论文检索

理性预期模型中的平稳泡沫均衡AI 解读

A linear rational expectation model with current expectations admits a unique linear stationary dynamic equilibrium only under specific restrictions on the parameter values. This paper shows that, in general, there is a multiplicity of stationary dynamic equilibria due to the existence of nonlinear stationary equilibria. These nonlinear stationary equilibria are consistent with the self-fulfilling prophecies that characterize the rational expectation equilibria, and can…

相合伪极大似然估计量与变换群AI 解读

In a transformation model yt=c[a(xt,β),ut], where the errors ut are i.i.d. and independent of the explanatory variables xt, the parameters can be estimated by a pseudo‐maximum likelihood (PML) method, that is, by using a misspecified distribution of the errors, but the PML estimator of β is in general not consistent. We explain in this paper how to nest the initial model in an identified augmented model with more parameters in order to derive consistent PML estimators of…

有限维依赖下的衍生品定价AI 解读

We consider derivative pricing in factor models, where the factor is Markov with Finite Dimensional Dependence (FDD). The FDD condition allows for explicit formulas for derivative prices and their term structure and in this respect is a serious competitor of models with affine dynamic factors. The approach is illustrated by a comparison of the prices of realized and integrated volatility swaps. We show that the usual practice of replacing a payoff written on the realized…

违约事件定价：意外、外生性与传染AI 解读

In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically price the default intensities, but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the default-event surprise, is neglected. Our paper develops an approach to get closed-form expressions for the prices of credit derivatives written on multiple names without neglecting…

摘要暂缺

摘要暂缺

摘要暂缺

间接推断AI 解读

In this paper we present inference methods which are based on an 'incorrect' criterion, in the sense that the optimization of this criterion does not directly provide a consistent estimator of the parameter of interest. Moreover, the argument of the criterion, called the auxiliary parameter, may have a larger dimension than that of the parameter of interest. A second step, based on simulations, provides a consistent and asymptotically normal estimator of the parameter of…

从 VAR 模型到结构模型：工资—价格螺旋的应用AI 解读

Abstract In this paper a VAR model is considered as a general framework in which a structural model can be tested. We carefully describe the hypotheses defining a structural model; this leads us to discuss various notions such as: predeterminedness, non‐causality, exogeneity, contemporaneous identification, overall identification, weak and strong structural forms. Then we propose a test procedure, based on the asymptotic least‐squares method, which allows successive testing…

混合形式原假设检验的一般框架AI 解读

A general framework for asymptotic tests is proposed. The framework contains as particular cases tests based on various estimation techniques: maximum likelihood methods, pseudo-maximum likelihood (PML) methods and quasi-generalized PML methods, m -estimation methods, moments or generalized moments method, and asymptotic least squares. Moreover the null hypothesis has a general mixed form, including the usual implicit and explicit form.

共同根检验AI 解读

In this paper, the authors propose a simple procedure for testing the existence of common roots in lag polynomials. They first show, by using a generalized Bezout property, that this hypothesis can be put under a "mixed" form that is linear with respect to the auxiliary parameters and with respect to the initial parameters. It follows that the test procedures can be implemented only by using regressions packages. Copyright 1989 by The Econometric Society.

序列相关的一般分析框架AI 解读

In this paper the testing and estimation problems are discussed in the case of serial correlation. Various models are particular cases of the general framework considered: the nonlinear simultaneous equations models, the probit models, the tobit models, the disequilibrium models, the frontier models, etc. In this context, it is shown that the score test can be written explicitly and that the statistic obtained is a generalization of that of Durbin and Watson; moreover, the…

伪极大似然方法：泊松模型的应用AI 解读

Pseudo maximum likelihood techniques are applied to basic Poisson models and to Poisson models with specification errors. In the latter case it is shown that consistent and asymptotically normal estimators can be obtained without specifying the p.d.f. of the disturbances. These estimators are compared both from the finite sample and the asymptotic point of view. Quasi generalized PML estimators, which asymptotically dominate all PML estimators, are also proposed. Finally,…

伪极大似然方法：理论AI 解读

Estimators obtained by maximizing a likelihood function are studied in the case where the true p.d.f. does not necessarily belong to the family chosen for the likelihood function. When such a procedure is applied to the estimation of the parameters of the first order moments, it is possible to prove a necessary and sufficient condition for its consistency. Asymptotic normality is shown as well as the existence of a lower bound for the asymptotic covariance matrix. It is also…

摘要暂缺

联立方程系统中的非均衡计量经济学AI 解读

This paper considers the econometric problems raised by multi-market disequilibrium models. It uses a specification which is derived from general disequilibrium theory and, therefore, provides a first bridge between the economic theory approach and the econometric theory approach of disequilibrium. The model is piecewise linear; the problem of the existence of a reduced form, which is a crucial issue in nonlinear models, is solved. Limited information estimators as well as…