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结构不稳定性与库存的生产平滑模型AI 解读

The production-smoothing model of inventories implies that inventories, labor inputs, sales, and factor input prices are cointegrated if sales and factor prices are I(1) with one cointegrating vector for each state variable held. These propositions are tested in six nondurable-goods industries. All industries provide evidence of cointegration. Fewer quasi-fixed factors are found than previous research often assumed. Estimates of cointegrating vectors provide implausible…

时间聚合与经济时间序列AI 解读

The authors examine the effects of temporal aggregation on the estimated time-series properties of economic data. Theory predicts temporal aggregation loses information about the underlying data processes. The authors find those losses to be substantial. Monthly and quarterly data are governed by complex time-series processes with much low-frequency cyclical variation, whereas annual data are governed by extremely simple processes with virtually no cyclical variation. Cycles…

部分调整模型中调整速度的估计AI 解读

We reexamine a recent controversy in the inventory literature regarding the impact of estimator choice on estimated speeds of adjustment in partial adjustment models. We compare the properties of two asymptotically equivalent estimators, the residual-adjusted Aitken (RAA) and nonlinear least squares (NLS) estimators. Our results indicate that (a) the RAA estimator is very sensitive to the quality of the instrument used in first-round estimation, and (b) model…