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基于占优检验的市场投资组合一致无效率证据AI 解读

We find stochastic uniform inefficiency of many widely held (active) portfolios and fund strategies relative to popular benchmarks. Uniformity provides robust findings over general classes of utility (loss) functions and unknown distribution of returns. Evidence is based on statistical tests for the null of stochastic uniform inefficiency of a given portfolio. The alternative is that there is at least one portfolio that dominates it. We derive an analytical characterization…

误设模型的广义聚合：资产定价应用AI 解读

We propose a generalized aggregation approach for model averaging. The entropy-based optimal criterion is a natural choice for aggregating information from many “globally” misspecified models as it adapts better to the underlying model uncertainty and obtains more robust approximations. Unlike almost all other approaches in the existing literature, we do not require a “reference model,” or a true data generation process contained in the set of models — neither implicitly nor…

一般非对称依赖的检验AI 解读

Summary We propose a modified mutual information measure to capture general asymmetric dependence between two random variables. Based on this measure, we propose a test of asymmetric dependence and examine its finite‐sample performance. We show that our test has better power than competing tests with alternative dependence measures. Using the new test, we find significant asymmetric dependence in returns of commonly used stock portfolios and the market return both in the US…

存在样本选择时，我们能了解多少种族工资差距？AI 解读

We examine the distance and relations between the distributions of wages for two exogenously identified groups (black and white women here). The literature commonly employs decomposition methods for the conditional means, to propose explanations for observed wage differentials, as “structural” components, attributable to difference in market structures, and the “composition” components, attributable to difference in characteristics and skills. Estimation of these components…

多维聚合函数的识别与估计：福祉分位前沿应用AI 解读

We propose a new technique for identification and estimation of aggregation functions in multidimensional evaluations and multiple indicator settings. These functions may represent “latent” objects. They occur in many different contexts, for instance in propensity scores, multivariate measures of well-being and the related analysis of inequality and poverty, and in equivalence scales. Technical advances allow nonparametric inference on the joint distribution of continuous…

时间序列非线性序列依赖的熵检验AI 解读

We propose tests for nonlinear serial dependence in time series under the null hypothesis of general linear dependence, in contrast to the more widely studied null hypothesis of independence. The approach is based on combining an entropy dependence metric, which possesses many desirable properties and is used as a test statistic, with a suitable extension of surrogate data methods, a class of Monte Carlo distribution-free tests for nonlinearity, and a smoothed sieve…

金融风险管理策略的随机占优比较方法AI 解读

The Basel III Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one of a range of alternative risk models to forecast Value-at-Risk (VaR). The risk estimates from these models are used to determine the daily capital charges (DCC) and associated capital costs of ADIs, depending in part on the number of previous violations,…

混合分类与连续数据的分布相等非参数检验AI 解读

In this paper we consider the problem of testing for equality of two density or two conditional density functions defined over mixed discrete and continuous variables. We smooth both the discrete and continuous variables, with the smoothing parameters chosen via least-squares cross-validation. The test statistics are shown to have (asymptotic) normal null distributions. However, we advocate the use of bootstrap methods in order to better approximate their null distribution…

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美国环境质量近期趋势的稳健推断AI 解读

Abstract Understanding trends in environmental quality is important for individuals and policymakers. Typically, trends in environmental quality are determined solely through comparisons of unconditional or conditional mean pollution levels. However, reaching unambiguous conclusions on the basis of only the first moment of the (unconditional or conditional) distribution is problematic since it ignores what is occurring in different regions of the distribution. Even relying…

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动态模型的设定分析AI 解读

The theoretical and empirical implications of omitted variables, particularly dynamic adjustment effects, are studied. In particular, the attempt to model for such omission by including possibly irrelevant variables is investigated. This extends the existing knowledge of misspecification analysis in several directions. Ordinary least squares is the estimation technique under study, as has been the case in several recent and related studies. In our empirical example, the…

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多维福祉度量与密歇根调查数据的不平等分析AI 解读

We demonstrate a multidimensional approach for combining several indicators of well-being, including the traditional money-income indicators. This methodology avoids the difficult and much criticized task of computing imputed incomes for such indicators as net worth and schooling. Inequality in the proposed composite measures is computed using relative inequality indexes that permit simple analysis of both the contribution of each welfare indicator (and its factor…

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联立方程简化式系数的修正 Stein 型估计量AI 解读

In this paper a reduced form estimator is developed which combines the corresponding restricted 3SLS and the unrestricted LS estimators. This estimator is similar to the 'positive part' Stein-like estimators proposed by Baranchik [2] and S. Sclove [16] in the classical multivariate regression context. It is shown that, whereas the restricted (derived) 3SLS and 2SLS reduced form estimates possess no finite moments (hence have unbounded risk), the modified Stein-like reduced…