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计量软件可靠性与 EViews 非线性估计：评论AI 解读

A recent software review in this journal (McCullough, 1999) raises serious questions about EViews' performance on nonlinear least squares problems. We demonstrate that after correcting errors in the paper and adjusting convergence tolerances, EViews performance was comparable with the other benchmarked software. Copyright � 2000 John Wiley & Sons, Ltd.

期限结构中时变风险溢价的估计：ARCH-M 模型AI 解读

The expectati on of the excess holding yield on a long bond is postulated to depend upon its conditional variance. Engle's ARCH model is extended to allow the conditional variance to be a determinant of the mean and is called ARCH-M. Estimation and infer ence procedures are proposed, and the model is applied to three interest rate data sets. In most cases the ARCH process and the time varying risk premium are highly significant. A collection of LM diagnostic tests reveals…