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y & x& = b y x d log( y) = dt da dt = da dy dy dt y& = y dx b dt = bx& 1 = y&= y y& y

40 30 20 10 0 both far near 当期 1 期前 2 期前 3 期前 4 期前 5 期前

0.45 0.4 0.35 0.3 0.25 0.2 0.15 0.1 0.05 0 1% 5% 10% 定常 -3.5-1 非定常

xt = a zt = a 11 t 1 + b x x 21 t 1 + b x 11 t 2 x 21 t 2 + a + a z 12 t 1 z 22 t 1 + b + b z 12 t 2 z 22 t 2 + u xt + u zt

load exm equation none.ls exviusa c iipus pdl(expiusa,6,2,0) equation near.ls exviusa c iipus pdl(expiusa,6,2,1) equation far.ls exviusa c iipus pdl(expiusa,6,2,2) equation both.ls exviusa c iipus pdl(expiusa,6,2,3) show none show near show far show both load unitgdp for!j=0 to 8 gdp95.uroot(c,!j) freeze gdp95.uroot(c,!j) next for!j=0 to 8 gdp95.uroot(t,!j) freeze gdp95.uroot(t,!j) next for!j=0 to 8 gdp95.uroot(n,!j) freeze gdp95.uroot(n,!j) next