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摘要暂缺

消费者未来通胀不确定性的测度AI 解读

Abstract We introduce a survey‐based measure of uncertainty about future inflation, asking consumers for density forecasts across inflation outcomes. Consumers are willing and able to express uncertainty, showing high response rates and response patterns that are reliably related to qualitative measures of uncertainty. Heterogeneity in expressed uncertainty is associated with demographic characteristics and financial literacy, and measures of central tendency derived from…

避免内疚的支付意愿：均衡信念与陈述信念模型估计AI 解读

Abstract We estimate structural models of guilt aversion to measure the population level of willingness to pay (WTP) to avoid feeling guilt by letting down another player. We compare estimates of WTP under the assumption that higher‐order beliefs are in equilibrium (i.e., consistent with the choice distribution) with models estimated using stated beliefs which relax the equilibrium requirement. We estimate WTP in the latter case by allowing stated beliefs to be correlated…

股市崩盘与美国家庭预期AI 解读

Abstract This paper utilizes data on subjective probabilities to study the impact of the stock market crash of 2008 on households' expectations about the returns on the stock market index. We use data from the Health and Retirement Study that was fielded in February 2008 through February 2009. The effect of the crash is identified from the date of the interview, which is shown to be exogenous to previous stock market expectations. We estimate the effect of the crash on the…

npRmpi：用于并行分布式核估计的 R 软件包AI 解读

The JAE Data Archive directory is available at http://qed.econ.queensu.ca/jae/datasets/ho002/ . Please note: The publisher is not responsible for the content or functionality of any supporting information supplied by the authors. Any queries (other than missing content) should be directed to the corresponding author for the article.

存量—流量 I(2)–I(1) 系统的机制转换：美国财政可持续性AI 解读

In the last two decades, fiscal sustainability has been tested through the use of non-stationary time series analysis. Two different approximations can be found in the literature: first, a univariate approach that has focused on the stochastic properties of the stock of debt and, second, a multivariate one that has focused on the long‐run properties of the flows of expenditures and revenues, i.e., in the stochastic properties of the deficit. In this paper we unify these…

对冲基金收益非线性结构的评估与价值衡量AI 解读

Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. This paper provides a statistical methodology to unveil such nonlinear features with respect to returns on benchmark risk portfolios. We estimate a portfolio of options that best approximates the returns of a given hedge fund, account for this search in the…

衡量房价在空间与时间上的扩散AI 解读

How fast and how long (and to what magnitude) does a change in housing prices in one region affect its neighbors? In this paper, I apply a time series technique for measuring impulse response functions from local projections to a spatial autoregressive model of housing prices. For a dynamic panel of California counties, the data reveal that the diffusion of regional housing prices across space lasts up to two and half years. This result, and the econometric techniques…

违约率估计、相关违约与专家信息AI 解读

Capital allocation decisions are made on the basis of an assessment of creditworthiness. Default is a rare event for most segments of a bank's portfolio and data information can be minimal. Inference about default rates is essential for efficient capital allocation, for risk management and for compliance with the requirements of the Basel II rules on capital standards for banks. Expert information is crucial in inference about defaults. A Bayesian approach is proposed and…

原始与对偶生产系统中的随机误差设定AI 解读

In this paper we derive both primal and dual-cost systems in which the stochastic specifications arise from the model (random environment or measurement errors and optimization errors)—not tacked on at the end after the deterministic system is worked out. Derivation of the error structures is based on cost‐minimizing behavior on the firms. The primal systems constitute the production function and the first‐order conditions of cost minimization. We consider two dual‐cost…

混合 Logit 模型：精度与软件选择AI 解读

The JAE Data Archive directory is available at http://qed.econ.queensu.ca/jae/datasets/chang002/ . Please note: The publisher is not responsible for the content or functionality of any supporting information supplied by the authors. Any queries (other than missing content) should be directed to the corresponding author for the article.

分层马尔可夫正态混合模型及金融资产收益应用AI 解读

Motivated by the common problem of constructing predictive distributions for daily asset returns over horizons of one to several trading days, this article introduces a new model for time series. This model is a generalization of the Markov normal mixture model in which the mixture components are themselves normal mixtures, and it is a specific case of an artificial neural network model with two hidden layers. The article uses the model to construct predictive distributions…

协整面板的参数可合并性新检验AI 解读

This paper proposes a new test of the null hypothesis that the parameters in a cointegrated panel data regression are equal across the cross-section. The asymptotic distribution of the new test statistic is derived and simulation results are provided to suggest that it performs very well in small samples. An empirical application to the monetary exchange rate model is also provided. Copyright (C) 2009 John Wiley & Sons, Ltd.

