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    21 views80 pages

    TSM3

    Uploaded by

    mercury

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
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    SAE 2 HE AES i Teh 28 GBT SUG — ASAE. RMF MB te EB 4 AUR 5 Ie) SE, HT RRR FE MARE EB HE. ARNE, AR, BAT, APE A TEL FF BF HAE REN, BRL TK A BRL chs Le — +p BAD Ba IL ahs SS AS TB WRB ER BERL ahs A my SEK) FEA BIAS. HESb APSR YE AT BE RE , BELT EOPMSHAEMHALA PELE ARH. Bil U RORRS RAS HS RAT Hae EAB, MA 2-3 Ham, MIATA, RANA AL 3), RDA Ae EF LS HF BL FE — BILE RSA — TREK AY TF PAT SE EK, Mie MA — TAR SB AS A EH RRA A Te AE Sh FEAR BL oh AD, EMH AE LB SBB/R ARE & a KFED BMT HAO BH BES, RTA AB ETB 3209 Lb eh EAM PK AY, BH, be WN HAF (Neftci, 1984), Pa AMEE EM EAE, Si 9 BACT as TE A BE Oh oh Tf 2 BK HUN, MER CLEMO RRR HRALED TAR ATOM SN LF I. BL ERR TH HE RK Bt FY GL Sa BR AD PE A EA TE 89 BL aH BS BE GE aT AAP AR BEA AT RE FF He AER HE RATA y, Sy, YB AB, LE 8-1, XH y, BAST BH BSA BR, SAS AS RL, BAT AT VA SUL Be BY , 3c SP A HE a ea 1k PAE Tic He A th TE RE Tal To Eh A AEN, th BE, FEE y, A SPAR Ae WLI LTS LAY, HB eH a A Ds eS AE ERS TEL FEF A — A AE, AL EE ARE ARC) FEB , ENE TB FP 3 BC He AB SP HE HE Ie FEB 10.0 75: 5.0 25 0.0 0.0 25 5.0 15 10.0 Bs—-1 AWS y 5 y, HARB — ARTS T AE EET RTE SK A ER HE A § PRAM O/B AR BEB BS NL PE ASL 204 2 RSPEKET BOER, CNRCRAT HRW BYTE FER. CER — BE, AK BY AB NS TA ESE DF BE TERA AB TE — TBC FE, AG, BR BE PE — SE AS AB E-BAY BE AER ER RE, RS T SHAR EX A 1 Hl 2K FW (regime switching behavior), 7£ 8.1 HP, REBV EM 3H AR MH (Smooth Transition AR)[STAR] PALHAMARD(ANN], koh, RED S—-HRH, Re TY fa BY Ff SE ee SR A SE BRE — ALE Bese EB Ae AE RL IRR ARCH BGR HORT PS. 48.2 8 PF RCT ARRARESHOPH-HAG. HFR—-HRAM PERS TREOHRAKAE , ARR LA NH BER RR BR FUREHACH ERA RY, MEHR AMR T UW & 4% Granger and Terdsvirta (1993), Terdsvirta, Tj¢stheim and Granger(1994) , De Gooijer and Kumar(1992) LA & Tong(1990). 3x— EA CHE Se Bo BEE TH BEB BP SP SR TALFE BA , XE — TEE TB RE, TE SNE RAT AR ABE AAT EB 8.1 —HRERB RABE Fe Ab — ee EB , EAT EF a AR 9 FSU. RRM STAR A ANNES, KEFR RAE LAE BUD (bilinear model) ALS BUR B® (random coefficient model) YR BARBRA tl HARD (Markov regime — switching model) 4 JL4 RMA. AT RiAS HA, HR Re RH ARKMB, AA, BHARD ESSE BRD DAD RRA, Tt MA HP REZZERR. i278 feié A EA (STAR) HY AS TE FFA) y, AF RHE (8.1) Shas Rs , SBR ARE & 205 y= Ot Bint Fla) (% t Ani) te (8.1) BRE Fy.) BRAN EBEE y,- .HR-TBR. RH(8.1)B oy, BBA-RASRO Ms, RHE AR) CORBA, MERLH & REV 4 PCy, 2) RAR, y, PR PS ARC) RATE ATT AB AVIRA ESD FC a) (0 + Ay, 1) RIE. MR, BAT fee VF (9-2) Bl AF (y,- a) 9-18 OE RA — Bt A IS a FA INS HE AY LAY ARH SR (8.1) BR A — 2S TAA AR AS RE BH, BM, Priestley(1988). ATG MM BBR F(. BELO, 1B. A Xt (8.1) WB — TRE, YF.) = OR,» HEB HH AR(1) SH) 8+ dy, SEHR, 4 FC.) =1 RMA ORERA SHd+V AG, +0 ARIMA. WY F(.)H0 51 SARA, ye HL BRAT ee XA RHE AR ALAIN ARE ROR AE (8.1) H—M RAG, BO ye = (1- F(a) (81+ ary -1) (8.2) + F(y,-a) (824 a2%-1) + & FRE, 5h (8.2) 2208, MY a, = 1(MHKEAKF 1) At MES MAE e, My, FEU REO tHE OR ET ON FF — ATE, KR (8.2) F SHAD y, UAE ERO 0.0. ABR F(y,-g) WAKER, & Heh Hy (8.2) SR TA RAY FR y, AOS RRP Ai a A — PR 2 it. WARRL BBE y, MMF—-THBMED NEE. FERRI F(y,- ¢) HR — HK, BN ESP HE 2 (1) ERM BBBR: F(y,-a)=1-exp(~ 7(y-a7- 6"), >0 (8.3) BORIS AY ESTAR BM; (ii) RAI BHA : F(y,-4)=([1+ exp(- 7-2-6) 171, y>0 (8.4) SRL GTB NY LSTAR BU) ; (ii) RHF KR (8.5) 30 (8.6) HA AY RIK BR: §: HA R/S AR BA 7 786 Abt ABLE AE ID 206 F(y,-2)=0, %-aSc (8.5) F(y-a)=1s n-a>e (8.6) SORTA ADIT AR BB TAR], BIL Tong(1983) Ml Tsay (1989). SR CRHAMRSR. WER, AR MW ARM LSTAR RHE y= On —PEH, ESTAR MRE, EM y, Mty,-.-¢ MEMS PSHE TARA Ri. TAR RMA, MHRREREAM. A Ub, ASC HAN fi BER SiR LSTAR MTA EE ESTAR R TAR HD Alt 22 A FA, Ay LSTAR BR ft YF Rca Ae BR BL Ha A EH Ae Be A Ot BAB th ce AU SE XT BK ZAR, BM, Terasvirta and Anderson(1992), Granger and Teriisvirta(1993) SL FA 4} OTA Pe Mbp obs FE BA A J 3 ARGRERERX HAAR PRA. WHR (8.2) 95K (8.4) PAY LSTAR MH AE MRARBAD y, 9 BSW AM, RRSR, AM: m= A~ Fla) Cr+ a1, (L) x) (8.7) + F(y,-4) (82+ @2,p,(L)%) + & xe &5,9,(L) = arab + a aL? +o + a5, pL", i= 1,2 (8.8) HE py WAAAF pr. Wb RNAS RE F(y,- 4), WM, Rt BBE GM HAE y, WHER IT IK. A AE BX(8.7)FR(8.8) TS FRAKRWS RE Hit. AT n+ 5 AOR AB AS Hh eH STAR RDA: RR. BALM, AFR d=1 #0 py = p2=1,BAMK(8.7) K(8.8) PRE vy, NM - FR WEA Gn41=(1— F(y,)) (8, + 194) + PCy.) (82+ Bryn) (8.9) HEF y,.0 My WA AF th FE 9, EF PEA MRE MMF, MMU, FC.) <0.5)BE-TST RB CFC. )220.5) 0 FIX AE a LI 6A BHD DK Ta) 9 SEP LB a ET SB/BR ARE & sn $M De Gooijer and Kumar( 1992) Tong( 1990) Eh 3: FE th AB I SCR o ALHBERS SEF BLE YE FA dE [ ANN) #2 oe & 7B I ERX. CWOAMEKA THAN, KH, MM AM AMR (hidden layer) Rt 28 5 . JR 09 455 BE BA A ES OT HOSE PHS PL PER A OY 1 FY GB EE 9E FT LB J, Bishop (1995) Ripley (1994). 4 A 3B AY 2 BF OL FDP , by FOR BT A D> REARS HEBER RAT hidden layers, #5, Hel Kuan and Liu(1995),Kuan and White(1994) YW Swanson and White(1995) PEAR (8.1) AAD ATE SH , BD — PB TF A A A — BP AR ASSAM , RATA RITE RT) ANN BO Re A Bm: ‘ y = 8+ bya t+ DBGCW + Aa + ev) (8.10) ma RE q HAMKREMMWKA. HER, 5 STAR ABA, RS ANN MBE RES BR RAE. BH CC.) RRERS BL (8.4) AR ADA SF Te HA ABC , BD GW, + Agy-1) = Ut exp ~ + Age) (8.11) SCH FE Bem ASF ET BCH PH K (logistic activation function) , REE FL, BMW, + Age 1) EAM BEAT, ANN BED HY AE REE BB OP WIE T”. FG LSTAR SUM AMEADL, ANN BE Bl th REHM TB WF A TF Bi HY BAB AE BUS il AH, FE tHE BS TTT LAE Yo (8.10) PAVHIAR EAR (8.11) MRE CARH, 4 RE WAAR ANN RAEI Wy = fCy.