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需求系统的灵活估计：Copula 方法AI 解读

Summary In this paper we study the own‐price elasticity for gasoline in demand systems involving three expenditure categories in the transportation sector in Canada: gasoline, local transportation, and intercity transportation for Canadian households from 1997 to 2009. In particular, we conduct a replication of Chang and Serletis, (The demand for gasoline: Evidence from household survey data, Journal of Applied Econometrics , 2014, 29 , 291–343) hereafter CS, who—using TSP…

高频股票价格变动的动态离散 Copula 模型AI 解读

Summary We develop a dynamic model for the intraday dependence between discrete stock price changes. The conditional copula mass function for the integer tick‐size price changes has time‐varying parameters that are driven by the score of the predictive likelihood function. The marginal distributions are Skellam and also have score‐driven time‐varying parameters. We show that the integration steps in the copula mass function for large dimensions can be accurately approximated…

一般非对称依赖的检验AI 解读

Summary We propose a modified mutual information measure to capture general asymmetric dependence between two random variables. Based on this measure, we propose a test of asymmetric dependence and examine its finite‐sample performance. We show that our test has better power than competing tests with alternative dependence measures. Using the new test, we find significant asymmetric dependence in returns of commonly used stock portfolios and the market return both in the US…

价格收敛的障碍AI 解读

Summary This paper uncovers novel empirical patterns in the cross‐country price mechanism using a nonlinear factor model and threshold regression analysis based on individual goods retail price data for a large panel of countries. To our knowledge, this is the first paper to find strong evidence for club convergence of retail prices. These clubs emerge due to the interaction of traded and nontraded factors. For example, countries physically closer to potential trade partners…

已实现网络AI 解读

Summary We introduce LASSO‐type regularization for large‐dimensional realized covariance estimators of log‐prices. The procedure consists of shrinking the off‐diagonal entries of the inverse realized covariance matrix towards zero. This technique produces covariance estimators that are positive definite and with a sparse inverse. We name the estimator realized network, since estimating a sparse inverse realized covariance matrix is equivalent to detecting the partial…

基于风险中性矩的仿射期权定价模型估计AI 解读

Summary This paper provides a novel methodology for estimating option pricing models based on risk‐neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk‐neutral cumulants and latent factors within the continuous time affine stochastic volatility framework. We find that fitting the Andersen et al. ( Journal of Financial Economics , 2015, 117 (3), 558–584) option valuation model to risk‐neutral…

含观测误差时间序列的间接推断AI 解读

Summary We propose the indirect inference estimator as a consistent method to estimate the parameters of a structural model when the observed series are contaminated by measurement error by considering the noise as a structural feature. We show that the indirect inference estimates are asymptotically biased if the error is neglected. When the condition for identification is satisfied, the structural and measurement error parameters can be consistently estimated. The issues…

理解操作损失严重程度的经济决定因素：正则化广义帕累托回归方法AI 解读

Summary We investigate a novel database of 10,217 extreme operational losses from the Italian bank UniCredit. Our goal is to shed light on the dependence between the severity distribution of these losses and a set of macroeconomic, financial, and firm‐specific factors. To do so, we use generalized Pareto regression techniques, where both the scale and shape parameters are assumed to be functions of these explanatory variables. We perform the selection of the relevant…

通过矩不等式检验最优货币政策AI 解读

Summary The specification of an optimizing model of the monetary transmission mechanism requires selecting a policy regime: commonly, commitment or discretion. In this paper we propose a new procedure for testing optimal monetary policy, relying on moment inequalities that nest commitment and discretion as two special cases. The approach is based on the derivation of bounds for inflation that are consistent with optimal policy under either policy regime. We derive testable…

面板数据模型中的同质分组识别：理论与应用AI 解读

Summary This paper studies the estimation of a panel data model with latent structures where individuals can be classified into different groups with the slope parameters being homogeneous within the same group but heterogeneous across groups. To identify the unknown group structure of vector parameters, we design an algorithm called Panel‐CARDS. We show that it can identify the true group structure asymptotically and estimate the model parameters consistently at the same…

含弱外生解释变量的线性面板：半面板 jackknife 固定效应估计AI 解读

Summary This paper considers estimation and inference in linear panel regression models with lagged dependent variables and/or other weakly exogenous regressors when N (the cross‐section dimension) is large relative to T (the time series dimension). It allows for fixed and time effects (FE‐TE) and derives a general formula for the bias of the FE‐TE estimator which generalizes the well‐known Nickell bias formula derived for the pure autoregressive dynamic panel data models.…

分类结果预期的理性检验AI 解读

Summary This article provides an adequate statistic for testing the rationality of point predictions of categorical outcomes under a subjective median or mode assumption. The test improves upon previous approaches by accounting for all the required moment inequalities and their respective covariance matrix in a single statistic. Monte Carlo simulations show that the test has an improved Type I error, especially in cases with multiple modes. Applying these tests to a dataset…