贝叶斯模型平均中的默认先验与预测表现：增长决定因素应用AI 解读

Bayesian model averaging (BMA) has become widely accepted as a way of accounting for model uncertainty, notably in regression models for identifying the determinants of economic growth. To implement BMA the user must specify a prior distribution in two parts: a prior for the regression parameters and a prior over the model space. Here we address the issue of which default prior to use for BMA in linear regression. We compare 12 candidate parameter priors: the unit…

面板数据的非高斯动态贝叶斯建模AI 解读

Abstract A first order autoregressive non‐Gaussian model for analysing panel data is proposed. The main feature is that the model is able to accommodate fat tails and also skewness, thus allowing for outliers and asymmetries. The modelling approach is designed to gain sufficient flexibility, without sacrificing interpretability and computational ease. The model incorporates individual effects and covariates and we pay specific attention to the elicitation of the prior. As…

年龄分布变化如何影响股票价格？一种非参数方法AI 解读

Abstract This paper examines whether variations in demographic structure have influenced stock prices. The study employs a nonparametric approach based on the Fourier Flexible Form representation, which relates variations in the entire age distribution to the normalized stock price under a flexible functional form. The main findings of this paper are that there is a significant impact from prime working‐age consumers on the stock price, and that this impact is robust for all…

摘要暂缺

Jackknife 工具变量估计：对 Angrist、Imbens 与 Krueger（1999）的复现与扩展AI 解读

Abstract I replicate most of the results in Angrist, Imbens, and Krueger ( Journal of Applied Econometrics 1999; 14: 57–67), point to a possible error in and re‐estimate Model 3, and analyze some simple extensions. The programming code, data, and results are available at http://sites.google.com/site/antonnakov/software . Copyright © 2010 John Wiley & Sons, Ltd.

干中学速率：搜寻匹配模型的估计AI 解读

Abstract We construct and estimate by maximum likelihood a job search model where wages are set by Nash bargaining and idiosyncratic productivity follows a geometric Brownian motion. The proposed framework enables us to endogenize job destruction and to estimate the rate of learning‐by‐doing. Although the range of the observations is not independent of the parameters, we establish that the estimators satisfy asymptotic normality. The structural model is estimated using…

概率预测的预测涵盖检验AI 解读

Abstract We consider tests of forecast encompassing for probability forecasts, for both quadratic and logarithmic scoring rules. We propose test statistics for the null of forecast encompassing, present the limiting distributions of the test statistics, and investigate the impact of estimating the forecasting models' parameters on these distributions. The small‐sample performance is investigated, in terms of small numbers of forecasts and model estimation sample sizes. We…

关于特征价格函数的非参数估计AI 解读

Abstract Recently, using mixed data on Canadian housing, Parmeter, Henderson, and Kumbhakar ( Journal of Applied Econometrics 2007; 22 : 695–699) found that a nonparametric approach for estimating a hedonic house price function is superior to formerly suggested parametric and semiparametric specifications. We carefully reanalyze these specifications for this dataset by applying a recent nonparametric specification test and simulation‐based prediction comparisons. For the…

利用数据修订估计时变测量误差：动态模型中的回溯估计与预测AI 解读

Abstract Over time, economic statistics are refined. This implies that data measuring recent economic events are typically less reliable than older data. Such time variation in measurement error affects optimal forecasts. Measurement error, and its time variation, are of course unobserved. Our contribution is to show how estimates of these can be recovered from the variance of revisions to data using a behavioural model of the statistics agency. We illustrate the gains in…

欧洲电力价格的长期关系AI 解读

Abstract This paper analyses the interdependencies existing in wholesale electricity prices in six major European countries. The results of a robust multivariate long‐run dynamic analysis reveal the presence of four highly integrated central European markets (France, Germany, the Netherlands and Austria). The trend shared by these four electricity markets appears to be common also to gas prices, but not to oil prices. The existence of a common long‐term dynamics among…

欧洲东部与西部对货币政策冲击的响应比较AI 解读

Abstract This paper compares impulse responses to monetary policy shocks in the euro area countries before the EMU and in the New Member States (NMS) from central–eastern Europe. We mitigate the small‐sample problem, which is especially acute for the NMS, by using a Bayesian estimation that combines information across countries. The impulse responses in the NMS are broadly similar to those in the euro area countries. There is some evidence that in the NMS, which have had…