—1) + e, AY fF ABAT A FUE FG WL, A KUEBAS WL Kuan and White(1994). Ak xt WAY ¢, AAA (8.10) 8 R? TARA BRE 1, HTK (8.10) SESH AY — 2H SF a I A RIK AY A, ERY GC.) ROP HS $. HEM 8/5 BA 7/18 AS AB BEI ABE BD 208 SUH Hh — RE REL. TE FT 8.2 WP RMS BAL T AY ANN ®t) SS BETES BB he ES CE — TIE Kih—-PERERH ENCRA HABE, RAR HLH th ERE fh AVES BR EAR A Po Ee Bw ‘BL TRU A: A AY at FP SBE BE tha DZS Dh a BAT FARTS HW BES HE ft — BS wm I 9 FT TB TAK , FUR PER , oh HS = A GAR (Granger and Anderson, 1978) && FAREHL FEARS EU EME MI Fee A WR eS TE FRED AE AN EB BF eh SK (8.12) RH: Me™ Per-i Mat (8.12) HF E(y,) =0, FUR PHE: E(yg-1) = E( Bee-19¢-29-1 t 9-1) =0 (8.13) E( yee -2) = E(Bee-19e-292-1 + &e-2) = 0 (8.14) = BE(yt-2) E(e-1) =0 A E(yy-2) =0 (8.15) Alt,y ACMMABAMAM. y, HAF HM th ES AK (8.16) PAH : Ins = EVn-1 (8.16) Ree, RANA n REN HITA. Fa T BAR IT AK AER EB HE, TRB HH y, BORE PH AA ERM Po? <1 RE RTGS y, WA: E(y3) = E( Bey-19-2 + €) (Bec-19e-2 + &ry (8.17) =E( pe? -1yt-2 + 2Pees 19-2 + €7) =ot/(1- po?) SBR TEBE 3 SD aw SPD, RATS AT AAR HEH Ey?) = 0 #1(8.18) (FEB MI 364 0* <1 WAT): E(yt) =304(1 + P07) 1 - B?07(1- 3pto*)] (8.18) RIP eA, 4658 (7.3) PY ay = 07, a1 = Po? BY, — BT ARCH BASKRAWRERD AAA BT OH. KM, (8.12) RAATSHE(S Ao) HM WARE D hE BHR ARCH RAE. KA DOE », FAN ATH BHORB IES, RH y, RIES, SW 2M A2298HE (Granger and Anderson, 1978) i tt AT VA (8 FBR RUEBR—A. Rit WER, 5K (7.3) iM ARCH(1) RA Ki WREAMM y+ PEBE RAK (8.16) PIES RM, RR DRAG, EPSP ADAESR CE AN TB] FF 2 FS HK ACES FAA, tT WL Weiss(1986) Al Bera and Higgins(1993). +5 RRERMSOMKHERERRRAMUSRRD (random coefficient model). —7* fi 2A AF MF : Me ae-1 + Er (8.19) HP a, ~N(a,r”) (8.20) KE (Tsay 1987) A 18 Hit AUR & IH (Bera and Higgins, 1993) HEPA T , RAE BHRS GARCHRAAAHMR. Kit, MASRAAS BURT HSRRAONS, REBRAFE RRA TERE BH, BRA, A (8.20) PM a REF 1. HARM AR (Granger and Swanson, 1997) VA Be 3 5e 18 Fl ¥F Sad HF BB (Mccabe and Tremayne, 1995) 34 #4 78 [Al A9 BBL EA A ARR EFT TOT FE SrA) AR #2 RW [EAR] — Td BIG SR, oO ARE (Haggan and Ozaki, 1981)#2i , SEB RRA M: m= Port & (8.21) eh, ein: $,= a+ Bexp( ~ Yy7-1) (8.22) & HG Me FD AE ABAD 2B 88) A DB) EAR 210 WER AT EARRBAD FAY ESTARRB AM. RARER SCAB BEA , BEE LH HE AR UR A AE HE at TB PD) HR J — PR EMS, Alt RAH RRRE- FRET 4ST. BAT TAI AER HE BO , BATT ABB ae HH EB 2m y WREREAM. A HRB AAW. Ke BRAT ts FT DUAR aE OE — BPR IME CF PB Oy , TR Awe BUTT Bo PAN, A 8—1 PAN FER RE AT AB AB eh Ah fe BL TI sh CHES TB FF RP FB HB AT RL, ii] $2 FRG (Markov switching-regime model) , HH W— Fy TH HA SBUBL il 7 HT cB Sb A EE AER FE, Td Bt PET Ze SE FT I ld RAPRA RE BSC AN , BM Hamilton(1989,1990). UF RK HNTB AF : y= Hot $om-1+ vo, 5 =0 (8.23) MM tb yr 1, 5, =1 (8.24) RH s, AERTRRSEE, CHU OPAT ae: P(s,=11s,-1=1)=p (8.25) P(s,=0|s,-1=1)=1-p (8.26) P(s,=01s,-1=0)=¢ (8.27) P(s,=1)s,-;=0)=1-q (8.28) ROR AS 0 BEAR BEI, KK (8.27) Bh OK A HE EIB RAS _L A qo EP RRE LPR ERE po HK EOCMETSR NH FEAL s, «29 BUM BO TEL, BEF SK (8.23) GK (8.24) BRAS HORT 9, 4 AE BURT — Ae BOI EL HG aS , BATT A BE SH Ah FE RASH RTH. SR FR EAR TS HS Do I FP Tv eT] RAABALH AB, X-MAS CBRH ALARA, RN WEARS BEPE. ROW ORE A PR ER LT , A BBR AAR AE & ou 241 HES MMAESHRK. EF—-N RETREKEGRP AK aU PEST aE BA SP — Pe EI, IHR A TE: PE — HL BEAR LD BES 1 A BI A, , TRA AR ESE TE EBA FRR HE 8.2 TEAR PHRD AE Re ESA EE WE, vy, yt BLE fh BIR Me A a FE FAK BOK FE TT SFE SK Ae, APSE Se AT) a EMM FRER ARCH RHE ARES. ER WH, RH HR EEL BPS 12 EAM STAR BE A I HE ft 4B FE BA — 2 0 AB SE BR HE HY) portmanteau RYH, AT VA ZEA AY HY XR PRB. » MBE HE FEAER ENP a FY — 2 HE Rte BBL BM AM WA GX BI EMA AR BE EE DSAR)ALBHRMR, RAMTERECEAKEH RBA, Wee WaT AE Ae BH Ah DG SS AE EE A ED RD OR BHA, XA IEM STAR RM MAREN OBR R BREF Hh FR WAERL, PIA, UL Terdsvirta, Lin and Granger(1993). Xt STAR PE RO Es TB: = Bot Bryer t+ Bye-p (8.29) P cs P. + Di Prpi-or-a + DiPso-a?-a + Dy Bava tm # a a KB d RH—(, SW Terdsvirta (1994), Terdsvirta and Anderson (1992), MM FAtE AR BAL AY BAB HEY FR RE, HAWS Bj PSF 0,1=2,3,4) RBCRAF RH Hy: FEE STAR ERE. HI, BATOM PAH RHA, Ries a & ML FE BAI YA NB) ZEN BEL 212 MLK DRAG — TOI DR , BILEREMT AT AY p (ANH d {i TER 8—1 PMA Kl (BS PM) AR LE , BAN TER WE Mh KER eA fie HR A TT Wet My PAL TB A AS R81 TYE A ee (ASBSE PMS) H STAR ADHERENS d Fe BR Tle HE 1 5.364" 1.669 2 6.365" 1.817" * 3 5.196" 1.245 4 4.189" 1.087 * BRE SHKERR, « «RARE 1OKKE RR. MWAH A(8.29) ih. APH LP RHE AR PBS HY PABL 1 Suit RP RRA HI LSTAR RAP HSH. WH, RAM AM NLS FHPEAAAL LERRERCADRENSRAT EH. AMHES SU} .— Ta A BOR RE, PO r Alc He TER — (Lb , HEA OLS BEAU RBS SUA RG Be REA NLS — 2 — 2 ah RAE Alc HHH. HTRBEH d PBRAEH, HUME d HR #BXt LSTAR BALE T ih EEA PH Bt a a BJ BEB) R? AEH ERT T HO ESE HB A 2 BY EY RED (BE HL) , BAK (8.29) 1 HY REE BB SP BY Bh EF 1M d RIF REF 1. LSTAR RAAT RAF : Ary, = (1- F(A, y,-1))(- 0.040 +0.454A,y,-1) (8.30) (0.061) (0.261) + F(A,» -1)(1.901-1 .840A,y,-1) +4, BBR TEBE $s 213 (1.664) (2.111) xh F=[1+ exp (-9.231(Ayy,-1—0.500))] 7! (8.31) (5.800) (0.149) REGS PAH RBAT MRE. A(8.31) FAS BE AME 0.05 MARES 0.26, MR A, y,- AF 0.500, FC.) ARB HF 1LARLEMAFL HRB RB. EM 82 PRT K (8.31) WEBER FS, 8—3 A HE F(ALy,-1)5 Ary, WAB. SABE 82H, BEAT AY VA 4 GF WB EAB HH , THA PR 8—3,, BOAT AT PBB SRL RPT, BIR Aly, KF 0.5 WB RAE KS A REREM ST KZA ORRE LACE. 1.00 0.50 0.25 0.00 19621964 1966 1968 1970 1972 1974 1976 1978 1980 1982 1984 1986 1988 1990 4 B82 MESSPRREAUE—HSAN LSTAR RH SM AH WFR RAT BE, I FP EB BE MM TAF 0.5 HH FC Ay y,— 1) SEMEL, BEAT BR BT A SE OB 2 GH A A & WS dk A/S AR ABA 7H 88 A AB APE 7 ABEL 2t4 0.50 0.25 0.00 05 XM B83 SBFREREAUR—-HED FRY F(Ay 1) 5 Ary BOR DT PIES RA. KBE A ER 8—2 PHA IT. He 8—2 HB FF HEY LSTAR MARA AARRAAT AHL HRESRS LSTAR BART ROL RAD wie Re ie Re 1974.3 1975.3 1966.1 1967.2 1981.2 1982.1 1973.2 1975.2 1983.1 1983.2 1980.1 1983.2 EM LSTAR BU, —PRBWE LW P(A,y,-1) RMAF 0.5 tt. MBA RM FRM, ZIRE s,<0.5. BME LMR TR. RT I HRG—-TEL, —THREMED CRATE BRR RARE S, 215 R83 ‘$6 BE BER WH , 1992.1 —1996.4 eo RBBB SNEAK qa | @ | Qs | @ | a |] @ | @ a4 1992 6.7 6.3 6.6 7.0 6.2 6.5 6.7 7.2 1993 8.1 7.8 8.4 8.8 7.6 8.0 8.5 9.0 1994 9.7 9.1 9.1 8.9 9.2 9.3 9.2 9.1 1995 9.6 8.8 9.0 9.2 8.9 9.0 9.2 9.4 1996 10.6 9.8 9.9 10.1 9.9 9.9 10.1 10.5 BER .OECD + 8 UHH HF (1992—1993) , RF 1994—1996 WE AHH (A BEDRMEBLAET ). SABE B—2.