.. .. .. ..
.
nT n
.
.
.
.
.

49

0 . . . iT

 D . D ,
:
D = In iT .
, ,
: ,
v2 . - . ( , ) ,
nT (n + k)- (D X) ,
. , , , :
1. T 2, ;
2. X , (,
, ).
, , . , , (
, ):
( nT n) ;
( n n) ;
, .
, ,
. , ,
,
.
.
( ) Q:
Q
nT nT

= InT D(D0 D)1 D0 .

, X y, ,

Qy y D,
QX X D.

50

, , Qy QX:
b = ((QX)0 QX)1 (QX)0 Qy = (X 0 QX )1 X 0 Qy.
| {z }
kk

: (n +
k) (n + k) k k. ,
, .
b : () -

(). ,
.
Q:
D0 D = (In iT )0 (In iT ) = (In i0T )(In iT ) =
= In In i0T iT = In T = T In .

1
1
(In In iT i0T ) = In JT ,
T
T
0
JT = iT iT ,
D(D0 D)1 D0 =

Q = InT In

1
JT .
T

Q, , , . ,
. ,
Qy = yit y i = yit

T
1X
yit .
T t=1

,
yit y i = (xit xi )0 + vit v i ,

i = 1, . . . , n,

t = 1, . . . , T,

yi =

T
1X
yit ,
T t=1

xi =

T
1X
xit ,
T t=1

vi =

T
1X
vit .
T t=1

,
, . -
. ,

51

 , -
. , , ,
. ,
b -.
-.
b
V ar(|X)
= v2 (X 0 QX)1 .

v2 , , , ..
, n + k.
,
- , n , T .

bv2 =

RSS
,
nT n k

RSS = y 0 Qy y 0 QX(X 0 QX)1 X 0 Qy.

, , , , Q .
- - ?
, , ( ,
). ,
, - -.
. ,
, ,
, -
,
. ,
,
x-,
b

b = (D0 D)1 D0 (y X ),

:
b

bi = y i x0i .

? i :

52

 - n
T . , ,
, t-
,
.
- i n T ,
.
. , ,
. , ,
, , , .
:
H 0 : 1 = 2 = = n .
, - ,
bi ,
, , -

n 1 .

bi , , -

, -

. , , , vit ,
F =

(RSS R RSS U )/(n 1)

Fn1,nT nk ,
RSS U /(nT n k)

RSS U ( ), RSS R
(
- ), F,
.

, ,
. , i , t
. , :
yit = + i + t + x0it + vit .

53

 . , i t .
, , , , :
n = 0,

T = 0.

:
y = inT + D + D + X + v,

nT 1

nT 1

(n1)1

iT

.
D = ..

nT (n1)
0

1
2
..
.
n1

0 ...

(T 1)1

..
,
.

0 . . . iT

0 ... 0

iT 0 . . .
.. .. ..
. . .
0
0

1
2
..
.
T 1

IT 1

...
0
0

.
D =
.
.
.
.
.
.
.
.
.

nT (T 1)

IT 1

0
...
0

X nT k, k 1, v nT 1, .

D, :

D = (inT D D ) .
| {z }

nT (n+T 1)
(n+T 1)1

, ,
c , . ( ) (D X),
n + T + k 1. , , ,
, X ,
(, , ). X
, (, ).
, , .
,

54

 .
Q
Q = InT D(D0 D)1 D0 =
1
1
1
= InT In JT Jn IT +
JnT ,
T
n
nT
Jk k k. Qy QX
. ? -:
b = ((QX)0 QX)1 (QX)0 Qy = (X 0 QX)1 X 0 Qy.
Q , b - -

yit y i y t + y = (xit xi xt + x)0 + vit v i v t + v,

T
1X
yi =
yit ,
T t=1

1X
yt =
yit ,
n i=1

n
T
1 XX
y=
yit ,
nT i=1 t=1

x Qv. -
b
V ar(|X)
= v2 (X 0 QX)1 .
-: b -

. v2

bv2 =

RSS
.
nT n T k + 1

. , , -, ,
. .
.
, ,
. - ,
T 1, , .. T . , , ,
i , t .
,
H0 :

1 = 2 = = n1 = 0.

55

 n1 , .
, .
F- , .
,
,
H0 :

1 = 2 = = n1 = 1 = 2 = = T 1 = 0.

, n + T 2, , .
,
H0 :

1 = 2 = = T 1 = 0.

T 1 . (F -), ,
, 2T 1 -.

, , ,
, . . ,
:
uit = i + vit ,

i i.i.d.(0, 2 ),

vit i.i.d.(0, v2 ).

x-.
x-, , . :
yit = x0it + uit .
,
. , ; ,
x-.
:
y = X + u.
, .
V ar(u).

56


V ar(uit ) = V ar(i + vit ) = 2 + v2

i t.

:
Cov(uit , uis ) = Cov(i + vit , i + vis ) = 2

i t 6= s,

Cov(uit , ujs ) = Cov(i + vit , j + vjs ) = 0 i 6= j t, s.

,
uit ujt - .
:

2 + v2
2
0
0

2 + v2
|

{z
}

T T

=
.
.
..
nT nT

0
0

2 + v2
2

0
0
2
2 + v2
T T , n .
. ,
.
, u x :
bOLS = (X 0 X)1 X 0 y,

V ar(bOLS |X) = (X 0 X)1 X 0 X(X 0 X)1 .

