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自然灾害后的经济增长动态AI 解读

SUMMARY This paper traces the yearly response of gross domestic product growth—both aggregated and disaggregated into its agricultural and non‐agricultural components—to four types of natural disasters: droughts, floods, earthquakes, and storms. The paper uses a methodological approach based on pooling the experiences of various countries over time. It consists of vector autoregressions in the presence of endogenous variables and exogenous shocks (VARX), applied to a panel…

处理效应的持续期依赖与未观测异质性：瑞典就业培训与就业转移率AI 解读

SUMMARY The effect of a treatment on the hazard rate of a duration outcome may depend on the elapsed time since treatment. In addition, treatment effects may be heterogeneous across agents. The former gives rise to duration dependence of the treatment effect, whereas unobserved heterogeneity gives rise to spurious duration dependence of the observable hazard rate. We develop a model allowing for duration dependence and unobserved heterogeneity in the treatment effect. The…

利用贝叶斯变量选择进行VAR预测AI 解读

SUMMARY This paper develops methods for automatic selection of variables in Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide computationally efficient algorithms for stochastic variable selection in generic linear and nonlinear models, as well as models of large dimensions. The performance of the proposed variable selection method is assessed in forecasting three major macroeconomic time series of the UK economy. Data‐based…

中大型贝叶斯VAR的预测AI 解读

SUMMARY This paper is motivated by the recent interest in the use of Bayesian VARs for forecasting, even in cases where the number of dependent variables is large. In such cases factor methods have been traditionally used, but recent work using a particular prior suggests that Bayesian VAR methods can forecast better. In this paper, we consider a range of alternative priors which have been used with small VARs, discuss the issues which arise when they are used with medium…

结构变化实时监测的多变量方法AI 解读

SUMMARY Detection of structural change is a critical empirical activity, but continuous ‘monitoring’ for changes in real time raises well‐known econometric issues that have been explored in a single series context. If multiple series co‐break then it is possible that simultaneous examination of a set of series helps identify changes with higher probability or more rapidly than when series are examined on a case‐by‐case basis. Some asymptotic theory is developed for maximum…

Napster对唱片销量的影响：构成变化下的双重差分估计AI 解读

SUMMARY This paper measures the effect of Napster on record sales. I treat the introduction of Napster as a technological event that only Internet users experienced, and use a difference‐in‐differences (DD) approach. Because of potential compositional changes in Internet users, I examine identifying assumptions for the DD estimator under compositional changes and develop a test for identifying restrictions. To address potential bias due to compositional changes, I extend DD…

存在样本选择的动态面板数据模型估计AI 解读

SUMMARY We propose a new method for estimating dynamic panel data models with selection. The method uses backward substitution for the lagged dependent variable, which leads to an estimating equation that requires correcting for contemporaneous selection only. The estimator is valid under relatively weak assumptions about errors and permits avoiding the weak instruments problem associated with differencing. We also propose a simple test for selection bias that is based on…

中国是否实现了外汇储备多元化？AI 解读

SUMMARY This paper takes a novel approach to detect the latent currency portfolio of Chinese foreign exchange reserves and the underlying portfolio management strategies during 2000 and 2007. Based on a portfolio accounting identity and the budget constraint of the Chinese central bank's holding of foreign assets, the monthly growth rate of reserves can be decomposed into monthly rate of return, valuation effects of exchange rates, and monthly net purchase rate. The…

生产函数与产品、劳动市场不完全性的面板估计AI 解读

SUMMARY Consistent with two models of imperfect competition in the labor market—the efficient bargaining model and the monopsony model—we provide two extensions of a microeconomic version of Hall's framework for estimating price‐cost margins. We show that both product and labor market imperfections generate a wedge between factor elasticities in the production function and their corresponding shares in revenue, which can be characterized by a ‘joint market imperfections…

宏观经济预测与结构变化AI 解读

SUMMARY The aim of this paper is to assess whether modeling structural change can help improving the accuracy of macroeconomic forecasts. We conduct a simulated real‐time out‐of‐sample exercise using a time‐varying coefficients vector autoregression (VAR) with stochastic volatility to predict the inflation rate, unemployment rate and interest rate in the USA. The model generates accurate predictions for the three variables. In particular, the forecasts of inflation are much…

援助与增长争论中的联立性问题AI 解读

SUMMARY This paper shows that foreign aid has a significant positive average effect on real per capita gross domestic product (GDP) growth if, and only if, the quantitatively large negative reverse causal effect of per capita GDP growth on foreign aid is adjusted for in the growth regression. Instrumental variables estimates show that a 1 percentage point increase in GDP per capita growth decreased foreign aid by over 4%. Adjusting for this quantitatively large, negative…

向量误差修正模型中的随机搜索变量选择及英国宏观应用AI 解读

SUMMARY This paper develops methods for stochastic search variable selection (currently popular with regression and vector autoregressive models) for vector error correction models where there are many possible restrictions on the cointegration space. We show how this allows the researcher to begin with a single unrestricted model and either do model selection or model averaging in an automatic and computationally efficient manner. We apply our methods to a large UK…