(tH AT VASA SS 2 BEAN PAL) HY LA Be Ba , 0s Bad eb 2 EB ART SPB (BBS SBR EE) BUT My Fe EA BE HA BA BT BH WT WHE (8.30) ~R(8~31) HAM LSTAR BREA tee BUH SHE AR BA LEB—*F AR(1) RM) THR, 3X BBE FAYE 1992.1—1996.4 HY 4 Fe HHP eh SAY BE Te TK 9 Be BE, 1994.1 DAG AY HE AR AE OD So PY WE HRA CHAYES 1994.1 RTA AER, eee BRI ER 8—3 PF. Ht 1992.1—-1996.4, A] FAR (8.30) ~ 5K (8.31) PARAS AR(1) BAERT MFR, REMI MM RE (Mt 20 THE) SF 0.0417, iixt F LSTAR MM, EEF 0.0589, Ait, wie -+ Ea THE , LSTAR #2 SU ENT FE AIA A A HE ADL a BT — FORE, CHAN MW EME AA— EFA AR). WE BTRB ,LSTAR #4 UB se Bae EL fl RO FE SHO GARB. AT eBsh (8.30) ~R (8.31) 5—MBE RAL ed BY ENE TE] FN EY OS EG RR AR SA) EY TR, PB HRA RA MRRAM, RRKT HAR. HKEMARSR Franses and Paap(1998). Xt— Wt 22 2) HY Ae Mb 38 FP , FB BA SB & TEAM 9 AR RAG AS ABS A APE NE 216 Y (Franses and Paap, 1998) 43H LAF Hit BR : EIB A, y, = 0.385 +0 .504A,y,-1+ v9,, 03=0.037 (8.32) (0.071) (0.100) PHM Ay, = —0.062+0.504A,y,-1+ v1,, of =0.013 (0.025) (0.100) (8.33) HH P(s,=01s,-1=0) =0.871(0.020) (8.34) P(s,=11s,-:=1) =0.966(0.067) (8.35) BRAT BF BHU BY — PF, Bk ee BE BE A AR AS BY BEE RB A ZE TK ARAS AO ERE Do GR BEN we SE EE 82 RI TASH MR BW, Hk AMG KANARUP REET LSTAR #H1H. RYE SO RD PB A NLS HP OK (4E Eviews 2.0 #1), FUR TUF HR OR? Rd ¥F4): Ain, = (1~ F(A, y,-4)) (0.004 + 1.0194, 9, -1) (8.36) (0.006) (0.156) + F(A,» 4) (0.005 + 0.41041 y,-1) + & (0.002) (0.099) xp , F(Apy,-4) = [1 + exp( — 196.11 (Ayt,-4+0.018))]~? (319.27) (0.011) (8.37) WY 4438 2 HE (transition variable) Hix 4 (hit ARB , Oil RRA BIR FAry-4) SAT PA. 4) 5 Ary, oD Be 8 —4 55 8—S i, MRT PE, Ee I MMF Ary, -4,-F - 0.018. 1.00 0.75 0.50 0.25 0.00 BBR TERE SS a7 TT err ey a 1960 1962 1964 1966 1968 1979 19721974 1976 97g 1980 1987 1984 1996 1988 to99 4 Hs—-4 SEHRREVRAL US RES A—MhED BY LSTAR MBSR Ait 1.00 LO ,-9-8) 0.75 0.50 0.25 0.00 © -0.10 005 0.00 005 Was Ass S8PRREHRAC LS CER A— Me F(Ay-4) 5 Avy, - RB a Mb 8A A 7 89 ABS A) 5) ABET 218 & Xt 1960.1—1991 4 Ae 3e 45 FE AY Th PS , AR (2) HOD ERAN. EAB 4—4 PE, PRATT AT A bh BER (8.36) sh (8.37) AY LSTAR MGT HE AR (2) BE AN BT — 2 BA HE IB SER ERA Ay MRS (BL 16 ABO IE BR ET 10°)5. 486. WUFREABE SF 6.193, AKERTAT EY, BRAER ED ABT 2 BE A PR ER. Raa aT HE GB AE HE BN TB FE 3 A EE A HA 9 AR, ATT A 3) ~18.92 39 (Ljung-Box) Fi 2 Je Be Wo RE HY HR, RP EE Be 3° MEAD A LEAR LIL, BL Eitrheim and Terasvirta(1996). UALR Af te HT A AF Se I tH , HF Be 5d BB 9S FE (Mcleod and Li) 27 35 SRR RP Hy RE A AK LSS 7 BE) ERY JB ROK BE WOR HE 09 TE AS HEA BR FA ELBE BT HY 9 Te HR A ARCH t#. QUE ERE HE YY BS AE TA EE, KBD ABS {FA Akaike 8% Schwarz 6H AU LEP RHE, BLS 3B. FARR TER DES MRE , Schwarz HEB RK BA A, SAL, HM, Sin and White (1996). a T URSA E 08 188 FA, BR ANN $21 (8 38): 4 v= DD... + dot + Piy-1 + P2y-2 + Paya + Para =m . ‘ + DAG[ DoD... + Sot + Pipn-1 + 2-2 + Bsii3 + Bana] + e (8.38) HEF A 10g + 9 Ph BBG RE oe AR BY 8 BB 2 PE BURR FBR EY EL He ED ER, A (8.38) 8 T SMM BH. Hit FE Franses and Drais- ma(1997) 3 BI , HUAI FA — FA Gauss BAR AEA RA MB A HHH. ATHREDAE, RBPRERRA OM 1 SARE. q=0( RRM) 1.2.3, SIC 1 HE F — 756.9, - 790.8, - 809.5 BRR ARNE & 219 Fl -789.0. FAs, RARE OL BB A Tid BE LA A hidden layer HE ANN #2. HIF ILA 29 PBB, ANN BRD RY A Ze ww OY BE BD PSDILE REF 1. WH, HFSRRARK BM EMH HAS 1H AOE tH TB OEE. PEA ANN BE) 09 — PERK, th FE — AE "Wi 1 AA i Be IB BH DS Sh A 18 SH Hi (Franses and Draisma, 1997) #8 Hy 3 — Ty ERE FAKE HE hidden layer MAHI HAR. FEB AML AAFP IX — Rad FROG) o TER 8—6 Fh, Rw Te APH ZIAD HAY TER VAL NT tn HSE BBP BY HER, LAR BOP WHORE 9,- D7, BCC.) -BWK(8.38). B86 AMMA BAM RS IBN ANN AA HRS FR SY ARTE BB SF BY BR (8.38) AEA EERB SY 9 HT ES HH 1 AE HE WE SR PERS} WL LS PP A SE, TR AEE RT SHH THERMR, AORRRETEN HU ROT RES BE hidden layer BUA} AY HH 3x45 5.3 15 4 OR FBS hE $s 5 Me B/E AR RAE 8 SAB) E/N AB 220 FA EBLE PE) o MESA eM EB , Fe HB (8H Ja HAF 0.8) (UF RG SEE 14 EE A R838) ER EMMA RRA H EH. X—-WME RE 8—7 PR SENHA RS A PES T XBR MRM TEE s SHMM A T=1,2,--, no 0.10 1964 1966 1968 1970 1972 1974 1976 1978 1980 1982 1984 1986 1988 1990 4 B87 ARRARHSRAUS SKE ANN RAH S-FRNASRHRRLR ERE SEKMRAORRILE SF 0,4 1975 FUR BOSE HERT 0, MAB-EESROSRERRAHIESA. PP AH AE ZR HE AMT Ti] PB SE eB 9 FEAL LE BORE AR Ob BY HY HEB. WA ED LSTAR #8 2 8 OF fi aR 2 #8 AUPSHBH KIB (Granger and Terdsvirta, 1993) Xf LSTAR BE TEA OT BR, Bi 77 BE A HE KF (Swanson and White, 1995). #} ¥ Ail Xl) (Kuan and Liu, 1994) UA Be Ak SE (Gencay , 1996) Xt ANN #82! BY FFE RABY , EAL WY RNG LE WA A Se TB FP en ES PRMEBRKFRERD, RA RWE SBE BR PEST ANY - MMB LE (Franses and Van Homelen, 1998) iE 8 , ANN RAS RAR ARNE §; 224 Set Ta) EA PEER) ARCH HER. ESE, WR oh Ae eS RM ARETE ARCH, RATS KHL ANN 4 Hh LHR AY $53 He HAO a BAU BG Me 5 SH A HE TD FF A, FE EL a EXEHRAR, CHERKRR. RERGRABNN KR, BREE BAS BAIT A RH TR , 1 7 FF LEAR VS BR a BRO HE SRA EF ( Le AN BE, ZE LSTAR fl ANN 218] ), 26 RE OE 4K BE OL OP afi AY Bt BRE, WA BMS SX He AAS iE ee A il 2 PE, SD HW RARS, BUX — HEH Ak, RATE Be 