Application of Bayesian Autoregressive Distribution Lag Model in Economic Data Analysis

Journal of Chuxiong Normal University ›› 2020, Vol. 35 ›› Issue (6): 11-16.

• Mathematics • Previous Articles Next Articles

Application of Bayesian Autoregressive Distribution Lag Model in Economic Data Analysis

YANG Xinping, SONG Yunqiu, ZHANG Ye, HE Yuwei

School of Mathematics &Statistics, Chuxiong Normal University, Chuxiong, Yunnan Province 675000;
Statistical Bureau of Chuxiong Prefecture, Chuxiong, Yunnan Province 675000;
School of Economics &Management, Chuxiong Normal University, Chuxiong, Yunnan Province 675000;
Panzhihua Radio &TV University, Panzhihua, Sichuan Province 617000

Received:2020-04-19 Online:2020-11-20 Published:2021-03-29

Abstract

Abstract: Firstly, based on the autoregressive distributed lag model, the appropriate prior distributions are designated and the Bayesian autoregressive distributed lag model is established by combining it with the Bayesian modeling theory. Slice Gibbs sampling is used to get samples of posterior waiting estimable parameters and accomplish Bayesian inference. Secondly, the GDP and the added value of the tertiary industry of Yunnan Province are used as samples to accomplish empirical study. The results of Bayesian autoregressive distributed lag model show that it has excellent fitting effect compared with the traditional ADL model and the added value of the tertiary industry contributed greatly to the GDP of Yunnan Province as it accounted for a considerable portion of the latter. Lastly, suggestions regarding adjustment of industrial structure of Yunnan Province are made according to results of analysis of the model.

Key words: Bayesian-ADL model, slice Gibbs sampling, Monte Carlo error, GDP of Yunnan Province, tertiary industry

CLC Number:

O212.8

YANG Xinping, SONG Yunqiu, ZHANG Ye, HE Yuwei. Application of Bayesian Autoregressive Distribution Lag Model in Economic Data Analysis[J]. Journal of Chuxiong Normal University, 2020, 35(6): 11-16.

References

[1] 王燕.时间序列分析–基于R[M].北京,中国人民大学出版社,2017:5–6.
Wang Y.Time Series Analysis With R [M].Beijing:China Renmin University Press,2017:5–6.
[2] Engle R F.Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom.inflation[J].Econometrica,1982,5(4):987–1008.
[3] Lunn D,Jackson C,Best N,et al.Practical Introduction to Bayesian Analysis[M].London,UK:Chapman &Hall,2012:256–263.
[4] Meyer R and Millar R B.BUG in Bayesian stock assessments[J].Canadian Journal of Fisheries and Aquatic Sciences,1999,56(6):1078–1087.
[5] 孔丽娜.ARCH模型族的贝叶斯分析及其在经济中的应用[D].广州:暨南大学,2009.
Kong L N.The bayesian analysis of ARCH model family and its application in economy [D].Guangzhou:Jinan University,2009.
[6] 沈以娜.三次产业、三大需求结构与经济增长——基于云南的数据分析[J].云南科技管理,2015:28(4):7–10.
Shen Y N.The three industries,three major demand structures and economic growth:data analysis based on Yunnan[J].Yunnan Science and Technology Management,2015,28(4):7–10.
[7] Spiegelhalter D,Abrams K R and Myles J P.Bayesian Approaches To Clinical trials and Health-care Evaluation,Statistics in Practice[M].Chichester,UK:Wiley,2004:158–160.
[8] Lunn D J,Whittaker J C,Best N.Bayesian toolkit for genetic association studies[J].Genetic Epidemiology,2006,30(3):231–247.
[9] Neal R M,Slice sampling (With discussions and rejoinder)[J].The Annals of Statistics,2003 31(3):705–767.
[10] Jones O D,Maillardet R,Robinson A.“Introduction to”Scientific Programming and Simulation Using R[M].London:Taloy &Francis Group,2009:331–348.
[11] 易丹辉.数据分析与EViews 应用[M].北京:中国统计出版社,2002.
Yi D H.Data Analysis and Application of Ewiews [M].Beijing:Chinese Statistics Press,2002.
[12] Rizzo M L.Statistical Computing with R[M].London:Taloy &Francis Group,2008:97–116.
[13] Crawlay M J.Statistical Computing:An Introducation to Data Analysis Using S-Plus[M].New York:Wiley,2002.
[14] 杨新平,张烨,伍茜溪,等.云南省和楚雄州服务业的纵向对比分析[J].中国市场,2017,(17):78–80.
Yang X P,Zhang Y,Wu Q X,et al.The longitudinal comparative analysis of service industries in Yunnan and Chuxiong[J].China Market,2017,(17):78–80.
[15] Spiegelhalter D,Best N,Carlin B,et al.Bayesian meansures of model complexity and fit(with discussion)[J].Journal of the Royal Statistical Society,Series B (Stactistial Methodology),2002,64(4):583–639.
[16] 杨新平,杨云源,黄建飞,等.基于随机森林的“拍照赚钱”定价方案分析[J].楚雄师范学院学报,2019,234(3):133–138.
Yang X P,Yang Y Y,Huang J F,et al.Discussion on the pricing scheme“Making Money from Photography”based on random forest[J].Journal of Chuxiong Normal University,2019,34(3):133–138.

Application of Bayesian Autoregressive Distribution Lag Model in Economic Data Analysis

PDF (PC)

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 0

Recommended Articles

Metrics

Comments