论文检索

ROC 与同步性度量的统一联系AI 解读

Judging the conformity of binary events in macroeconomics and finance has often been done with indices that measure synchronization. In recent years, the use of Receiver Operating Characteristic (ROC) curve has become popular for this task. This article shows that the ROC and synchronization approaches are closely related, and each can be derived from a decision-making framework. Furthermore, the resulting global measures of the degree of conformity can be identified and…

含预期与结构变化模型的估计和求解AI 解读

Summary In this paper, we develop solutions for linearized models with forward‐looking expectations and structural changes under a variety of assumptions regarding agents' beliefs about those structural changes. For each solution, we show how its associated likelihood function can be constructed by using a ‘backward–forward’ algorithm. We illustrate the techniques with two examples. The first considers an inflationary program in which beliefs about the inflation target…

构造型二元时间序列模型的计量分析AI 解读

Macroeconometric and financial researchers often use binary data constructed in a way that creates serial dependence. We show that this dependence can be allowed for if the binary states are treated as Markov processes. In addition, the methods of construction ensure that certain sequences are never observed in the constructed data. Together these features make it difficult to utilize static and dynamic Probit models. We develop modeling methods that respect the…

DSGE模型的有限信息估计与评价AI 解读

Abstract We advance the proposition that dynamic stochastic general equilibrium (DSGE) models should not only be estimated and evaluated with full information methods. These require that the complete system of equations be specified properly. Some limited information analysis, which focuses upon specific equations, is therefore likely to be a useful complement to full system analysis. Two major problems occur when implementing limited information methods. These are the…

周期研究方式的分类框架建议AI 解读

Abstract The paper argues that it is important to realize that the concept of a cycle has rarely been precisely articulated in empirical work and that often researchers are using very different definitions of it. We propose a two‐fold classification based upon what series one is measuring a cycle in and how one would recognize a cycle in such a series. The paper illustrates how one can then categorize existing research based upon how it answers these questions. It also shows…

经济周期持续期依赖的检验AI 解读

In this paper, we discuss discrete-time tests for duration dependence. Two of our test statistics are new to the econometrics literature, and we make an important distinction between the discrete and continuous time frameworks. We then test for duration dependence in business and stock market cycles, and compare our results for business cycles with those of Diebold and Rudebusch (1990, 1991). Our null hypothesis is that once an expansion or contraction has exceeded some…

E.J.（Ted）Hannan：学术生涯与影响AI 解读

after having been a professor of statistics there for the 27 years preceding his retirement in 1986.He held visiting appointments at many overseas universities, including Stanford and Yale, and received numerous honors for his work, including a fellowship of the Econometric Society, the Pitman medal of the Australian Statistical Society, and the Lyle medal of the Australian Academy of Sciences.For many years, Ted was the sole Fellow of the Econometric Society in Australia,…

时间序列成分提取札记AI 解读

THIS NOTE SUGGESTS that the components models employed in [2, 3, 10, 11, 12 and 17] may be usefully analyzed within the state space framework found in the literature of control engineering. Such a formulation has the distinct advantage that a large corpus of filtering and estimation theory may then be brought to bear upon such models and has secondary benefits in the form of a greater lucidity of, and flexibility in, the exposition of the extraction problem. Further, by…

摘要暂缺