5c wR Tt A HT a] FN a FA UAT Ho BASE FHA Fi BE, He RG BA IO A RHEKRAEH. FH RNS EAEERHRD RB RERK BREE. BOB BARA BF LM ARCH PIER HE. BAR RRR AD RIE AE RR EG, ER, BT AY HK IRE TA ANT A TA APE AR TD, Ho — SEE A Ta) FFE BS) HELP RO RES AN e PALES, FRR RATE Site Se A Ue SSA Tal FS SAE LT Te FF A, LAR AE BL TT He BY FE PRE AR SP STAIR EDD OT ARAR 16 A A SRT TESCUE TESS P , ta EAE A A A BR SCE AE BAL il 1 Be RH FEE 8 Le BE BME, RT RS jE HB RRAEERLAD AFTER MHS BHM y, Phe He Ath— TP BRB EH OLN, FE 1979 AE Ze (UA 2—3) 5S BL My PEL sy RT AE AE FRO I a OY A Sd HP GK Ait Bh is BE A tbh YB dF BE 1974-1975 Th PC PRB K Se AK 0 DB, TS TE SE SS SU MEL AR EE — HR eB 3 Wt PEROT ARR E). ALE HRS BASE OP EL A EBM AIA Hh OE HB. RNA y, RAP 2, RRAWH, BUR VAT BAAS BAR BPA AB AE PA oY & 223 ye = Be, + [0,(L)/bp(L) Je, (9.4) RH, PMB HA x, My, BO, MAEMN (9.1) ITM RH e, HE AR Se Fe BAY FB Ph A SPH BR A PE TO RAR EBT FE HS WR BN Ha Eh FDA Ste SR HE EA, Ak, PEE pe ABET A—-TEERBAKELD Bihit HERHTR, SRAM DUETS. BI, MO x, BR BAO. DRARARERD } LAZARD PARAMS HB x, ((6=1,2, ARE UMAS ERD PB? TREK SALEES o FRU BSE Re Ap PHFD Rt AR a A HE BE HE J WW, RS ERM Oe x, ,, YRS Of BARMHFRAERA PAS o,. HPAP HMA BASH A HEH BT tS, A BAR REE RAE ERR AFT AAR AS BH BRA.) NATE TEER REL ARO x, AT AE Fey, AB 2, RFR / RAM y. WFR PAA, RAVE A Th OF Pe RSA RT EAI. RT BRT ARS A A TS SR) TT, KPRARRA GBT. BM ART AY, TH ET A EK RGB i A A A AR GE BR ATT 8 SHR SR ) a FA 38 HT 3h OB RTT Fp 35 391 HTH Bt th (fast-moving consumer product) ft) 44 Ht A) 34 Jon 7E FH ADL ARRABK « BS, Mi BA BY BIC a TH SH Et , LAT AE RE FBR, A Oh eh ee A, TART Ot, YF AES on BRL NT BE it Fa A BT ATT BE HR AB A RR at HH BOK VE RAL — 7S ve YT TAB AK (9.1) IB PEXT PRAT BAAS FF REE RU SR RAT GAS SA Rh a BY OF He, BA BE, BR ATA Be it se BE RL Sb EY, IBS TR AE I BB i FAY Da 5 RAL IA BE — 7 9B FD PF EF BAT ZIT UAE APE — HEA BRE 9 BT A TF A FE TH A & BEAL F/R RAB 1 At AL APE BN ABD 224 Seta — “HAS HAR y, = ox, + u,, B—-T*> RARERHBAMA HY RE BL — He Py BY HE WF (spurious inference). DAF a4 AF Mt i 4 TOASTER y, RA 2, (BABU OME BM) AUF RADTRRER: w= OM-1+e, lpl<1 (9.2) t= By,-1+ Y, (9.3) RE AY, RANT AY HARP RRR ADS 0? Hoy, AEH HS x, My, HRELHAMEMY, AFORE SRHRS BO — SA RS Se EN, ECR CBRE BTS AA TT tL TR Ge, PRRHHGA PRA OE ERB HE y, MBIA Bx .2,- FER. Wil, 4RMSS RPA O.4) mt asa Ay L—-PEMR ARR, Me = ax, + u, (9.4) x, WHE o(2,): Yo( x.) = EL (Py-1+ VY) (By-1+ Y)) (9.5) =P yo(y) + o% = fot p?) + 0% » Sz, WAH: Vol y+) = EL(oye-1 + &) (By -1 + ¥:)) (9.6) = BYo( a) = po? /(1 - p*) WR EMI L o HY OLS HHS @ = Yo y»t1)/¥( 21) (9.7) = Po B+ (1- °)o%/o,7] EAT OF , 4M BSF 1, 8=1 A p=0.6 tte RKAS F 0.37. tL RR AL DE 7 5 HH BEE Set a A mg , THR (9.2) HE BR BERS ABE $s 225, BATA. HSh AE A Sh UE Hy, Mhz, (2= 1,2, RHE TRUUELIY , 3 Dy BAY OR eo — FB DSR A HW. MRE y Me, RNFRSERAARD: m= Pint oe-it Vie (9.8) 2, = b3y-1 4 P41 t V2, (9.9) BEV, Wr ET (2x1) EM, BASHAM BD), RIRSRM $, Ms, MEF 0, RH(9.8) (9. 9 HFERAWE ae Ek y, Max, — BT , BF BCR a Brat BEAT VAR (1. Bi] th He BS By, A x, 1A AY Al BY Oy (simultaneous ef- fects) , ZEIX APE OL P , BRAT AT VA Ay RL (9.10) (9.11) AR (9.8) (9.9): . M=MH-1t ta, + Wis (9.10) 2, = 139, t Kat, t+ Vr (9.11) OREN SRAA RN 2. Mo; HM. CARAS, RH BF APL BAS ay AS Dt BY A ts BIC: 1 © a m 0 h- Wi, (RT IRL] ex CEPA FE A [ea-ew (ETS AIRE) Lomi Vie tammy The] (1~ myn) m ishy, -0-ne)"| a werd) (9.13) m3 Hq Ab ey we, RHQX1I) EPA V/) PEVRRADTREA AU”. R-RK & TE lk 90 1887 BAR 7 80 EBL APE NA 226 SR EHH HK (9.12) AE BBS RAF HK (9.8) ~ 0 (9.9) 89 VAR(1). MF RTF HH VAR(L) FASB 6; (4 = 1,2,3,4) A Se A Ta A (9.10) ~ (9.11) PH BRM 0; (6=1,2,3,4) HET HE BE BNE, LEN, ey EF 0, BAS BY AY Del AE FB PR EE — 4 VAR(1) (A—-tBBAR) o BEL ALAA — PE PY A Ha BE BE LFBRRRABH SR++ VAR KM, SM Zeller and Palm (1974) , tT SL Sim(1980) , ATT DAH a BR, SCRE VAR BE TB FE 3) RAAMENEMARAMA HT. ERM, RTOS BAAR tem ad FP, HE 9 REY RENMRRAR. ASW AB, VAR RAH EAA MFO TLR). Ak, 49.2 M93 WHR FY VA BH th — 2% fa] BY, FE RR VAR BA. WT MR JL FEE 7S BHF EB , BR AE DS WB A BB Tt SS FFI , VA BT Sa AH OD AF a FS 8 Bt Tal FFF HE Wy SPT EBA Nt Be BE HE NY TE) FF) BK) BE EH HE A) Ah, BE SD Hannan(1970) ,Fuller(1976) \Liitkepohl(1991) 24 & Hamilton(1994). 9.1 SPEAR WRB MRA FIR m THE AA m SAREE NRA yer 92.00°> Yt Es 09°° 9 Cm ¢ MO RR IE A Vie fie D2.¢ £2,¢ Y=] |fle =] (9.14) mst €, RH e, ~ N(O,>)), HD) K-BHF 07, Kdiag (ot, 03,-, o,) diag BAR—A( m X m) MAE MTOR 0 Bl o?,, Thi I, RE—T(m X m) BE, RRR ce AE ABURA KH mt. ROR BEAR MAAAE A & 227 gE j YER AAU RL Be BABAR AS LE Fl a SP | SUBD AT ABAEABSE BY. 8 B88 3) FRB [VARMA] EAD FA AEE FAY ARMA BY, BAT AT AAS (p,q) BY AN Pd ARMA Bai, GFT VLICHE : Vive Pi Pim] Pent D2,0 | Por oo Boma] | y20-1 Yin st Buta Bum Im yt 1. Pip ot Pimp | Pep oy oe, - peed Me 2m, p Bet e Pmisp 7 Bmp t Lm tp AL Eis Our 7 Oma] ferent 2 £2, Oar. 7 Goma | | €2.0- + “ + ae + 1 om me 1 Lm Em yt: Omi °° Imm rt LEme-1 Mig Oma] [rena Oa oO, £2,2- sent [720 meal |Paene (9.15) Pmizg °° — Gmmsat Lem seo RT uM >) SF, VARMA BBA m?(p + g)tRHMSR. HW A 4 ERI LEA, p=1,q=1h MAB 32TERT. WH T thi SAH VARMA( p,q) BRI: ¥,= p+ ®Y,-; +" + GY, pte + Ope. t+ Ogr-¢ (9.16) $s TAL 790 AR BA 7B 788 AB AB PE A ABE 228 ©,(L)Y,= 2+ @,(L)e, (9.17) Ph ®,(L) =I, - OL ~*~ OL? (9.18) 0,(L) =I, ~ OL ~*~ O,L4 (9.19) EEX RRL AP AAR VARMA( pp, () MABE EN. HK HRAZ—-RE SRBFAA A VAN. PMN, SRP VMA(1) 82): Jive EL: O mVfeie-1 Peledely ole] (om YEH VAR (1) SER (9.21) BET ER: Vise 0 xf d1,e-1 fe Cede ole] (9.28 IX ARMM HT RR, RRR RARE yA ZS (iy 29 A BEAR 1 A AY FET TR] > VARMA (1, 1) 60 Be HE AAT AMMARAE, tT SM Hannan(1970). 