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基于 GMM 的 Wald 检验的小样本性质AI 解读

This article assesses the small-sample properties of generalized-method-of-moments-based Wald statistics by using (a) a vector white-noise process and (b) an equilibrium business-cycle model as the data-generating mechanisms. In many cases, the small-sample size of the Wald tests exceeds its asymptotic size and increases sharply with the number of hypotheses being jointly tested. We argue that this is mostly due to difficulty in estimating the spectral-density matrix of the…

重新审视永久收入假说AI 解读

Measured aggregate U.S. consumption does not behave like a martingale. The authors develop and test two variants of the permanent income model which reflect that. In both, agents make decisions in continuous time. In one variant, martingale behavior holds; serial persistence in measured consumption reflects only time aggregation. In the other, serial persistence also reflects technology shocks, and martingale behavior does not hold. Using both structural and atheoretical…

利用总量时间序列估计跨期替代模型AI 解读

In conducting empirical investigations of the permanent income model of consumption and the consumption-based intertemporal asset pricing model, various authors have imposed restrictions on the nature of the substitutability of consumption across goods and over time.In this paper we suggest a method for testing some of these restrictions and present empirical results using this approach.Our empirical analyses focuses on three questions: (1) Can the services from durable and…