Reduced Form 有比较强的数据假设,往往无法满足。所以主要得解决内生性问题。好处是对模型设定没有太大的要求,可以快速进行数据分析并得出结论。现在流行先进 model-free evidence 然后再 structural Structural Form 有比较强的模型假设,商学院最常用的就是DCM,主要得解决识别问题。比如说,不存在异质性,需求弹性一致等等。
一、【reduced form】：直接拿“价格Px和收入M”对需求量做线性回归，得到回归函数Q=β1Px+β2M+α+...
上网查阅资料,得知reduced form和对应的structural form是经济学上的名词,具体不再赘述了,在这里reduced form代表简化式,可以用gcd(a, b)(计算a和b的最大公因数)来检查一个分式是否为结构式。相应的structural form代表未化简的式子。这个例子让我明白遇到陌生的东西应该去搜索,如果ppt里给出了不一样的例子,我对...
不同的情境有不同含义计量模型的构造总结就是reduced form就是你认为/理论认为有x和y的关系，你reg y x。而structural form就是直接从模型中得到关系式，然后用数据去估计里面的参数，多见于宏观、实证产业组织。例如估计消费模型中的跨期折现因子，或者模拟资产风险/利率之类，cochrane的资产定价课程做过...
简化式一般是通过结构式变型得到的。 对简化式方程,方程的左边全都是内生变量,方程的右边全都是前定变量(包括外生变量,以及滞后内生变量)。 In econometrics, the reduced form of a system of equations is the product of solving that system for its endogenous variables. In other words, the reduced form...
Zhu, (2005), "Reduced form vs. Structural models of credit risk: A case study of three models", Moody's KMV, Feb 17, 2005, URL: http://www.moodysanalytics.com/~/media/Insight/Quantitative-Research/Credit- Valuation/05-17-02-Arora-Bohn-Zhu-reduced-structural....
Reduced model根据历史数据用company’s specific variable以及macro economic variable找出违约概率,并解释公司未来when default occurs,与structural model不同,reduced model中的POD是一个外生变量(external)。优点是输入变量是可以观察到的历史数据,可以反映出公司经历的经济周期,模型用的数据都是金融市场公开数据。缺点是...
ReducedFormvs.StructuralModelsofCredit Risk:ACaseStudyofThreeModels ∗ NavneetArora,JeffreyR.Bohn,FanlinZhu Moody’sKMV February17,2005 Abstract Inthispaper,weempiricallycomparetwostructuralmodels(basicMertonandVasicek- Kealhofer(VK))andonereduced-formmodel(Hull-White(HW))ofcreditrisk.Wepropose ...
We contrast structural and reduced form empirical studies in environmental and resource economics. Both methodologies have their own context-specific advantages and disadvantages, and should be viewed as complements, not substitutes. Structural models typically require a theoretical model and explicit assumpti...
Reduced Form vs. Structural Models of Credit Risk: A Case Study of Three Models In this paper, we empirically compare two structural models (basic Merton and Vasicek-Kealhofer (VK)) and one reduced-form model (Hull-White (HW)) of credi... Navneet Arora,JR Bohn,Fanlin Zhu - John Wiley...