3-7 VARMA ## AMA-—TABRERARE NA ELERDAR MN HAM p Hg RARAM SRO ORRRAREA. Ba, SHA, BEATER AMUEP SBN EKER AAY. HTM RSMMLEREEN AXES REA TERA VAR(p) AMBRE W EH. ARAB eat SAE AR BOM TLS, RA th AT RA VAR( p) AMAR EE. AK, RINKS SAAS ROE E, SEM RRA? RARAS OAM SAME RA RAH: 1®,(z)| =0 (9.22) FE | + FRPP AY FT USK MFR SK (9.22) AY TAT APR AB HE AAA DS BAR £7 ADE § 229 BAT RE BE VAR ( p ) BED FE Be A (BR OE TP OY, FEOF BY). 4RR(9.22) KM — TRS TAA EA LY, RATE VAR( p) BHAA HAR. tEA—MAF FB FRIGHT FAY VAR) RD: Pee abe Ee] (22) OWT MIS A, 9.15) PHA PL RAR. MRT VAR(1) 3), RATA: 1-4, -$ uz 12% ] (9.24) —Gyz 1- box Flt AED RSF : 1@,(z) |= (1~ $12) (1 ~ $222) ~ $1 B222” (9.25) =1- (Put $22) 2 + (Pir B22 ~ B21 B12) 2? =(1- v,z)(1- v2z) =0 XB v, Mv. HEM v,=4,+ oi HBR KF a, Mo, LEK, (Hoar bop AR 1 AOR, MBM ii? = -1 HEX. HBR DRA: #(2)=[ (#11 + $22) — (Bir B22 ~ Bar B12) = 1 (9.26) RL, ARRAS v, RH v. PERMA L RMT AKER (9.25): | ®i(z)|=(1— z)(1- (#11822 — $21 812) z) (9.27) A VAR(1) LS THE-N — TR : Hea SASS), BRAT FE — UC RS AE BE HY TA) y, A SK (5.42) Bias BA SA AR (1) B28, BD: = a1 te (9.28) HF o, RAMBW s(s=1,2,3,4) MAW ASR, HU,PAR (DRARREMA AMBALA. UF RT YY. 1 RA & BEML A 1? RA 7 1 AS BL AP FY BE 230 Y Bis MMM, KET RAMANA RENE ce, RMM Fe, 7 WIR. PARI) MABE Y,7=a,Y,-17t+.7,5=2,3,4,0 Yir=a1Yar-1t err S=1o RP4X1) HFT RRE EGER JRANSK (9.29) 7S HY HAS HK AR (BE VAR(1) A): 10 0 ay Ly] Pet] fer - a 1 Y2,7 ©2,7 0 -a 1 o | \¥sr] > esr (9.29) 0 0 ay 1 J]%er] jeer HF LY 4,7 = Yo,r-1, Co RRAR DR, ANH a AF Se ON ad EE I, WARMER. MKT PAR) BRA, BAD A HES GE Fs 2 Mt 1,(z)|=(1- aya2a304z) =0 (9.30) REL, 4 aa.03a,= 1, VAR(I)A—-BR, AK RAR-AR BY PAR(1) RMR y, A — BOLE (Gk eth BB EK (5.43) REM). SHR AO AE TB, SK (9.25) PAY 0, A on, ERRARNFEHE BRERA. EF—-H, RNR -LER FAITE AEF RR). AT ME RERB— TOE DR, SPAM AR(p) RAR, XBR MNKSRER (i= 1, 2° p)ZMo BHHH O,+ O,+--+6, MRE, FEMERR WF 1. MEM REF 1 MIX At AR RE FE eH Be ROMA Y, OLR A PMR ME EARN AK. AMPREBS BEM ARMA BRAM Y, OAR A TY 4@3 08 $M W (transfer function models). Fe— We Xt S Hy AH MY lal FFF BOR SEMA AAA & 231 Y, 3% VAR( p ) Ad, BP G,(L)Y,=¢, (9.31) SS — RL, BRAT ABE, OPE DH A RE BUSh. HUA $8 (9.32) ST MEP A, BATT RARE BY — ANT FB A BEAT TH HK 0 ®,(z)1=|10,(2) 17183 (z) (9.32) RE OF (x) EWA RAF ETAT US FLUE 8997 F4(9.35)) 0 SX HEE BF — 8 (Cm — 1) X Cm ~ 1) TAR, MEH — SIR AA AEA 1, 2,27 BB 2? SA BOW, Lh A AE — PAT KKK (m-1) pA. Het, RATHER (9.32) BS ER (9.33) MBA: |®,(z)1®,(2)-1= ©} (z) (9.33) 30 (9.31) 89 VAR( p) BE BES Rt 1®,(L)|¥,= 6," (Le, (9.34) Hl O,(2)|@& 7 AB 2 RBM, Ae 1B ym RS HAE EE LA BABY (mp, (m — 1) ) HY ARMA RB. HF AR 5 MA ZEA PHERABS EIR UR BE Hak EE. PAT AF ARAL 5 TTA AP AY VAR (2) 6H HE Boh 2EE AME ARMA BA, BARE (10,8). PM EE SCOR IL FAH, RAT > Re A ae REBT ARMA th) 230-4 SG BSB 3B, 4sK(9.34) HY c, H—h VMA( gq) RRM Be HAA ARMA MELICRCK BLE F (mp, (m—1) p+ q). Bat TER, AR (9.34) 1 — FFE ATK, AAT m PE Hh y,,,3& AR( mp) FRAMES 9 HR(9.34) Pi BIA RB, SPF VAR BY oh AS eH ast [a] FF 3 BB eS ARMA BRU. BH Zellner and Palm(1974). XMS R77 BA A ARMA BEAL TE Ss FRAME 99 AB AG 7B 78S AS AB APE 3 ABE BL 232 4 MRAM BRU ARBT ARB aA FRB A A Ha DB Te A BI SH 2 te a MEK (9.34) PB, OPE Cys 2,2) IE BK (9.23) H) VAR(1) BEB, SEH |, (2) | AR (9.25), FF a PE dF ah (QaH#AMAF): 1- baz bye ] (9.35) uz 1-$buz Xt y1,, Al y2, BAR BR ARMA(2,1) BRE: vie = Pir + b22) 912-1 + Par Bio Bib 22) 910-2 (9.36) + ere — Po2€1e-1 + P12€2,0-1 0; (2)=| dae = (Pi + $22) 92,0-1 + (P21 B12 — B11 B22) 9242-2 (9-37) Fen ~ br1€2,2-1 + Pa e1e-1 (9.27) AR AR LIT , BP AB HE ARIMA (1, 1,1), ttt REG, EEE VAR RA PATA SRE THER "PABA — PILAR PETA SF OP, 2 Se A A SST MA. OR A SE AR LR, BAT RSH BB (cointegra- tion). EF —- , RH EAM RRS TE. {£18 BMS H (transfer function models) HER (9.38), RATA LARA VARMA( p, ¢) BEB BR VMA( gE BS — FHT REM : @,(z)"'=|0,(z)|-1O} (x) (9.38) RHE Of (2) BOS O,( 2) IEMA T AVE REAE ME. SLE, RATA DS VARMA( p,q) USE: 8; (L)®,(L)¥,=10,(L)le (9.39) TEA — AEA A RCRA VMA (1) 2, BD BOR BRERA IEA & & 233 eee ghe SI] ow D2, Oz 1+ Oy24le,, WO, (2) AK (9.41) HK (9.42) BE: 1O,(z) | = 14 (Ox + O22) 2 + (811922 ~ 821 912) 2” (9.41) . _ 1+ Oyz —Opzx e; (=| - m2 Loe! (9.42) 5X HER AE AA A a UB] PF Be BE a oa 3K (9.43) R944) IR Wye = — ra H1,e-1 + Or2ya,e-1F Ere + (Orr + Gan) 12-1 + (811922 ~ 921912) €1,4-2 (9.43) y= — Oy2,0-1F Orr die-1t €2,¢F (Orr + O22) €2,0-1 + (841022 — 921912) €2,2~2 (9.44) Alt Hy DM Mk ARMAX BAL, RRAWE NAAT A BAIL AR] fF EAE AE EX] A MA Sl, YER, He ARMAX BALLAST IM-TERH REM 5K (9.36) R(9.37) HH aS ARR A — FE. CUM E TES CARA, HEH (Bierens, 1987) 25 th TE 2 Wi oe 09 SE , 3B BA PBT (Franses, 1991b) HF FE i FA — AT ABE. 4S RARE — RL BRAM RX (9.10) (9.11), RT WAS VMA(1) RE BB SE AE ch SR (9.45 ) RHEE: 1-%L -a Yue] _ 14+ 6yL OnL et [ -B null )-| OL treatlle| (9.45) BOM 1M AY H&A AE ARMAX 280), WR Tit AT BL A Ea iA ya, BZ, IRAP Y, ABB VARMA(p, g) RDR WB ASE AR ATR OG FA A FB aE ARMA BEAD HH RARER. SEE ES LH, at BATE ARMAX BB HRRRRAR, CAB VAM BP BEES HO, RLS & TAL 7/8 AE BA 7 88 7S AE PE AY ABE RL 234 BRAD, BBO LW IF sk (9.46): ue = Low (L)/Vo(L) 921+ (8 (L)/%p(L) Jer, (9.46) BML, LCM Box and Jenkins(1970) ,Mills(1990) ,3%# w,,(L)# V,(L) BMAF Li w Mv PERK. ERY yo, KO/1 EMRE Bf , PB POE RAE 8 ABS 6 RET TT HO HOHE HS HE Tm 09 eB A: A) FE LT AS AO L-POARW ES EM VARMA A, 0 Mt Ta FF SUA a ER A ARMAX 2 SBOE ZI FEVERR. 