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宏观计量模型中中位数无偏估计的计算AI 解读

A stochastic simulation model is proposed in this paper for obtaining median unbiased (MU) estimates in macroeconometric models. MU estimates are computed for the lagged dependent variable (LDV) coefficients in 18 equations of a macroeconometric model. The 2SLS bias for a coefficient, defined as the difference between the 2SLS estimate and the MU estimate, is on average smaller in absolute value than would be expected from Andrews' exact results for an equation with only a…

带端点约束的多项式分布滞后与超前项估计AI 解读

This paper considers the use of the polynomial distributed lag (PDL) technique when the lag length is estimated rather than fixed. We focus on the case where the degree of the polynomial is fixed, the polynomial is constrained to be zero at a certain lag length q, and q is estimated along with the other parameters. We extend the traditional PDL setup by allowing q to be real-valued rather than integer-valued, and we derive the asymptotic covariance matrix of all the…

理性预期模型的全信息估计与随机模拟AI 解读

Abstract A computationally feasible method for the full information maximum‐likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is also described. The methods discussed in this paper should open the way for many more tests of the rational expectations hypothesis within macroeconomic models.

This paper extends the classical test for structural change in linear regression models (see Chow (1960)) to a wide variety of nonlinear models, estimated by a variety of different procedures. Wald, Lagrange multiplier-like, and likelihood ratio-like test statistics are introduced. The results allow for heterogeneity and temporal dependence of the observations. In the process of developing the above tests, the paper also provides a compact presentation of general unifying…

动态非线性理性预期模型的求解与极大似然估计AI 解读

A solution method and an estimation method for nonlinear rational expectations models are presented in this paper.The solution method can be used in forecasting and policy applications and can handle models with serial correlation and multiple viewpoint dates.When applied to linear models, the solution method yields the same results as those obtained from currently available methods that are designed specifically for linear models.It is, however, more flexible and general…

非线性模型中政策效应不确定性的估计AI 解读

asymptotic variances of multipliers for nonlinear models. It is used to estimate the uncertainty of the results of eight policy experiments for a particular model. ALTHOUGH MACROECONOMETRIC MOI)ELS are widely used to analyze the effects of alternative government actions on the economy, estimates of the uncertainty of these effects are rarely, if ever, presented. This is, of course, not surprising, since most macroeconometric models are nonlinear. Unlike for linear models,…

财政政策效果对美联储行为假设的敏感性AI 解读

The purpose of this paper is to examine within the context of a patieular U.S. exammetric model the sensitivity of fiscal policy effects to alternative assumptions about the behavior of the Federal Reserve. Five cases are considered, four in which Fed behavior is exogenous and one in which Fed behavior is endogenous. In each of the four exogenous cases the Fed is assumed to control a particular variable, which is then taken to be exogenous for purposes of the fiscal-policy…

摘要暂缺

非均衡市场的估计方法：进一步研究AI 解读

This paper is concerned with the problem of estimating demand and supply schedules in disequilibrium markets. The results of Fair and Jaffee are expanded in three ways. (1) Their directional method I is modified to yield consistent estimates. (2) A maximum likelihood alternative to their quantitative method is proposed. (3) The price equation is generalized to be a multivariate, stochastic function, and a method is proposed for estimating demand and supply schedules in this…

摘要暂缺

摘要暂缺

In this paper various methods for the estimation of simultaneous equation models with lagged endogenous variables and first order serially correlated errors are discussed. The methods differ in the number of instrumental variables used. The asymptotic and small sample properties of the various methods are compared, and the variables which must be included as instruments to insure consistent estimates are derived. A suggestion on how to estimate the approximate covariance…