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7/29/2019 Inflationary Effects of Oil-Price Shocks
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t = + et +ut + z
z
t et
ut
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y1t = 10 + 11y1,t1 + ... + 1ky1,tk + 11y2,t1 + ... + 1ky2,tk + 1t
y2t = 20 + 21y2,t1 + ... + 2ky2,tk + 21y1,t1 + ... + 2ky1,tk + 2t
yt = 1yt1 + 2yt2 + ... + kytk + ut
(g1) (gg)(g1) (gg)(g1) (gg)(g1) (g1)
yt =
yt1 + 1yt1 + 2yt2 + ... + k1yt(k1) + ut
= (k
j=1j)Ig i= (i
j=1j)Igyti= 0
=
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H0 : yt = yt1 + ut , vs.
H1 : yt = yt1 + ut, < 1
yt
yt = yt1 +
p
i=1
yti + ut
ut
yt = yt1 + ut
H0 : = 0 , vs.H1 : < 0
H0 : yt I(2) , vs.H1 : yt I(1)
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Ut Ot Pt Et DtUtOtPtEtDt
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trace(r) = T
gi=r+1
ln(1 i)
trace
trace
0 1 < g
0 1 g
0 1
yt =
yt1 + 1yt1 + 2yt2 + ... + k1yt(71) + ut
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yt =
UtDt
EtPtOt
Et1
Ot1
Ut1
Pt1
Dt1
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Ot1
Ot1 Et1 Dt1 Ut1 Pt1
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H0 m1 = m2 = . . . = mk H1mi = mj
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