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经济分析、计量建模与预测中的不可预测性AI 解读

Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated information sets. The implications of unanticipated shifts for forecasting, economic analyses of efficient markets, conditional expectations, and inter-temporal derivations are described.…

外生性、协整与经济政策分析AI 解读

This overview examines conditions for reliable economic policy analysis based on econometric models, focusing on the econometric concepts of exogeneity, cointegration, causality, and invariance. Weak, strong, and super exogeneity are discussed in general and these concepts are then applied to the use of econometric models in policy analysis when the variables are cointegrated. Implications follow for model constancy, the Lucas critique, equation inversion, and impulse…

涵盖原则与假设检验AI 解读

The exponentially tilted family of densities is used to discuss the relationship between the encompassing principle and the M -test or conditional moment testing principle. It is shown that the two principles are capable of generating the same test statistics and in this sense equivalent. However, there are differences in motivation and emphasis underlying the principles that are important in econometric modeling. In addition, parsimonious encompassing interpretations for…

摘要暂缺

利用面板数据进行有效估计AI 解读

IN AN IMPORTANT RECENT PAPER, Hausman and Taylor (1981)-hereafter HT-considered the instrumental-variable estimation of a regression model using panel data, when the individual effects may be correlated with a subset of the explanatory variables. They provided a simple consistent estimator and an efficient estimator. More recently, Amemiya and MaCurdy (1986)-hereafter AM-have suggested an alternative estimator which is more efficient than the HT estimator, under certain…

涵盖原则及其在非嵌套假设检验中的应用AI 解读

The encompassing principle is used to develop a testing framework which unifies the literature on non-nested testing, allowing analysis of the relationship between alternative tests and in particular enabling asymptotic and finite sample equivalences and identities to be established easily when they exist, as well as embracing nested hypothesis testing. The concept of the implicit null hypothesis of a test is introduced to show that the effective acceptance region for some…

非线性模型的推断程序：英国工业截面中的要素替代与规模报酬AI 解读

Grayham E. Mizon, Inferential Procedures in Nonlinear Models: An Application in a UK Industrial Cross Section Study of Factor Substitution and Returns to Scale, Econometrica, Vol. 45, No. 5 (Jul., 1977), pp. 1221-1242