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用收缩方法、实时扩散指数与模型组合预测利率AI 解读

Summary In the context of predicting the term structure of interest rates, we explore the marginal predictive content of real‐time macroeconomic diffusion indexes extracted from a “data rich” real‐time data set, when used in dynamic Nelson–Siegel (NS) models of the variety discussed in Svensson (NBER technical report, 1994; NSS) and Diebold and Li ( Journal of Econometrics , 2006, 130 , 337–364; DNS). Our diffusion indexes are constructed using principal component analysis…

用于政策评估的分布合成控制方法AI 解读

Summary We extend the synthetic control method to evaluate the distributional effects of policy intervention in the possible presence of poor matching. The counterfactuals (or intervention effects) are identified by matching a vector of pre‐intervention quantile residuals of the treated unit and a convex combination of its potential‐control counterparts. The residuals are orthogonal to a set of observable common factors that control for the potentially poor matching. We also…

模型简化与变量选择：复现 Hendry 的英国通胀模型AI 解读

Summary In this paper, we revisit the well‐known UK inflation model by Hendry ( Journal of Applied Econometrics , 2001, 16 , 255–275. We replicate the results in a narrow sense using the gretl and PcGive programs. In a wide sense, we extend the study of model uncertainty using the Bayesian averaging of classical estimates (BACE) approach as an automatic model reduction strategy. We consider three different specifications to compare BACE variable selection with Hendry's…

处理评估中的内生性与无应答偏差：借助工具变量非参数识别因果效应AI 解读

Summary This paper proposes a nonparametric method for evaluating treatment effects in the presence of both treatment endogeneity and attrition/non‐response bias, based on two instrumental variables. Using a discrete instrument for the treatment and an instrument with rich (in general continuous) support for non‐response/attrition, we identify the average treatment effect on compliers as well as the total population under the assumption of additive separability of observed…

求职者就业促进项目的计量评估方法比较AI 解读

Summary We test whether different identification strategies give similar results when evaluating activation programs. Budgetary problems at the Dutch unemployment insurance (UI) administration in March 2010 caused a sharp drop in the availability of these programs. Using administrative data provided by the UI administration, we evaluate the effect of the program (1) exploiting the policy discontinuity as a quasi‐experiment, (2) using dynamic matching assuming conditional…

模型不确定性与参数不稳定性下的股票收益预测AI 解读

Summary We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm that the simple combination of individual predictors is superior. However, sophisticated models improve dramatically once we combine them with the historical average and take parameter instability into account. An equal weighted combination of the historical average with the standard…

汇率可预测性与动态贝叶斯学习AI 解读

Summary We consider how an investor in the foreign exchange market can exploit predictive information by means of flexible Bayesian inference. Using a variety of vector autoregressive models, the investor is able, each period, to learn about important data features. The developed methodology synthesizes a wide array of established approaches for modeling exchange rate dynamics. In a thorough investigation of monthly exchange rate predictability for 10 countries, we find that…

利用固定平滑渐近理论比较小样本预测准确性AI 解读

Summary We consider fixed‐smoothing asymptotics for the Diebold and Mariano ( Journal of Business and Economic Statistics , 1995, 13 (3), 253–263) test of predictive accuracy. We show that this approach delivers predictive accuracy tests that are correctly sized even when only a small number of out‐of‐sample observations is available. We apply the fixed‐smoothing asymptotics to the Diebold and Mariano test to evaluate the predictive accuracy of the Survey of Professional…

互补的贝叶斯矩方法策略AI 解读

Summary Methodology is proposed that addresses two problems that arise in application of the generalized method of moments representation of the likelihood in Bayesian inference: (1) a missing Jacobian term and (2) a normality assumption. The proposals are illustrated by application to the seminal application of the generalized method of moments methodology in the econometric literature: an endowment economy whose representative agent has constant relative risk aversion…

存在出口时的企业生产率估计：中国制造业证据AI 解读

Summary Motivated by the long‐standing interest of economists in understanding the nexus between firm productivity and export behavior, this paper develops a novel structural framework for control‐function‐based nonparametric identification of the gross production function and latent firm productivity in the presence of endogenous export opportunities that is robust to recent unidentification critiques of proxy estimators. We provide a workable identification strategy,…

区间值时间序列的预测域AI 解读

Summary We approximate probabilistic forecasts for interval‐valued time series by offering alternative approaches. After fitting a possibly non‐Gaussian bivariate vector autoregression (VAR) model to the center/log‐range system, we transform prediction regions (analytical and bootstrap) for this system into regions for center/range and upper/lower bounds systems. Monte Carlo simulations show that bootstrap methods are preferred according to several new metrics. For daily S&P…

多元密度预测正确校准的变量顺序不变检验AI 解读

Summary Established tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms can be manipulated by changing the order of variables in the forecasting model. We derive order‐invariant tests. The new tests are applicable to densities of arbitrary dimensions and can deal with parameter estimation uncertainty and dynamic misspecification. Monte Carlo simulations show that they often have superior power relative to…

