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类别不确定下的分类参数模型估计：葡萄酒特征价格分析中的局部多项式回归聚类AI 解读

Abstract We introduce a method for estimating multiple class regression models when class membership is uncertain. The procedure— local polynomial regression clustering —first estimates a nonparametric model via local polynomial regression, and then identifies the underlying classes by aggregating sample observations into data clusters with similar estimates of the (local) functional relationships between dependent and independent variables. Finally, parametric functions…

经济转型与增长AI 解读

Abstract Some extensions of neoclassical growth models are discussed that allow for cross‐section heterogeneity among economies and evolution in rates of technological progress over time. The models offer a spectrum of transitional behavior among economies that includes convergence to a common steady‐state path as well as various forms of transitional divergence and convergence. Mechanisms for modeling such transitions, measuring them econometrically, assessing group…

重新检验通货膨胀的平稳性AI 解读

Abstract In a recent examination of the integrated nature of inflation, Culver and Papell ( Journal of Applied Econometrics , 1997) applied a range of unit root and stationarity tests to data from a panel of 13 OECD economies. The results obtained were mixed. While little evidence of stationarity was detected using univariate methods, rejection of the unit root hypothesis was observed under panel data unit root testing, although rejection was found to be sensitive to…

聚合并非解法：购买力平价谜题再现AI 解读

Abstract Recently, Imbs, Mumtaz, Ravn and Rey (2005, hereinafter IMRR) have argued that much of the purchasing power parity (PPP) puzzle is due to upwardly biased estimates of persistence. According to them, the source of the bias is the existence of heterogeneous price adjustment dynamics at the sectoral level that established time series or panel data methods fail to control for. This paper re‐examines this claim in two steps. Firstly, we demonstrate that IMRR's measures…

老年人的健康与工作：主观健康测量、报告误差及内生性AI 解读

Abstract This paper explores the interrelation between health and work decisions of older workers. For this, two issues are of relevance. Firstly, health and work may be endogenously related because of direct causal effects of health on work and vice versa, and because of unobservables that may affect both observed health and work outcomes. Secondly, social surveys usually contain self‐assessed health measures and research indicates that these may be subject to endogenous,…

补偿性的生前赠与AI 解读

Abstract Parents' transfer motives are important for understanding, e.g., macroeconomics, income (re)distribution, savings, and public finance. Using data from six biennial waves of the Health and Retirement Study 1992–2002, we estimate censored regression models with nested multilevel error components. First, we interpret our findings that inter vivos transfers from parents to children are gifts, rather than temporary help to overcome liquidity constraints. Second, inter…

非平稳动态因子模型下的欧元区共同变动与异质性AI 解读

Abstract This paper establishes stylized facts on comovements and heterogeneity of individual euro area countries' output and price developments in the past two decades. For this purpose, a non‐stationary structural dynamic factor model is fitted to a large dataset of euro area macroeconomic variables. The main results are as follows. Both common factors and idiosyncratic components are important in explaining individual countries' output and price developments in the euro…

摘要暂缺

PDL：面向计量经济学的对象导向编程环境AI 解读

PDL (for Perl data language) is a free, cross-platform, extension module that endows Perl with capabilities analogous to those of interactive systems for array manipulation such as Matlab and Gauss. PDL was founded by the astronomer Karl Glazebrook, and is an ongoing project that involves many Perl programmers. In Baiocchi (2003) it was shown how Perl can be used as a ‘glue’ language to solve a variety of data-processing problems. By design, Perl is not suitable for…

论可复现的计量经济学研究AI 解读

Abstract Recent software developments are reviewed from the vantage point of reproducible econometric research. We argue that the emergence of new tools, particularly in the open‐source community, have greatly eased the burden of documenting and archiving both empirical and simulation work in econometrics. Some of these tools are highlighted in the discussion of two small replication exercises. Copyright © 2009 John Wiley & Sons, Ltd.

补偿性工资差异的普遍缺失AI 解读

Abstract We study the relation between individual preferences for job amenities (e.g., type of work, job security) and compensating wage differentials in cross‐section. To this end, we estimate a partial equilibrium job search model on panel data from eight European countries. There are five non‐wage job characteristics and two sources of job‐to‐job mobility: on‐the‐job search and reallocation shocks. We also allow for two types of unobserved heterogeneity. We find strong…

已实现波动率预测：贝叶斯模型平均方法AI 解读

Abstract How to measure and model volatility is an important issue in finance. Recent research uses high‐frequency intraday data to construct ex post measures of daily volatility. This paper uses a Bayesian model‐averaging approach to forecast realized volatility. Candidate models include autoregressive and heterogeneous autoregressive specifications based on the logarithm of realized volatility, realized power variation, realized bipower variation, a jump and an asymmetric…