-:
bW = (X 0 QX)1 X 0 Qy,

V ar(bW |X) = (X 0 QX)1 X 0 QQX(X 0 QX)1 .

-
y i = x0i + i + v i ,

i = 1, . . . , n,

t = 1, . . . , T.

P = InT Q. -
bB = (X 0 P X)1 X 0 P y,

V ar(bB |X) = (X 0 P X)1 X 0 P P X(X 0 P X)1 .

- -, ..
, .

57

 -. -, 1

, 2 .
:
= v2 InT + 2 In JT = v2 Q + (v2 + T 2 )P.
? , P Q , ; QP = P Q = 0.
.
.
1

, 2 :
1

1
1
Q+ p 2
P =
v
v + T 2

1
=
(Q + P ) =
v

1
1
=
(InT (1 )In JT ),
v
T

2 =

v2
.
v2 + T 2
1

-, 2 , :

yit (1 )y i = (xit (1 )xi )0 + vit (1 )v i .

- bGLS - - .
,
.
1
1
V ar(bGLS |X) = (X 0 1 X)1 = (( 2 X)0 2 X)1 .

-, , .. 2 v2 .
, , : -

bv2 =

RSSW
,
nT n k + 1

b2 +

b =

bv 2
1 RSSB
=
.
T
T nk

bv 2
RSSW
nk
p
=

.
2
RSSB nT n k + 1
bv + T
b2
58

 - bF GLS -
p
p
p
b i = (xit (1 )x
b i )0 + vit (1 )v
b i.
yit (1 )y
- ,
.

. :
H0 :

2 = 0,

HA :

2 > 0.

u ,
RSSW
2nT nk+1 ,
v2

RSSB
2nk ,
+ T 2

v2

- -
-.
F =

RSSB /(n k)
1
= Fnk,nT nk+1 .
RSSW /(nT n k + 1)
b

- , , ,
, 2 T , ..
. -,
.

: ?
. . -
, - , ,
.

.
, , . ,
.
.

59

 , , .
.
1. ,
IBM, Microsoft, General Electrics .. ,
.
,
, .
,
,
.
2. - . 50 , 89 .
,
(- ). .
, , ,
, , , , ,
. .


, .
, ,
. , , , , , .
, .
, , . , , i
xit . -,
.
,
, x0it -

60

 , , , ,
, xit .
,
,
. , .
,

H0 : E[ui |Xi ] = 0,
,
.
HA : E[ui |Xi ] 6= 0,
, -.
, , H0 , HA -.
b0 . , ,
H0 , HA , -,
b1 .

d
H = (bW bGLS )0 ((X 0 QX)1 X 0 QQX(X 0 QX)1 ) (X 0 1 X)1 )1 (bW bGLS ) 2k ,

, , , .
2

k
,
k . H > q1

; H 6
2

k
q1
, .

,

.

. y-. , ,
y.

61

, :
yi,t = yi,t1 + x0i,t + i + vi,t ,
i vi xi,t , n(T 1),
t = 2, . . . , T - y. ,
i yi,t1 .
- :
y i = y i,1 + x0i + i + v i ,
yi,t t = 2 T, yi,t , t = 1 T 1.
- , , .
-, :
yi,t y i = (yi,t1 y i,1 ) + (xi,t xi )0 + vi,t v i .
, - ,
yi,t1 . (
).
:
yi,t yi,t1 = (yi,t1 yi,t2 ) + (xi,t xi,t1 )0 + vi,t vi,t1 ,
i = 1, . . . , n, t = 3, . . . , T, n(T 2). - vi,t1 yi,t1 . , .
:
y
n(T 2)1

= y1 +
n(T 2)1

n(T 2)kk1

n(T 2)1

W1

W2

W
=
.. .
n(T 2)?
.
Wn
y y-. , y-
, .

62

 , , . (.. t = 3)
i- . t = 3 vi,3
vi,2 . y- , ,
. yi,1 ,
y- , .
xi,t , , xi,t , ,
, , .
xi,t . , .
, t = 4.
vi,4 vi,3 , y-, t = 3.
yi,1 yi,2 . .
, t = T, vi,T vi,T 1 .
, y-, t = T 1,
yi,1 yi,T 2 , x-, .
i- :

yi,1 x0i,1 x0i,2 . . . x0i,T

0 ... 0

0 ... 0
yi,1 yi,2 x0i,1 x0i,2 . . . x0i,T

Wi =
... ... ...
... ... ...

... ... ...

... ... ...

0 ... 0

0 ... 0

0 ... 0
0 ... 0
... ... ...
... ... ...

0
0
0
yi,1 . . . yi,T
2 xi,1 . . . xi,T

n(T 2). x-
,
, x-
, . . x- x0i,1 x0i,2 ,
x0i,1 , x0i,2 x0i,3 , .
x-, , x0i,1 . . . x0i,T 1 .
, vi,t vi,t1

63

 . :

2 1 0 . . . 0

1 2 1 . . . 0

0 1 2 . . . 0
G
=
.
..
0
(T 2)(T 2)
0 1
.

..

.
.
.
.
1

...

, , .
-:
 b

= ((y1 X)0 W (W 0 (In G)W )1 W 0 (y1 X))1

b
(y1 X)0 W (W 0 (In G)W )1 W 0 y.

:
 b

bv2 ((y1 X)0 W (W 0 (In G)W )1 W 0 (y1 X))1 .

AVd
ar b =

, , , , . ,
, ,
, .

64