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消费者选择行为异质性的替代模型比较AI 解读

SUMMARY When modeling demand for differentiated products, it is vital to adequately capture consumer taste heterogeneity, But there is no clearly preferred approach. Here, we compare the performance of six alternative models. Currently, the most popular are mixed logit (MIXL), particularly the version with normal mixing (N‐MIXL), and latent class (LC), which assumes discrete consumer types. Recently, several alternative models have been developed. The 'generalized…

具有灵活相关效应的面板 Probit：潜在异质性下的技术溢出量化AI 解读

SUMMARY In this paper, we introduce a Bayesian panel probit model with two flexible latent effects: first, unobserved individual heterogeneity that is allowed to vary in the population according to a nonparametric distribution; and second, a latent serially correlated common error component. In doing so, we extend the approach developed in Albert and Chib ( Journal of the American Statistical Association 1993; 88 : 669–679; in Bayesian Biostatistics , Berry DA, Stangl DK…

大型 DSGE 模型的因子分析AI 解读

SUMMARY We study the workings of the factor analysis of high‐dimensional data using artificial series generated from a large, multi‐sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allows us to shed some light on the practical benefits and limitations of using factor analysis techniques on economic data. We explain in what sense the artificial data can be thought of having a factor structure, study the…

无排除限制的处理效应估计：学校早餐计划应用AI 解读

SUMMARY The increase in childhood obesity has garnered the attention of many in policymaking circles. Consequently, school nutrition programs such as the School Breakfast Program (SBP) have come under scrutiny. The identification of the causal effects of such programs, however, is difficult owing to non‐random selection into the program and the lack of exclusion restrictions. Here, we propose two new estimators aimed at addressing this situation. We compare our new…

非线性 DSGE 模型与中心差分卡尔曼滤波AI 解读

SUMMARY This paper introduces a quasi maximum likelihood approach based on the central difference Kalman filter to estimate non‐linear dynamic stochastic general equilibrium (DSGE) models with potentially non‐Gaussian shocks. We argue that this estimator can be expected to be consistent and asymptotically normal for DSGE models solved up to third order. These properties are verified in a Monte Carlo study for a DSGE model solved to second and third order with structural…

第一价格采购拍卖中进入成本的非参数估计AI 解读

SUMMARY In this paper, I investigate Samuelson's low‐price auction model with entry costs. The model's equilibrium implies that the distribution of bids is truncated at the threshold for participation. I use the model to estimate the cost of participation in Michigan highway procurement auctions. The null hypothesis of zero entry costs is rejected. Using my empirical results, I then construct an estimate of the optimal auction, which employs regular policy tools such as…

税收对增长的非线性影响：使用平均边际税率的半参数方法AI 解读

SUMMARY One of the major challenges of empirical tax research is the identification and calculation of appropriate tax data. While there is consensus that average marginal tax rates are most suitable for studying the effects of tax policy on economic growth, because of data limitations the calculation of marginal tax rates has been limited to the USA and the UK. This paper provides calculations of average marginal tax rates for the four Scandinavian countries using the…

电力期货的多元波动率建模AI 解读

SUMMARY We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional correlation (mDCC) model to separate long‐run from short‐run components. We allow for smooth changes in the unconditional volatilities and correlations through a multiplicative component that we estimate nonparametrically. For the short‐run dynamics, we use a GJR‐GARCH model for the conditional…

失业、人力资本折旧与失业保险政策AI 解读

SUMMARY This paper presents a structural estimation of a life cycle model with unemployment risk. The model allows for human capital depreciation during unemployment. It is estimated using German and US household‐level data. The data suggest that the adverse impact of unemployment on individual productivity is important in both countries, but quantitatively more relevant in Germany. Moreover, simulations show that the combination of skill depreciation with the generous…

利用信息性民主先验评估实时VAR预测AI 解读

SUMMARY This paper proposes Bayesian forecasting in a vector autoregression using a democratic prior. This prior is chosen to match the predictions of survey respondents. In particular, the unconditional mean for each series in the vector autoregression is centered around long‐horizon survey forecasts. Heavy shrinkage toward the democratic prior is found to give good real‐time predictions of a range of macroeconomic variables, as these survey projections are good at quickly…

广义自回归得分模型及其应用AI 解读

SUMMARY We propose a class of observation‐driven time series models referred to as generalized autoregressive score (GAS) models. The mechanism to update the parameters over time is the scaled score of the likelihood function. This new approach provides a unified and consistent framework for introducing time‐varying parameters in a wide class of nonlinear models. The GAS model encompasses other well‐known models such as the generalized autoregressive conditional…

受税率限制的反应函数AI 解读

SUMMARY This paper models for the first time a spatial process in local tax policies in the presence of centrally imposed fiscal limitations. Focusing on the frequently encountered case of a tax rate cap, we evaluate three empirical approaches to the analysis of spatially dependent limited tax policies: (i) a Bayesian spatial approach for censored dependent variables; (ii) a Tobit corner solution model augmented with a spatial lag; (iii) a spatial discrete hazard model. The…