指数异方差下二元响应与连续结果的半参数模型AI 解读

Abstract This paper formulates a likelihood‐based estimator for a double‐index, semiparametric binary response equation. A novel feature of this estimator is that it is based on density estimation under local smoothing. While the proofs differ from those based on alternative density estimators, the finite sample performance of the estimator is significantly improved. As binary responses often appear as endogenous regressors in continuous outcome equations, we also develop an…

利用条件双重差分评价东德培训项目的动态就业效应AI 解读

Abstract This study analyzes the employment effects of training in East Germany. We propose and apply an extension of the widely used conditional difference‐in‐differences estimator. Focusing on transition rates between nonemployment and employment, we take into account that employment is a state‐ and duration‐dependent process. Our results show that using transition rates is more informative than using unconditional employment rates as commonly done in the literature.…

使用 Johansen 方法检验协整：临界值是否选对了？AI 解读

Abstract This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are inappropriate. This is due to confusion in the specification of the deterministic terms included in the vector error correction model (VECM). The result is a tendency to reject the null of no cointegration too often. Copyright © 2009 John Wiley & Sons, Ltd.

摘要暂缺

通过贝叶斯数值方法估计企业特定的配置无效率AI 解读

Abstract Both the theoretical and empirical literature on the estimation of allocative and technical inefficiency has grown enormously. To minimize aggregation bias, ideally one should estimate firm and input‐specific parameters describing allocative inefficiency. However, identifying these parameters has often proven difficult. For a panel of Chilean hydroelectric power plants, we obtain a full set of such parameters using Gibbs sampling, which draws sequentially from…

贝叶斯模型平均中先验假设的影响：增长回归应用AI 解读

Abstract We consider the problem of variable selection in linear regression models. Bayesian model averaging has become an important tool in empirical settings with large numbers of potential regressors and relatively limited numbers of observations. We examine the effect of a variety of prior assumptions on the inference concerning model size, posterior inclusion probabilities of regressors and on predictive performance. We illustrate these issues in the context of…

向量自回归的稳态先验AI 解读

Abstract Bayesian priors are often used to restrain the otherwise highly over‐parametrized vector autoregressive (VAR) models. The currently available Bayesian VAR methodology does not allow the user to specify prior beliefs about the unconditional mean, or steady state, of the system. This is unfortunate as the steady state is something that economists usually claim to know relatively well. This paper develops easily implemented methods for analyzing both stationary and…

投资组合优化：何时以及如何受益于高频数据？AI 解读

Abstract We examine how the use of high‐frequency data impacts the portfolio optimization decision. Prior research has documented that an estimate of realized volatility is more precise when based upon intraday returns rather than daily returns. Using the framework of a professional investment manager who wishes to track the S&P 500 with the 30 Dow Jones Industrial Average stocks, we find that the benefits of using high‐frequency data depend upon the rebalancing frequency…

扩散指数预测中的提升法AI 解读

Abstract In forecasting and regression analysis, it is often necessary to select predictors from a large feasible set. When the predictors have no natural ordering, an exhaustive evaluation of all possible combinations of the predictors can be computationally costly. This paper considers ‘boosting’ as a methodology of selecting the predictors in factor‐augmented autoregressions. As some of the predictors are being estimated, we propose a stopping rule for boosting to prevent…

评估欧盟经济预测的审慎性AI 解读

Abstract We estimate the EU Commission loss preferences for major economic forecasts of 12 Member States. Based on a recently proposed method by Elliott, Komunjer and Timmermann (2005) the paper provides evidence of asymmetries in the underlying forecast loss preference of the Commission that tend to vary across Member States. In some cases, our results show that EU forecasts tend to display a rather optimistic picture for main economic variables, e.g. government balance,…

利用聚合数据贝叶斯估计随机系数选择模型AI 解读

Abstract This article discusses the use of Bayesian methods for estimating logit demand models using aggregate data. We analyze two different demand systems: independent samples and consumer panel. Under the first system, there is a different and independent random sample of N consumers in each period and each consumer makes only a single purchase decision. Under the second system, the same N consumers make a purchase decision in each of T periods. Interestingly, there…

利用品牌层面营销变量建模品类层面的购买时点AI 解读

Abstract Purchase timing of households is usually modeled at the category level. However, many potential explanatory variables are observed at the brand level. To explain interpurchase times one has to either construct category‐level measures of marketing efforts, or integrate the model with a model for brand choice. In this paper we pursue the latter where we use latent brand preferences to capture the relevance of the marketing mix of an individual brand. We compare our…