摘要暂缺

过度识别限制预检验之后的检验尺寸扭曲AI 解读

SUMMARY In the linear instrumental variables model, we provide theoretical and Monte Carlo evidence for the size distortion of a two‐stage hypothesis test that uses a test of overidentifying restrictions (OR) in the first stage. We derive a lower bound for the asymptotic size of the two‐stage test. The lower bound is given by the asymptotic size of a test that rejects the null hypothesis when two conditions are met: the test of OR used in the first stage does not reject and…

劳动力市场进入与收入动态：专家混合马尔可夫链聚类的贝叶斯推断AI 解读

SUMMARY This paper analyzes patterns in the earnings development of young labor market entrants over their life cycle. We identify four distinctly different types of transition patterns between discrete earnings states in a large administrative dataset. Further, we investigate the effects of labor market conditions at the time of entry on the probability of belonging to each transition type. To estimate our statistical model we use a model‐based clustering approach. The…

信号博弈实验中的同伴学习AI 解读

SUMMARY We investigate peer group effects in laboratory experiments based on Milgrom and Roberts' (1982, Econometrica 50 : 443–459) entry limit pricing game. We generalize Heckman's (1981, in Structural Analysis of Discrete Data with Econometric Applications . MIT Press: Cambridge, MA) dynamic discrete‐choice panel data models by introducing time‐lagged social interactions, using the unbiased GHK simulator to implement the computationally cumbersome maximum likelihood…

动态面板数据模型不同估计方法的有限样本比较AI 解读

SUMMARY The Wooldridge method is based on a simple and novel strategy to deal with the initial values problem in nonlinear dynamic random‐effects panel data models. The characteristic of the method makes it very attractive in empirical applications. However, its finite sample performance and robustness are not fully known as of yet. In this paper we investigate the performance and robustness of this method in comparison with an ideal case in which the initial values are…

基于随机系数模型的代际收入流动性替代指标AI 解读

SUMMARY We propose an alternative measure of the degree to which income status is transmitted from one generation to another. Our indicator of intergenerational income mobility is based on a random coefficient model, which allows for variation in intergenerational mobility across families due to multiplicative unobserved family‐specific characteristics. This alternative measure suggests that intergenerational income persistence is typically stronger than when…

二元分位数回归：基于非对称拉普拉斯分布的贝叶斯方法AI 解读

SUMMARY This paper develops a Bayesian method for quantile regression for dichotomous response data. The frequentist approach to this type of regression has proven problematic in both optimizing the objective function and making inferences on the parameters. By accepting additional distributional assumptions on the error terms, the Bayesian method proposed sets the problem in a parametric framework in which these problems are avoided. To test the applicability of the method,…

经济变量预测金融波动率的综合考察AI 解读

SUMMARY We investigate whether return volatility is predictable by macroeconomic and financial variables to shed light on the economic drivers of financial volatility. Our approach is distinct owing to its comprehensiveness: First, we employ a data‐rich forecast methodology to handle a large set of potential predictors in a Bayesian model‐averaging approach and, second, we take a look at multiple asset classes (equities, foreign exchange, bonds and commodities) over long…

基于高频数据的多元波动率HEAVY模型AI 解读

SUMMARY This paper introduces a new class of multivariate volatility models that utilizes high‐frequency data. We discuss the models' dynamics and highlight their differences from multivariate generalized autoregressive conditional heteroskedasticity (GARCH) models. We also discuss their covariance targeting specification and provide closed‐form formulas for multi‐step forecasts. Estimation and inference strategies are outlined. Empirical results suggest that the HEAVY model…

检验分布假设：一种GMM方法AI 解读

SUMMARY We consider testing distributional assumptions by using moment conditions. A general class of moment conditions satisfied under the null hypothesis is derived and connected to existing moment‐based tests. The approach is simple and easy to implement, yet reasonably powerful. In addition, we provide moment tests that are robust against parameter estimation error uncertainty in the general case which includes the case of serial correlation. In particular, we consider…

多元 GARCH 模型的预测准确性AI 解读

SUMMARY This paper addresses the question of the selection of multivariate generalized autoregressive conditional heteroskedastic (GARCH) models in terms of variance matrix forecasting accuracy, with a particular focus on relatively large‐scale problems. We consider 10 assets from the New York Stock Exchange and compare 125 models based 1‐, 5‐ and 20‐day‐ahead conditional variance forecasts over a period of 10 years using the model confidence set (MCS) and the superior…

Realized GARCH：收益与已实现波动率测度的联合模型AI 解读

SUMMARY We introduce a new framework, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of returns. The measurement equation facilitates a simple modeling of the dependence between returns and future volatility. Realized GARCH models with a linear or log‐linear specification have many attractive features. They are parsimonious, simple to…