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Одновременные Эффекты Несинхронных Временных Рядов: Проблемы Var-Модели

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  • Григорьев Р.А.

Abstract

НИИ проблем социально-экономического развития, Казанский инновационный университет им. В.Г. Тимирясова (ИЭУП), Казань. E-mail: Ruslan.grigoryev@yandex.ru Автор благодарит анонимных рецензентов за рекомендации по улучшению статьи. Автор благодарит Б.Е. Бродского за конструктивные замечания. Аннотация. Требование синхронности временных рядов не является часто встречающимся условием в теоретических описаниях эконометрических моделей и тестов на их основе. Однако ввиду того что большое число показателей в мире в силу распределенности субъектов анализа в разных временных зонах являются несинхронными, исследователи стали опрометчиво использовать классические эконометрические модели, успешно работающие с синхронными временными рядами, на данных несинхронного типа. Эта статья подвергает критическому анализу применение несинхронных временных рядов в модели VAR Кристофера Симса из-за появления в них одновременных эффектов для отдельных переменных, которые при применении синхронных данных попросту отсутствуют. Новизна работы состоит в утверждении некорректности использования классических VAR- и VECM-моделей совместно с несинхронными временными рядами. Показано, что в процессе использования временных рядов, записанных неодномоментно, модель нарушает паритет начальных условий тестирования, где один из рядов получает преимущество в отклонении гипотезы грейнжеровского предшествия другому ряду. Наличие подобного диспаритета состоит в том, что временному ряду, записанному позже внутри наблюдения, классическая модель разрешает одновременные эффекты, а другому временному ряду модель в этих эффектах отказывает. Возможный вариант устранения подобных некорректностей лежит в использовании нескольких моделей VAR. Переменные лага 0 временного ряда, момент записи которого происходит позже ряда-оппонента, в случае SVAR-моделей приводит к нарушению принципов каузальности Юма. Нахождение данной переменной в составе модели нарушает корректную оценку других ее показателей, а грейнжеровское предшествие этой переменной в этом случае тестируется для направления из будущего в прошлое, что является неприемлемым.

Suggested Citation

  • Григорьев Р.А., 2019. "Одновременные Эффекты Несинхронных Временных Рядов: Проблемы Var-Модели," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 55(2), pages 118-129, апрель.
    • Handle: RePEc:scn:cememm:v:55:y:2019:i:2:p:118-129
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