4RNA—A m THAR AR, RH eB — ABBE HE SF EHR RK, BORE RLY BA, HREM —A VAR BAI, HAT SIL Hendry(1995). Ast, 4Eik— HOB, RMEGMEN VAR( p) MBER. 9.2 BRA HHE SHEE AR RRA, VAR BAN WELD RDM EHO NA, BH RNGEM p RE-TUME Re ROMKATS RRA SRSA HOM REN RE. MRAST—-THENE, RARE EILT p AZACKAURAARA BE ERHARD, Ses, BATT VA BATT AY VAR ( p BEA SE BORAT HY Hh A ARR NAAM, REF PEPA ER, RI RETA N EE PARED AE LEA, Ji EVE, RATT AES VAR ( p ) RL RAY AAG HH RAK, RERKAARMERNER 3 Bh HTH AR( p) MA HY ACF BUA TCHR . HR im , SA SE Ba Wi FH BY A BE , 3X He VAR( p) AY ACF ERERAMORAALE-ABRABNE, BEL, RMB BT BaP AN ARB, A hea TARR HRMMRAK. om BAA, TARE — AA ET ET A PRS REST. At ESC RL , RA A BR RE, B/S BPE A/F & 235 WHET b ES — A VAR BD, BP SF 12,07, ks SRG FEM A PET IP, UR ESAT RE PT BEA HY BE Bw hit Ht —P VAR( p BH SB, RA HES HEA OLS ye HET fh. Pan, MSR (9.23) PH 7G VAR(1) A , A NR (9.47) 453K (9.48) 5} SLA OLS fit RR MEARS 9, HEH AL: de = Pure t Pr2d20-1t Ere (9.47) Y2,e= Foryiye-1 + Bo2y2,e-1 + Cae (9.48) HEARS AT BS IN, RRA ec), Mer, hi [$48 XA (contemporaneously correlated) , 3X HATER HH AM , ANT HERS WB AE FAA ABR ASA SUR] (BE, PS a HATHA NHAWES RRCASTH AW OLS fit SUR AA, BIW. Zellner( 1962) Ml Litkepohl(1991) . 4 VAR( p MAWES BUTE BA HS RHE BRE ASSN Ri, AERO R, RARRHLEMS FT 0 MERE. ERRAE, MARA Y, MATAR y, By, Ae Bt, VAR(p) BE PRASERN c BH RSMRM EER A. W TRE Y, HABE, RTT US B61) =0 HR, RRAMFES SRE I, - ee BNF MERA OI OY ER HE FE, RNA —-HR BAK. SRA FBR m THE EBM RT PURER GS HSREF 0 WAM BT AN, He ER F BMY SUR, RERBBYH, LRHERAR EF Am AH BLAH ASs AA MAWAAEET. RAE BE RANGA hit TILA VAR RAH BH, PT BOE 0 AML F/B ARE AR 7B 89 At AB) EN ABR 236 & SRA BY ko UAE RATA AT DEFER He A ARE A. RT, — ANSE — ABLE LF 2 J: (3 Sj A HT HF) SRE RTH p RAR MRS HHA. A FRY BE JEL EF bp HE EARL 58 AF BL 2K (Akaike and Schwarz) {a A 3 WUE STAM POT, RRNA: AIC = log! 3}, 1+ 2m?p/n, p=1,2,,K (9.49) SIC = log! Y | + (logn)m? p/n, p=1,2,°,K & (9.50) eB | », [48 VAR( p) BMW REM DAM TAK nn RRA FAM HHA BRM Litkepohl(1991). #4 # (Paulsen, 1984) GE HH, BE HERA Y, OS PAR AOE Pk SEM th UAE ATH, AKERS BBA, WP FPS ARAM BUH) IE VAR( p MHRA Hit 5p THR. HF SE OCA SE 26 i BR AF BE HE, TB 8 RE 1955—1988 4F , BE RUE FE AY aR BL EE HE I —1 HSE — BRS SIC EWE p = 1 ARI RUME, ii AIC HME p=3 FEM BUMB. VAR(3)MM 4 & A 75 THR, BRR 5 x 34=170 +H RAM AXLEKAT A. RAUF RNC HO MAK, RN BBL, VAR (1) A A) ee Ot A SB a YS, SORE p=2,4RN p= 2 NLL MT HREMRA BRE DREFETA BEER, RS EE TH a MAG RMR) STHARNREES Ai LE LM, BY 103 >, Pe , FRAT ER = 5, OE He Pe HE BY HAL ER I—1 WAI MBA. R— W, Be ee RR EHH Od TOR PE, SIC BE DUBUA 1 Bt VAR #241, iii AIC WHT VAR(3) BM. THE 2-3 BY Za fe JL ER GO Be AY BE EP AY, SA THA BUT 2 ) AG, FR ASE EF VAR (3) BE BRR = ATH BH BAR BRAM MASA Ss 237 SEBEL, BD THs a 3 BH Cm, ) BH HED A Cd, ) AE OTE p, 0 EK VAR(3) SBA TT aR AF BY, = (rm, dy» p,)’ Y,= pt Y,-1+ O2Y,-2+ B3Y,-3 + & HP: [0.510° (0.111) 0.005 (0.025) -0.196 L(0.670) [ 0.097 (0.122) 0.027 (0.027) - 0.688 L(0.731) [0.268* (0.109) 0.001 (0.024) 0.298 L(0.654) o,= 0.076 (0.488) 0.478" (0.109) 5.582" (2.936) 0.216 (0.536) 0.142 (0.120) 2.971 (3.228) 0.175 (0.503) 0.240" (0.113) —3.145 (3.025) - 0.020 (0.018) — 0.003 (0.004) - 0.429" (0.108) 0.009 (0.019) — 0.003 (0.004) 0.080 (0.116). 0.002 (0.017) 0.008* (0.004) 0.099 (0.103) (9.51) 0.848 (1.954) -0.190 (0.438) 39.945 (11.757) pe ORES PH OB TT HO EE, REE FH IBA VAR 3) RBRKSA PE BS OS BR BUN TE 5% BE KF FRESH. LEAH ARA UKM MEREAR PKRAA RA VAR RA W—-TRR, BRAK, AMM A SRR EA BF FAME, SPT HL XT TH BE) VAR (3 ) 2 A SE BE HS LB REA HEN. BAMEA VAR BHT SHERMER, RINT RIES & RAM 0/887 ABA 89 AS AB) APE 9) AB 238 Ot Ot +h, WREAEEF 1, UKE WEBER ARRAE 9 EF BE TAA AY VAR( 2), BOAT BE, ARE AAMAS BIE — 0.093 ,0.537 + 0.2367 ,0.953 + 0.0552, , TIX DiS PTE A BeBe FAA. EF Te (9.51), = MELA TMD BY 0.988,0.826 A 0.529, HAA EK VAR BMP HR 1 2 PAR. AR — PE ES 10 Rite. RIL VAR BURA BT AYER MH Ds AB TP aH AY (5 x 1) PAS a IES A 3X1) AA VAR Am PHRASE KER, BATASHEHRS). BU FE P log! Dp mp AIC SIC "PAD BB ITF Cm =5) 1 ~ 27.955 25 = 26.484 — 25.362 2 29.435 50 =26.494 — 24.249 3 = 31.487 75 =27.015 ~ 23.930 Th 5H 6 BEE ( m = 3) 1 4.982 9 -4,807 = 4.577 2 = 5.159 18 ~ 4.809 - 4.349 3 - 5,391 27 = 4.867 - 4.176 4 -5.474 36 - 4.775 - 3.854 5 - 5,536 45 — 4,662 -3.511 TE RPBLEL CH CCE Si) A AA A FETE A AE 19551988. HET HH (A BOR) AY VAR BE, EAT 103 BARAT ASS 11 AB) 113 J. HE 1 A Se A CJ, AA) LFS HE IA. log | SY J aRAR p Br VAR BURL (toa m®p PARAS) MHRA EET AR. AIC 45 SIC HEM M(9.49) 419.50) 0 HA TF a) BR SHC LBL a HE EF HE BAR SPER ASAE A § 239 Ceee Ht VAR( p ) BU AYA TT RE BY A ESD HT EA FE — FP A REBZEARNHBAHKR RNARABT META €;, FFA (4=1,2, ++, m) FEF HEA F AR Di A a eT Ye, Aeawe, 2H, WER iA; RHGER-RANKA ERG ERM RAK DO SBM VAR BRA AL. WSh, TERT EE EOC REE TARO, KREMER 1 EET BH HE th LAR HE WY, BL Tiao and Box(1981). #Ib, Pet RA m THB DRL HARES BH BA — A 2 PARN MASALA RS HRS ARH RRR RS PERM R BE 4 HARA VAR BAIT. AT ROWAN REY BARRA EMR, AAS ITE YER EAR, AT SR HB DHS OF AEH portmanteau #24045 LM @ HES BIS TCHR. BL Hosking(1980) , Poskitt and Tremayne( 1982). {HAE Xt He HR BE AY KM A FF HE — MB RHE KEW ANKE ESTAS NARA ES BAT RAE MBA EES, BRERA KS RM BS, HUME MEAD, REM AT HRARAS KR. A-FH RNBELS BREA ce, WARLARN URRREBSHAZS AMMAR. MRIS BAR (9.52) 1 Be: r(Erer€re-k) 7 TUCO ee) r,(@,) = i i (9.52) r(Emsrrye-e) 7 TCE m ser mea). RH AMA SF 2, BM Litkepohl(1991, 98 4 HE). WEL, BRAT 2m THEA AN 95% AY REA BRAD, WIE TE BEART 5% . WSR (9.52) HH HAASE RH IE ECE ATTA, ORE A AL Hh AS BB hE BT Ss 6 Mk 9 AE BAB 8 AS AB] AE 7 ABT 240 SERN ERE LAW MX-RRMEAEN TE AAT K (9.52) HI — A BEA, MLA = +P a FA) VAR (3) RBS BALE k= 1 BA =2 OOTP E952) AO, BD: ~0.225" -0.181 0.041 ri(@)= | -0.192 -0.255" -0.090 (9.53) 0.104 —0.010 -0.109. —0.106 —0.081 “| 0.019 ~0.060 ~0.098 ~0.068 0.061 0.050 ERE 103 4+, ZE TE AS HEAR EF, 95% BY BE KB + 0.198, KMART 5% HAP PLL 2 HAKAN KR KRW, VAR3) RHE SS HM. HER —+* VAR(4) BE RAH HSA SR, BS IS TKR BCE