含外生回归变量的混合因果—非因果自回归模型AI 解读

Summary Mixed causal–noncausal autoregressive (MAR) models have been proposed to model time series exhibiting nonlinear dynamics. Possible exogenous regressors are typically substituted into the error term to maintain the MAR structure of the dependent variable. We introduce a representation including these covariates called MARX to study their direct impact. The asymptotic distribution of the MARX parameters is derived for a class of non‐Gaussian densities. For a Student…

异质动态面板分位数回归模型的共同相关效应估计AI 解读

Summary This paper proposes a quantile regression estimator for a heterogeneous panel model with lagged dependent variables and interactive effects. The paper adopts the Common Correlated Effects (CCE) approach proposed in the literature and demonstrates that the extension to the estimation of dynamic quantile regression models is feasible under similar conditions to the ones used in the literature. The new quantile regression estimator is shown to be consistent and its…

处理效应异质性依赖未观测固定效应时的面板平均处理效应估计AI 解读

Summary This paper proposes a new panel data approach to identify and estimate the time‐varying average treatment effect (ATE). The approach allows for treatment effect heterogeneity that depends on unobserved fixed effects. In the presence of this type of heterogeneity, existing panel data approaches identify the ATE for limited subpopulations only. In contrast, the proposed approach identifies and estimates the ATE for the entire population. The approach relies on the…

发达与新兴经济体实际活动的共同波动：全球与群组特有国际因子的检验AI 解读

Summary Although globalization has shaped the world economy in recent decades, emerging economies have experienced impressive growth compared to developed economies, suggesting specific comovements within developed and emerging business cycles. Using observed developed and emerging real economy activity variables, we investigate whether the latter assertion can be supported by observed data. Based on a two‐level factor model, we assume these activity variables can be…

英国区域产出增长：始于1970年、更及时且频率更高的估计AI 解读

Summary Output growth estimates for regions of the UK are currently published at an annual frequency only, released with a long delay, and offer limited historical coverage. To improve the regional database this paper develops a mixed‐frequency multivariate model and uses it to produce consistent estimates of quarterly regional output growth dating back to 1970. We describe how these estimates are updated and evaluated on an ongoing, quarterly basis to publish online (at…

页岩革命与原油价格动态的转变AI 解读

Summary Oil price fluctuates in response to both demand and supply shocks. This paper proposes a new methodology that allows for timely identification of the shifting contribution from the two types of shock through a joint analysis of crude futures options and stock index options. Historical analysis shows that crude oil price movements are dominated by supply shocks from 2004 to 2008, but demand shocks have become much more dominant since then. The large demand shock…

动态随机前沿模型的似然估计方法AI 解读

Summary This paper considers a panel stochastic production frontier model that allows the dynamic adjustment of technical inefficiency. In particular, we assume that inefficiency follows an AR(1) process. That is, the current year's inefficiency for a firm depends on its past inefficiency plus a transient inefficiency incurred in the current year. Interfirm variations in the transient inefficiency are explained by some firm‐specific covariates. We consider four…

多元动态强度超阈值模型AI 解读

Summary We propose a multivariate dynamic intensity peaks‐over‐threshold model to capture extremes in multivariate return processes. The random occurrence of extremes is modeled by a multivariate dynamic intensity model, while temporal clustering of their size is captured by an autoregressive multiplicative error model. Applying the model to daily returns of three major stock indexes yields strong empirical support for a temporal clustering of both the occurrence and the…

具有固定效应的区间删失回归AI 解读

Summary This paper considers identification and estimation of a fixed‐effects model with an interval‐censored dependent variable. In each time period, the researcher observes the interval (with known endpoints) in which the dependent variable lies but not the value of the dependent variable itself. Two versions of the model are considered: a parametric model with logistic errors and a semiparametric model with errors having an unspecified distribution. In both cases, the…

石油供给冲击对美国经济活动的影响：我们学到了什么？AI 解读

Summary Estimated responses of real oil prices and US gross domestic product (GDP) to oil supply disruptions vary widely. We show that most variation is attributable to differences in identification assumptions and in the model specification. Models that allow for a large short‐run price elasticity of oil supply imply a larger response of oil prices and a larger, longer lived contraction in US real GDP. We find that, if we condition on a range of supply elasticity values…

双成分优于单成分？乘法成分GARCH-MIDAS模型的波动率预测AI 解读

Summary We examine the properties and forecast performance of multiplicative volatility specifications that belong to the class of generalized autoregressive conditional heteroskedasticity–mixed‐data sampling (GARCH‐MIDAS) models suggested in Engle, Ghysels, and Sohn ( Review of Economics and Statistics , 2013, 95 , 776–797). In those models volatility is decomposed into a short‐term GARCH component and a long‐term component that is driven by an explanatory variable. We…

加拿大银行工作人员经济预测数据库介绍AI 解读

Summary We present a new, publicly available database of real‐time data and forecasts from the Bank of Canada's staff economic projections, which will be updated on an annual basis. We describe the data construct, its variables, coverage, and frequency. We then provide a forecast evaluation for gross domestic product (GDP) growth, consumer price index (CPI) inflation and the policy rate since 1982: We compare the staff's forecasts with those from commonly used time series…