行为异质性的结构估计AI 解读

Summary We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit‐maximizing agents switch between trading strategies in response to dynamic market conditions. Owing to noisy private information about the fundamental value, the agents form different evaluations about heterogeneous strategies. We exploit a thin set—a small sub‐population—to point identify this nonlinear model, and estimate the structural parameters using…

婴儿潮一代的退休浪潮如何扭曲基于模型的产出缺口估计AI 解读

Summary This paper illustrates, based on an example, the importance of consistency between empirical measurement and the concept of variables in estimated macroeconomic models. Since standard New Keynesian models do not account for demographic trends and sectoral shifts, I propose adjusting hours worked per capita used to estimate such models accordingly to enhance the consistency between the data and the model. Without this adjustment, low‐frequency shifts in hours lead to…

无限维因子空间的动态因子模型：预测AI 解读

Summary The paper compares the pseudo real‐time forecasting performance of three dynamic factor models: (i) the standard principal component model introduced by Stock and Watson in 2002; (ii) the model based on generalized principal components, introduced by Forni, Hallin, Lippi, and Reichlin in 2005; (iii) the model recently proposed by Forni, Hallin, Lippi, and Zaffaroni in 2015. We employ a large monthly dataset of macroeconomic and financial time series for the US…

利用尾形估计偏差区分稳定分布与 Student t 分布AI 解读

Summary The nonnormal stable laws and Student t distributions are used to model the unconditional distribution of financial asset returns, as both models display heavy tails. The relevance of the two models is subject to debate because empirical estimates of the tail shape conditional on either model give conflicting signals. This stems from opposing bias terms. We exploit the biases to discriminate between the two distributions. A sign estimator for the second‐order scale…

高频不确定性冲击的宏观经济效应AI 解读

Summary This paper evaluates the effects of high‐frequency uncertainty shocks on a set of low‐frequency macroeconomic variables representative of the US economy. Rather than estimating models at the same common low frequency, we use recently developed econometric models, which allow us to deal with data of different sampling frequencies. We find that credit and labor market variables react the most to uncertainty shocks in that they exhibit a prolonged negative response to…

工具变量分位数回归模型中GMM估计量的精确计算AI 解读

Summary We show that the generalized method of moments (GMM) estimation problem in instrumental variable quantile regression (IVQR) models can be equivalently formulated as a mixed‐integer quadratic programming problem. This enables exact computation of the GMM estimators for the IVQR models. We illustrate the usefulness of our algorithm via Monte Carlo experiments and an application to demand for fish.

含随机波动的时变参数VAR的贝叶斯模型比较AI 解读

Summary We develop importance sampling methods for computing two popular Bayesian model comparison criteria, namely, the marginal likelihood and the deviance information criterion (DIC) for time‐varying parameter vector autoregressions (TVP‐VARs), where both the regression coefficients and volatilities are drifting over time. The proposed estimators are based on the integrated likelihood, which are substantially more reliable than alternatives. Using US data, we find…

多层因子模型：识别、渐近理论与应用AI 解读

Summary This paper studies a multilevel factor model with global and country factors. The global factors affect all individuals, whereas the country factors affect only those within each specific country. A sequential procedure to identify the global and country factors separately is proposed. In the initial step, the global factors are estimated by canonical correlation analysis. Using this initial estimator, the principal component estimators (PCEs) of the global and…

用于GMM的广义聚焦信息准则AI 解读

Summary This paper proposes a criterion for simultaneous generalized method of moments model and moment selection: the generalized focused information criterion (GFIC). Rather than attempting to identify the “true” specification, the GFIC chooses from a set of potentially misspecified moment conditions and parameter restrictions to minimize the mean squared error (MSE) of a user‐specified target parameter. The intent of the GFIC is to formalize a situation common in applied…

已实现极端分位数：结合极值理论的条件分位数与波动率测度联合模型AI 解读

Summary We propose a new framework exploiting realized measures of volatility to estimate and forecast extreme quantiles. Our realized extreme quantile (REQ) combines quantile regression with extreme value theory and uses a measurement equation that relates the realized measure to the latent conditional quantile. Model estimation is performed by quasi maximum likelihood, and a simulation experiment validates this estimator in finite samples. An extensive empirical analysis…

公私部门工资差距的识别问题：意大利应用AI 解读

Summary This paper reviews some of the standard assumptions that are imposed in order to estimate the average public/private wage gap and that are mainly related to the possible selection of the sector. There are two contributions to the existing public/private wage gap literature. One is a better understanding of the identified parameters: standard estimators identify a local effect (LATE), which in general cannot be generalized to the entire population, as instead is…

异方差数据的时间序列Copula模型AI 解读

Summary We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We suggest copulas for first‐order Markov series, and then extend them to higher orders and multivariate series. We derive the copula of a volatility proxy, based on which we propose new measures of volatility dependence, including co‐movement and spillover in multivariate series. In general, these depend upon the marginal distributions of the series. Using…