RAK. Ht VAR( p SEB AY HE Ath 09 2 Bi A MO WT BE HS HY HB FE HE TES TEER ARCH MAE HE. ATP MP TE RE HT SD Liitkepohl(1991) . #4 5 ik He HE Ht Ek AY HF AH BY SE UE 4} OT EO AT DAE Ooms(1994) PHRF), KAA ARCH AAEREM MBER BSP. r2(@&) = (9.54) 9.3 VAR SBA —ARMNEAM VAR BME T—TA BNR p WIR BOE RE, VAR( p — 1) RAR TB EA Mi VAR(p +1) RAST ARS MROSR, FARMED AT LS, MOB HB WM ATR AT ES AL To PRA Sb BS SEMA A REREAD OT de Tt EAE EE A RR HB BS OP TK OY 2B BL (impulse response functions) Al GM iR2 7y 22 Ho TEMRIL VAR MMERABUSSH SF 0 TUBER PF , BOE LES — BB Sp EK ES AB PE BY StH. WERK (9.23) MFC VAR (1) BLE EL BORLA RAR BRM AEA & 241 am : HER AR RRA, M VAR( ») RAE BW RH FR AN EN SME. ASB AT A) VAR(1) BD: Y,=@,Y,-,+e (9.55) SEMA n HREM: Yi+1= OY, (9.56) A Bh MRS Yin = HY, (9.57) W—+ VAR(p) 8H, RNA: Yasn= Oi Yysyati + OY, t+ G,Yiey-p (9.58) BH Yea Yn RA ERM EF j= 1,2,--,2, Y= Yio PESE RRM FAP, BRAT eB Ht HY BBE RARE ©,, G=1,2,°°, po Hit b VAR) MMR —FRAN RES F ec, .1,AwK(9.56) PRAR—RM. M VAR(1) RASS AK ¥,..=07Y, (9.59) THE n +2 AIA MM EF : Ynt2= Bp Yuri t en2= Or Yn + ena2t Diener (9.60) WHI F RMR m TEREST: SPE, = >) + ©), (9.61) EESHEBE PF RNS SPE, HHRMA, ie AN wet aL FF 3 A DAE RR Fy, AM RS th Sef m — 17S yy; SEY BO A Og, RAT AT A SPE, EE HTWRRB UCR NSRAB AD GET RANW $B (Clements and Hendry, 1993) Wik —WweET & AM 7 BIE A 88 AS ARB PE ABE 242 PEGE FEAR AH HET TK OW Et FR EE BE BRAT To UAL He Be, — NU AN TF KP HB WOR CBRE AME MIKE. WR, NE TA AU BEAUTE, REAR SPE, SPE AOTT USA Sew , TA EFL REX RAI , WE RA EE A HE To TEA BM HE BE — SE, RSE, BTS OD Sy i AL OS LOR VAR(3) 5 AE AR( p ER REX BHA VE RARW RE) HM-FRWA. ATXK-AW, ROMA 26 + ~ BT 103 TAWA BA TX (9.51) PHS, AS, Bt 5 26 AER T EM, BPI m,.d, A p, BAM AR (pL BBA BD 3.5 FL, HR BATTS 3 ET AH RT HR OR 5 BX BIE. MA VAR(3) Bt om, .d, A p, RAT RZ BE 0.119,0.023 Al 4.256, Til Xt #8 3s Ht BE AY MM 5 Hy 0.078.0.026 A 5.022. PAG xt TH Se Ot AF Pl , BAe RS TB AL, TT SAUL) Ai 5 EO ie, Se HA VAR (3 ) BE YY BB EB SEH SARK ABS , UTE SE hE AT ED POE BE SE EP HERA (HFARHE LOSE, AM eT Eee). FEE WRG, RA ERAT IT BATT A HEH SE FB A — FB. RET SME YEA AE RS BOR BSS WBE. AM, AKA BIG VAR(1) HAI, Bl Sie] _ fou $12] [D101 fie ie [sn les [2] (9-62) SOc, HW Os AEMALD. 4 $1 =0 HX =diag(ot,o3), WR AVPRBE HE yo, HEB, AH DIT HE Ph Ae A) , Be I BS A Pt $8 (Engle,Hendry and Richard, 1983) #8 XH4R WK HES SOR BBE. TEMPER AL FA (9.62) BL — AOE ABE IE PAE, BRIA TH y,, WE TWAD RNRR GES ROR SERA OC & 243 ER (9.62) PROTA” He BRE 1 ES He HH (Granger, 1969) #2, EER AE ESP EMRSRA— CNH, ERARND TRE FP EME HAS PE HET HEE BT ABA AA BNR. ARE RS Mt the TRE AE. Blin, Kt RITA, RAT BLE yo tty ARAM ARR, MRK (9.63) BLE, E(yiel Yaenas Yoe-1) = EO ail oe) (9.63) RORER, vn HATH», LRARHH. Ho TRH (9.62), 25M yo, Xt 91, RARER AREA RMR $1 =0. BUR BY RATE FAK (9.55) ~ R958) 4 HY Be RE REAR SP BL BY, FR NAPA AC RAM Y, MERA. eH, TRENE ¢ HHSVMERAAD IN. WT RBA, RAT SST A Bk OH 2 WM PC. ABLE AB Beh SK (9.64) FBR Y= @:Y-1te — e~(O,diaglof.+++,0% ]) (9.64) FF LABE BOT BA MT BY — 7S HY Bh hs BB OEY) OP OT, BEAT AT LAT : Xy=eg =(c,000 + 0) (9.65) X= Greg X= OF X= O,"eg (9.66) PBT RGB m RAB, HY X,(2 =0,1,2,-°, A) AAA m BUS) tH BE BE BP IT. Ye, AUD SEER >) BAAN AERA RSS HE (9.65) "HY eg FA Peg! SeARAE IX HL P HD) = PPK ELLA PR—S PSA PER YY, RT AEM EAR — PE & Pa AML 0B AR BABB 89 7S AL APE ABE 244 Rt, RAR A— TAY PPE, RRM ORE Y, BT Al RHE UE LS HE X, PA mm TARA RE, MEF VAR ( p ) BAY A BK OP BZ PE AT LH SA Wo = (Iq B,~— B,)} (9.67) SFI Ti i EEE VAR (3) BL, 4 OY, BCom, ,d,, o,) HERAT, BBD EEE THA: 49.96 152.37 -0.3 Y=} 13.34 49.57 -0.05 109.32 456.15 2.37 Se, BATT A LAA SA He, Bh TH BS ATK ‘Bi HE TT SA ES OS ABA TB , RY ER AT EF VAR(3) BB HH = AE BO BAC CI PR BOOK HE — 2 PB , SL 9—1~ Bl 93, 0.50 (9.68) 0.25 0.00 47>" -0.75 T Ty 7 T 5 10 15 20 25 — T ans 30 35 40 45 50 FO 1 SETS HF RAR AE a BB BSR BSE AEA & o 245 5 10 15 20 2 30 35 40 45 50 HH 9—3 XS Hh AY AR HE Rh a & Fab NAR BAB 8 78S AL FE ABA 246 5 PLT A OY PPE, BNE ZE SO BAUS Ye BL hae 9 BRIE BA BEM Oo HF RAL a 09 BY me FF TEBE TE SEE ELL, VAR i} Fy AG FF ZEA EDR VAR ALENT OT FB — PM RE, BR ATT A A HG Zp HTHMRANTS PR-BSRAR-+ERRSR. HK R (9.60) FB = CAR SE x A AY BT MB TR [fr] bu fee] (9.69) €2,042 bo Pap tbeaeat MTS — APE BATIBLE D = diag (0,7, 03) , SU SAMY BEBE HY Tr BE wR F: oi(1 + of1) + oh03 (9.70) (9.70) 8958 — BBS} AT BOR BOE HF A ARE eT SBF oho} RTM RU AEH FHA ETT MY. HEAR ADMIRER ARE BASE y, AREA BM FHM y,, WT HE. HE — PONE AF ERT TH Bh A BE AY VAR (3) BEA BY RE FRNA, WH I—2, RI—-2 VAR(3) QB ABT h 2 BRL MR TLS A BT AR ED Hh HOH NAR SE eH (BR PAS NEDM REA RNAD He PRADRS RRSP EM Set AY FB A AY TEAK) HOB Aa A m, d, De m, d, Pe m, d, Pe h 1 100.00) 0.00 | 0.00 | 12.26 | 87.74] 0.00 | 8.01 | 3.62 | 88.37 2 99.02 | 0.00 | 0.98 | 13.54 | 85.98 | 0.48 | 6.96 | 9.05 | 83.99 SAR BSE AS AE & 247 wR HBB Ata EO * m, d, P, m, d, P, m, d, P, 3 98.85 | 0.05 | 1.10 | 18.23 | 80.15 | 1.75 | 6.91 | 15.50 | 77.60 4 98.80 | 0.20 | 1.01 | 20.45 | 77.89 | 1.66 | 6.78 | 16.91 | 76.30 5 98.47 | 0.38 | 1.15 | 22.49 | 76.00 | 1.51 | 6.51 | 18.74 | 74.74 10 | 96.98 | 1.75 | 1.26 | 32.57 | 66.38} 1.06 | 6.00 | 25.68 | 68.32 15 | 95.30 | 3.54 | 1.17 | 40.17 | 59.01 | 0.82 | 6.98 | 28.73 | 64.29 20 | 93.65} 5.30 | 1.05 | 45.81 | 53.53 | 0.66 | 8.95 | 30.06 | 60.99 25 | 92.17] 6.58 | 0.95 | 50.00 | 49.44 | 0.56 | 11.35 | 30.57 | 58.08 30 | 90.89 | 8.24 | 0.87 | 53.15 | 46.36 | 0.48 | 13.81 | 30.68 | 55.51 35 | 89.81 | 9.39 | 0.80. | 55.57 | 44.00 | 0.43 | 16.15 | 30.61 | 53.24 40 88.90 | 10.35 | 0.75 | 57.46 | 42.15 | 0.39 | 18.29 | 30.46 | 51.24 45 88.13 | 11.16 | 0.70 | 58.96 | 40.67 | 0.36 | 