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\u4e0a\u500b\u6708\u5c31\u6709\u7d93\u6fdf\u5b78\u8005\u767c\u4f48\u4e86\u4e00\u7bc7\u77ed\u6587(\u8a3b)\uff0c\u8a0e\u8ad6\u5982\u4f55\u5728\u4eca\u5e743\u6708\u4e4b\u5f8c\u4f7f\u7528\u7d93\u6fdf\u5b78\u8005\u5e38\u7528\u7684VAR\u6a21\u578b\u3002\u6240\u8b02VAR\uff0c\u7c21\u55ae\u4f86\u8aaa\u5c31\u662f\u4e00\u500b\u8655\u7406\u591a\u500b\u6642\u9593\u5e8f\u5217\u7684\u8a08\u91cf\u5de5\u5177\uff0c\u6b78\u7d0d\u51fa\u4e0d\u540c\u6578\u64da\u4e4b\u9593\u6642\u9593\u4e0a\u524d\u524d\u5f8c\u5f8c\u7684\u95dc\u4fc2\uff0c\u53ef\u4ee5\u7528\u4f5c\u9810\u6e2c\uff0c\u4e5f\u53ef\u4ee5\u52a0\u4e0a\u4e00\u4e9b\u5047\u8a2d\uff0c\u62c6\u89e3\u6578\u5b57\u4e0a\u4e0b\u6ce2\u52d5\u7684\u4f86\u6e90\u3002 \u4f5c\u8005\u7684\u5efa\u8b70\uff0c\u662f\u53c3\u8003\u57fa\u672c\u8a08\u91cf\u7d93\u6fdf\u5b78\u5165\u9762\u7684generalized least squares\u65b9\u6cd5\uff0c\u4e0d\u628a\u6240\u6709\u6578\u64da\u4e00\u8996\u540c\u4ec1\uff0c\u5bb9\u8a31\u6700\u8fd1\u5e7e\u500b\u6708\u6709\u8d85\u7d1a\u5927\u7684variance\uff0c\u4e00\u65b9\u9762\u900f\u904e\u964d\u4f4e\u6b0a\u91cd\uff0c\u6e1b\u5c11\u4e86\u9019\u4e9b\u6578\u64da\u5c0d\u4f30\u7b97\u7684\u5f71\u97ff\uff0c\u4e00\u65b9\u9762\u53c8\u4ee4\u6a21\u578b\u70ba\u672a\u4f86\u4f5c\u9810\u6e2c\u7684\u6642\u5019\uff0c\u5305\u62ec\u9019\u500b\u8d85\u7d1a\u5927variance\u4ee3\u8868\u7684\u4e0d\u78ba\u5b9a\u6027\uff0c\u7b97\u662f\u500b\u5169\u5168\u5176\u7f8e\u7684\u59a5\u5354\u65b9\u6cd5 \u8a3b\uff1aLenza, Michele, and Giorgio E. Primiceri. &#8220;How to Estimate a VAR after March 2020.&#8221; Manuscript, Northwestern University (2020)."}