论文检索

气候敏感度是否因地区而异？变系数方法AI 解读

Global mean surface temperature has been increasing in response to growing greenhouse gas concentrations (IPCC, 2021). While Earth is getting warmer overall, regions that have different local geographical features experience unequal increases in temperature. In this paper, we develop a varying-coefficient dynamic panel data model and use it to measure local climate sensitivity, defined as the increase in temperature in a given location following a doubling of CO2…

全球气温与温室气体：共同特征方法AI 解读

We propose a common features approach for testing for common trends and estimating long-run relationships between variables with complex trends. Using this approach, we establish that global temperatures and the concentration of greenhouse gases share a common trend and we estimate their long-run relationship without conditioning on the exact nature of this trend.

通过典型相关确定误差修正 VARMA 模型的长期与短期动态AI 解读

Summary This article studies a simple, coherent approach for identifying and estimating error‐correcting vector autoregressive moving average (EC‐VARMA) models. Canonical correlation analysis is implemented for both determining the cointegrating rank, using a strongly consistent method, and identifying the short‐run VARMA dynamics, using the scalar component methodology. Finite‐sample performance is evaluated via Monte Carlo simulations and the approach is applied to…

含短期与长期约束的 VAR 模型选择、估计与预测AI 解读

We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We suggest a new two-step model selection procedure which is a hybrid of traditional criteria and criteria with data-dependant penalties and we prove its consistency. A Monte Carlo study explores the finite sample performance of this procedure and evaluates the…

宏观经济预测中的 VARMA 与 VAR 比较AI 解读

In this article, we argue that there is no compelling reason for restricting the class of multivariate models considered for macroeconomic forecasting to vector autoregressive (VAR) models, given the recent advances in vector autoregressive moving average (VARMA) modeling methodology and improvements in computing power. To support this claim, we use real macroeconomic data, and show that VARMA models forecast macroeconomic variables more accurately than VARs.

澳大利亚股票收益的波动率预测AI 解读

This article develops multivariate factor models for forecasting volatility in Australian stocks. We suggest estimation procedures for approximate factor models that are robust to jumps when the cross-sectional dimension is not very large, and also work with volatility measures that have been constructed so that they contain no jump components. Out-of-sample forecast analysis shows that multivariate factor models of volatility outperform univariate models, but there is…

七国集团产出的非线性自回归领先指标模型AI 解读

Abstract This paper studies linear and nonlinear autoregressive leading indicator models of business cycles in G‐7 countries. Our models use the spread between short‐term and long‐term interest rates as leading indicators for GDP. We examine data admissibility by determining whether these models have the ability to produce time series with classical cycles that resemble the observed classical cycles in the data, and then we ask whether this data admissibility lends itself to…

南非家庭特征与生活水平：考虑样本流失的分位数回归分析AI 解读

Abstract This paper examines whether the dismantling of apartheid has resulted in an improvement in the standard of living for the vast majority of South Africans. The study is based on a panel data set from the Kwazulu‐Natal province. We use weighted quantile regressions to examine the distribution of standards of living, which corrects for the potential bias arising from non‐random sample attrition. Our results show that there has been a significant increase in the spread…

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个体与总量食品消费函数的对应关系：美国与荷兰的证据AI 解读

This paper provides evidence from the US and Dutch budget surveys that income elasticity of family food consumption is a function of family income and other observable characteristics of the household. It also finds that the conditional variance of family food consumption depends on family income. This complicated pattern of dependence of family food consumption on income breaks the exact correspondence between the family and the aggregate food consumption functions. Simple…

个体与总量食品消费函数的对应关系：美国与荷兰的证据AI 解读

This paper provides evidence from the US and Dutch budget surveys that income elasticity of family food consumption is a function of family income and other observable characteristics of the household. It also finds that the conditional variance of family food consumption depends on family income. This complicated pattern of dependence of family food consumption on income breaks the exact correspondence between the family and the aggregate food consumption functions. Simple…

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