20.23 | 30.29 | 49.48 50 87.49 | 11.85 | 0.67 | 60.18 | 39.48 | 0.34 | 21.96 | 30.12 | 47.93 ERE AS (MF — PE EB HK ) HE P,P, EAT AY A HIRE A Se HIE SEF 100.00. PALL, Mt A = 4, TH A BD BRM By BEY 98.80% J FE SpE IE a, EE A ME OD A 35 a OT EM Ts OE ER 20.45% 45 6.78% SB— BBS (Zea) 20H , TH Oo OR EES a Fe AA WA GEE. BOB A A Re A RAAT TAORNAR EE. RTVRRED PARSE HERGMKN. Ba HERI BORN RE EEE BFA S, SRA AT th Bit ER—H RMAC T SEAN APAA HT PHRLRS. KB BAR TEKS BT HGP HY Bi He A BRE EY RTT $s 6 ML FE BA 88 7S NPE NAB 248 APM SAT ALFA XX — BRA A RY. Ab as eS RARPHBERELERER HN. EF—-R RHR PPAR PA. KAKA — TE AE Et BR AT DP SH HA. Ez tak SEA EME REEL SAR PAA TRE TE 4 8 PTT IS YAR EPME , BIH SEH 6 WMA ARCH SRaE eR PERT , Wf — Aa BE HALE Te) PEP UH) eS I a A ER SH, X-HNAHS-RERTCRAURLDS 3K BAA, a PE I A PS HE, PH , BBB 9 Wwe th TF A Oe a So SHY HT . AM, 7 OEM TERE, RR Se ATP PUM SE ARE. Bb, 4 x, My, BA BRM ,c,-y, AT RRBK-BH. RNAT BW 2, BARREN y, HEBRE, HFSS BEEN Ue FF AB Ce — se Eb, IA RAR , er A TAL FP A SE TE tT BE AE A PALL, UES BURT TBS A ES AY BE ER BEANE RRAAEYOGRERAS MBI WHS & AML 79/88 7B BARS 7B 89 Ait AB APE NS ABE 250 ERY Be BE AT TB FD EB ESE, aE AY EE RE ER PEMA ERSHAS TEAL. As eK-M RRERH ERARPERMS 1, 4R, EXR-RRERNLEVCRABLA Bony Fe HE te (3 tte BR PE) oA A ZK A A HE (Engle and Granger, 1987) HHS RR BBVA , OAT ARS T FORA OEE KE. MPUHRRRAL RT ENB SORHHARART URS HK CA, RIOT A Ee EH A LSP, RR SE A PR HY HE yO Pd ES be 24 at TP 3 Ha a St Pak ire aut, Mie = Me-1t rye Y2,0= Va,e-1 4 2,¢ LRRD, PS 2h 30. BA LE A IA LM eS, BATT A AS I ae: Die = Byatt BRK SB POAT AE RAH, RAHM RA, FB BY R? MERE F 1, Mb ee YS I Hy 2 Ht A LB 28 18 (Granger and New- bold, 1974) Hy BLiOl44 FR, tH AY WL Philips (1986 ) Xt JH Bt VE AY TE sk Wo YE FE Ae FB ABR BAR , OS BRAT CE RE , AS BE HB LH, ATT AT SBR ARMA. Ae, Powe od OT TEE HE Re SE A To EX—HM 10.2 F, RHR VAR AH PMP. EI BT, ZE 10.1 PRESA-KRAMSSHS REO RME EMT VAR(1) #82). BU RER H SR PE bh BY FA ER RAK, LF WWSM, ti, Hylleberg and Mizon(1989b). WT 4 HAG SEREATAHaATR AMDB, KRERBSHRER HAR AHS 22% (Engle and Granger, 1987) 2 $8 4 (Johansen, 1991 ) #11 #8 SHAE (Boswijk, 1994) ArH Hi. MPRA, ARM AAP RD TRERAMY. AMBMWEA A UZ Banerjee et al. (1993) ,Hendry SAO SEA 7H E/E Ss 251 (1995) , Johansen(1995) All Boswijk (1998 ) 5 3c mR HH i wet ip 5 SL A EPH AAI, MIG HE 10.3 WAH ESE a eS HE HARES 10.1 CLEAR WHBAAIR R-HERB BAI GH HV BS ZA AE BH A Bw YE Bo HEA SF IF BB Ti Sa A 4b FF BBB EL BUF FA De BY Hs EE I BB FP AVR LD RATA 7G VAR(1) SE AE BEA. BAHRR AE BBA TIAL BY yy, A yo, e HF EL ABR ES DT aT FF 3B DAF 28 RIE SR HER) VAR(L) RA AA OE £2), Bs Viet Oda, = Use = pr + pr%-1 4+ ete, OSpyS1 (10.1) Viet We = Wes We = wr + px. + Er,25 OL p,<1 (10.2) RH 0+ a —-TARIG 0 Ay RRM EF OREO MH BF 0. ef Myst BART ABE cf Me] AEN ARE RB FE, ZETA ROH Js AB A Oe, BS HE (10.1) 49 (10.2) BRT, Xt 1A y2, HORTA REA RE ARCA. GR (ESR ABS MW VAR) AHMBA, RERMGRUK (10.1) MIX (10.2)18Z 0 STRELA po, WE. MFT BED, A= AA Tl A HE DE, EP A — PE ABB BO SK (10.1) 45 ZR R(10.2) AA AE. ARR, 0, = 0. =1, RRA yA V2, BEAT REA RE — A LE EE HOR pe A pt RSF O HY HUT RA RES) ARERR yA yo FE CL) EM, Ast, CATA S REAP A. TERE RF py = p= 1,948 1 & BR ANe / 90 7A ASB 788 ABE APE FAB 252 92, AA PLR EH FRAE LB yy WREBS, MOAT FERL AT SELAH. PAPER ARE EA HY. SB AMPAPRRE OS; <1,1=1,2. KRRKA y,, Ay WER RAS REE BA AR) UE, Alt, 1, Ao, FaREP FEM. Fy TRB A AY AS TBD PD), THE RY ASP PE ZS OP B= HARA LARA BHM, BI: 0,=1 BH 0 etal’X, (10.19) FAME a LY, HREM SY. KEK (10.1) FR (10.2) HAY PE & BEAL F/B AR BA BES AEA APE NAB HF, HAAR (10.12), RAR WET ULE oL’¥,=(1.8)[7" |= yet done (10.20) 32,6 XH v, EK(10.1) PRE. Eo =1H, FA o, MRA-AAR BM PPI. HH (10.19) RW al’ Y, A-REEBRRD a 1’ ot Ob ARAL ol’ REF: al’p = (9-8) qed — bud) + OC pt + wt )] =n (10.21) Rut, 4a lp =0 MRA YS ef =0,78 yA ye, PHOS BG PGA PIER AREER RD. ER (10.1) P x. =0 MRE 1 = 100< py <1) Ht FR (10. 13) 95h (10.14) AY ECM HERE: Ayre = ail — pt 70 2) + y1e-1t Dae-al ter, (10.22) Aiya,e= aal ~ et AL 2) + y1ye-1t Dae-1) + €2,2 (10.23) EWBRKA PE RRRRE DHS. RASA BRM RE EK Boye + ye, ABE et /(1 — 92), XAT BB AK (10.2) PBB. WAR BAT ASK (10.22) 5X (10.23) AE BE, ATH SB , 2, BBB PA BLUE ETT SRE PT GAB FEB BH BZ F—PMB FR (10.1) FR (10.2) 19 AE MAA BE, SOL FES TE= A A ot A el? BSF OE DLE TA UE ABR SR LAE DE SETA RL — a e E PARADA Ot FE HK, VA ZB SE Tel AY LP ARR — AG Be, A, Nat PP te SEY 3X (10.1) AIK (10.2) FY w, FPA v, FRE RAE RT SP: a= pt tcf tt ory. t ef,, 0Spy<1 (10.24) =p? trp tt p2wm,-1ter,,0Sex<1—- (10.25) HBR cf Sc] HEF OM, MSE AY BL eR PB SAO SEA ADEE S 259 to GRE RA RUE BR MME RTFM ESR cf 4H rf SF 0. RMR. - cf on) ¢ MRA B (10.22) A (10.23) 8S PH RAR. MRE VAR MMA LHR KRM RNG OLART ARREST. 10.2 #HeR5SHB FERS VAR(p MA: Y,= pt ®Y,-,+ ®,Y,-2+ + BY, , +e (10.26) SOP Y, B—Th(m x 1) EAL, OS 91, Bl ym.o R(10.8) ML, HRT EYRE HGR (10.26) MILA ZE AY EF, BY: ALY, = e+ PQ Y,-1 t+ Ty Y,- psi t HY,-p te (10.27) ee [= (@, +O, +--+) —I,, 1=1,2,-%,p-1 (10.28) T=9,+ +--+ 6,-I,, (10.29) HP ASHE Y, Hm FRAZER TE BD)? OARS 1 mt, RR REM — BRS HORA —H,T RARE RRL F 0. RRR RA O AB RE, BREEDER. BE, RING R—BAH AERA HE BMRA F 0 RAAF m. AB (Johansen, 1988) ih TF {RG Hb AK , SW Johansen(1991,1995). ABR AKA | RE BE ADF Ji ZEEE A LF BY HE, 3 ws th AT A ASR (10.27) Bo SLE M-TH AAAS MR ©, (L)H VAR(p) Ra, MAES % ©, (L)Sm: ©,(L)= - ML? -1,_,(L)(1-L) (10.30) $s BEML B/E BAB 7B 8 ABE NB) APE 9) ABEL 260 eB OT eK (10.29) PEMA DP, -1(L)—T( p - 1) PSH, 4 m=1 Ht, (10.30) RMR ADF RAE RY. 4X (10.27) VARAD?, FE=MARH HR. BH, TRASH, ARE RETO. HK BE RST m. H=HARAEE 0 ERWKRM, BY O

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