统计研究 ›› 2017, Vol. 34 ›› Issue (10): 119-128.doi: 10.19343/j.cnki.11-1302/c.2017.10.011

• 论文 • 上一篇    

动态因子模型的广义矩估计(GMM)及其统计性质研究

白强 白仲林   

  • 出版日期:2017-10-15 发布日期:2017-10-25

A Study of GMM Estimation and Their Statistic Properties for Dynamic Factor Models

Bai Qiang & Bai Zhonglin   

  • Online:2017-10-15 Published:2017-10-25

摘要: 对于一类存在截面相关性的动态因子模型,本文首次分别提出了动态因子向量和因子载荷矩阵的广义矩估计方法(GMM),该方法是对传统频域分析方法的补充;其次,分别研究了模型参数广义矩估计量的渐近性质和有限样本性质,研究发现,在适当的条件下,动态因子及其因子载荷矩阵的GMM估计不仅是具有渐近正态分布的一致估计,而且,他们具有良好的有限样本性质。最后,利用动态因子模型对我国6大类上市公司盈利能力增长性的共同驱动因素及其差异性进行了实证分析。

关键词: 动态因子模型 , 广义矩估计 , 一致性 , 渐近正态分布

Abstract: The paper first present the generalized method of moments estimation of the dynamic factors vector and the factor loadings matrix for a class dynamic factor models when the idiosyncratic components are cross-sectional correlation;the method studied dynamic factor model GMM estimation under the framework of time domain analysis,which is complementary to the existing estimates method;secondly,respectively to study the asymptotic properties of generalized method of moments estimation of model parameters and statistical properties of finite sample,under the appropriate conditions,it is proved that the GMM estimators of parameters are consistency and the asymptotic normal distribution. finally,we use dynamic factor models to detect common forces factors leading firm ?profitability growing of six categories listed companies and carry empirical analysis the differences of firms in China.

Key words: Dynamic Factor Models, Generalized Method of Moments, Consistency, Asymptotic Normal Distribution