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评述AI 解读

Müller looks at the problems of interval estimation and hypothesis testing in autocorrelated models from a frequency domain point of view. This leads to good insights as well as proposals for new m...

违约率估计、相关违约与专家信息AI 解读

Capital allocation decisions are made on the basis of an assessment of creditworthiness. Default is a rare event for most segments of a bank's portfolio and data information can be minimal. Inference about default rates is essential for efficient capital allocation, for risk management and for compliance with the requirements of the Basel II rules on capital standards for banks. Expert information is crucial in inference about defaults. A Bayesian approach is proposed and…

改进动态模型的稳健模型选择检验AI 解读

We propose an improved model selection test for dynamic models using a new asymptotic approximation to the sampling distribution of a new test statistic. The model selection test is applicable to dynamic models with very general selection criteria and estimation methods. Since our test statistic does not assume the exact form of a true model, the test is essentially non-parametric once competing models are estimated. For the unknown serial correlation in data, we use a…

违约率估计与专家信息AI 解读

Default is a rare event, even in segments in the midrange of a bank’s portfolio. Inference about default rates is essential for risk management and for compliance with the requirements of Basel II. Most commercial loans are in the middle-risk categories and are to unrated companies. Expert information is crucial in inference about defaults. A Bayesian approach is proposed and illustrated using a prior distribution assessed from an industry expert. The binomial model, most…

异方差与自相关稳健检验的新渐近理论AI 解读

A new first-order asymptotic theory for heteroskedasticity-autocorrelation (HAC) robust tests based on nonparametric covariance matrix estimators is developed. The bandwidth of the covariance matrix estimator is modeled as a fixed proportion of the sample size. This leads to a distribution theory for HAC robust tests that explicitly captures the choice of bandwidth and kernel. This contrasts with the traditional asymptotics (where the bandwidth increases more slowly than the…

使用与样本量相等带宽的异方差自相关稳健检验AI 解读

Asymptotic theory for heteroskedasticity autocorrelation consistent (HAC) covariance matrix estimators requires the truncation lag, or bandwidth, to increase more slowly than the sample size. This paper considers an alternative approach covering the case with the asymptotic covariance matrix estimated by kernel methods with truncation lag equal to sample size. Although such estimators are inconsistent, valid tests (asymptotically pivotal) for regression parameters can be…

使用不截断Bartlett核的异方差与自相关稳健标准误AI 解读

In this paper we analyze heteroskedasticity-autocorrelation (HAC) robust tests constructed using the Bartlett kernel without truncation. We show that while such an HAC estimator is not consistent, asymptotically valid testing is still possible. We show that tests using the Bartlett kernel without truncation are exactly equivalent to recent HAC robust tests proposed by Kiefer, Vogelsang and Bunzel (2000, Econometrica, 68, pp 695-714).

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典型求职搜寻模型的贝叶斯分析AI 解读

Bayesian analysis for a simple but widely applied dynamic programming model is obtained. The setting is the prototypal job-search model. The general case of wage and duration data, with potential censoring, is studied. The optimality condition implied by the dynamic programming setup is fully imposed. The posterior distribution reveals a 'ridge' reflecting the characteristic nonstandard nature of the inference problem. Marginal distributions and moments are obtained in a…

部分观测缺失的非线性面板模型推断：均衡搜寻模型的情形AI 解读

A thorough econometric analysis of the pure equilibrium search model is given. Minimal data requirements for estimation are unemployment durations, wages, and employment durations. An assessment of the information contribution of each data element is given. The results define the range of potential application of the equilibrium search framework and form the foundation for future econometric analysis of related models.

含异质性的均衡工资分布估计AI 解读

Equilibrium search models generalize the one-sided models used earlier by endogenizing the wage offer distribution. Attempts to estimate versions of these equilibrium n search models have been unsuccessful, ironically because the predicted wage distribution did not fit the wage data. In this paper we extend the applicability of search models by introducing firm heterogeneity to account for the shape of the wage density. The resulting estimation problem is difficult, but we…

一个实证求职模型的精确似然函数AI 解读

The exact likelihood function for a prototypal job search model is analyzed. The optimality condition implied by the dynamic programming framework is fully imposed. Using the optimality condition allows identification of an offer arrival probability separately from an offer acceptance probability. The estimation problem is nonstandard. The geometry of the likelihood function in finite samples is considered, along with asymptotic properties of the maximum likelihood estimator.

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失业会持续多久？使用 CPS 数据的错觉与偏差AI 解读

Most data used to study the durations of unemployment spells come from the Current Population Survey, which is a point-in-time survey and gives an incomplete picture of the underlying duration distribution.We introduce a new sample of completed unemployment spells obtained from panel data and apply CPS sampling and reporting techniques to replicate the type of data used by other researchers.Predicted duration distributions derived from this CPS-like data are then compared to…

局部渐近设定误差分析AI 解读

An approximation to the inconsistency introduced by imposing an incorrect restriction on a parametric model is given. The approximation can be applied to estimators generated by optimizing any objective function satisfying certain regularity conditions. Examples given include analysis of misspecification in discrete choice and time-series models estimated by maximum likelihood, and in a nonlinear regression model. SPECIFICATION ERROR ANALYSIS in the linear regression model…

多元 Probit 模型中的依赖性检验AI 解读

A multivariate probit model is considered and the Lagrange multiplier or score statistic for testing independence is derived. The limiting distribution of the statistic takes a simple form under the null hypothesis and for local alternatives. The statistic is a natural generalization of Pearson's chi-squared for a 2 × 2 table. An example is given.

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多变量 probit 模型中的依赖性检验AI 解读

A multivariate probit model is considered and the Lagrange multiplier or score statistic for testing independence is derived. The limiting distribution of the statistic takes a simple form under the null hypothesis and for local alternatives. The statistic is a natural generalization of Pearson's chi-squared for a 2 × 2 table. An example is given.

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