进入医药子市场：贝叶斯面板Probit分析AI 解读

SUMMARY We study entry into pharmaceutical submarkets by using a dynamic panel probit model. We develop a Bayesian version of Wooldridge's approach to dealing with unobserved heterogeneity. We distinguish between greenfield entry (entry with first product) and undifferentiated entry, which may take the form of introducing further products. We extend the standard reduced form model to consider company size in the submarket and across all submarkets. We find that greenfield…

失业救济期限、失业持续时间与工作匹配质量：断点回归方法AI 解读

SUMMARY We use a sharp discontinuity in the maximum duration of benefit entitlement to identify the effect of extended benefit duration on unemployment duration and post‐unemployment outcomes (employment stability and re‐employment wages). We address dynamic selection, which may arise even under an initially random assignment to treatment, estimating a bivariate discrete‐time hazard model jointly with a wage equation and correlated unobservables. Owing to the…

空间滤波、模型不确定性与欧洲收入收敛速度AI 解读

SUMMARY In this paper we put forward a Bayesian model averaging method aimed at performing inference under model uncertainty in the presence of potential spatial autocorrelation. The method uses spatial filtering in order to account for uncertainty in spatial linkages. Our procedure is applied to a dataset of income per capita growth and 50 potential determinants for 255 NUTS‐2 European regions. We show that ignoring uncertainty in the type of spatial weight matrix can have…

欧氏显示偏好：空间投票模型的检验AI 解读

SUMMARY In the spatial model of voting, voters choose the candidate closest to them in the ideological space. Recent work by Degan and Merlo in 2009 shows that it is falsifiable on the basis of individual voting data in multiple elections. We show how to tackle the fact that the model only partially identifies the distribution of voting profiles and we give a formal revealed preference test of the spatial voting model in three national elections in the USA, and strongly…

青少年对附带就学条件的现金转移的反应：准实验研究AI 解读

SUMMARY We estimate the effect of cash transfers given to youth conditional on high school attendance on the labor supply decisions and academic performance of youth. We exploit differences in the size of the total transfer received based on timing of birth to identify the causal effects of interest. Specifically, individuals born late in a quarter receive a larger total transfer than comparable individuals born early in the following quarter. We find that the transfer…

类别型半参数变系数模型AI 解读

SUMMARY Semiparametric varying‐coefficient models have become a common fixture in applied data analysis. Existing approaches, however, presume that those variables affecting the coefficients are continuous in nature (or that there exists at least one such continuous variable) which is often not the case. Furthermore, when all variables affecting the coefficients are categorical/discrete, theoretical underpinnings cannot be obtained as a special case of existing approaches…

摘要暂缺

数据修订下利用自回归模型实时预测通胀与产出增长AI 解读

SUMMARY We examine how the accuracy of real‐time forecasts from models that include autoregressive terms can be improved by estimating the models on ‘lightly revised’ data instead of using data from the latest‐available vintage. The benefits of estimating autoregressive models on lightly revised data are related to the nature of the data revision process and the underlying process for the true values. Empirically, we find improvements in root mean square forecasting error of…

多预测变量下 GDP 即时预测的模型合并与选择：六个工业化国家的证据AI 解读

SUMMARY This paper discusses pooling versus model selection for nowcasting with large datasets in the presence of model uncertainty. In practice, nowcasting a low‐frequency variable with a large number of high‐frequency indicators should account for at least two data irregularities: (i) unbalanced data with missing observations at the end of the sample due to publication delays; and (ii) different sampling frequencies of the data. Two model classes suited in this context are…

利率期限结构中的长期风险：估计AI 解读

SUMMARY This paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their time‐varying volatility determine asset price variation. The model features Epstein–Zin recursive preferences, which determine the market price of macro risk factors. Analysis of the US nominal term structure data from 1953 to 2006 shows that agents dislike high uncertainty and demand compensation for volatility risks. Also, the time variation…

欧元公司债券的风险因子AI 解读

SUMMARY This paper investigates the determinants of credit spread changes in euro‐denominated bonds. We adopt a factor model framework, inspired by the credit risk structural approach, as credit spread changes can be easily viewed as an excess return on corporate bonds over Treasury bonds. We try to assess the relative importance of market and idiosyncratic factors as an explanation of movements in credit spreads. We adopt a heterogeneous panel with a multifactor error model…

反向回归与长期限预测AI 解读

SUMMARY Long‐horizon predictive regressions in finance pose formidable econometric problems when estimated using available sample sizes. Hodrick in 1992 proposed a remedy that is based on running a reverse regression of short‐horizon returns on the long‐run mean of the predictor. Unfortunately, this only allows the null of no predictability to be tested, and assumes stationary regressors. In this paper, we revisit long‐horizon forecasting from reverse regressions, and argue…