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墨西哥裔美国人平均工资差距的非参数分解AI 解读

Abstract This paper shows that average wage gap decompositions between any two groups of workers can be carried out using nonparametric wage structures. It also proposes an algorithm to correct for sample selection in nonparametric models known as tree structures. This paper studies the wage gap between third‐generation Mexican American and non‐Hispanic white workers in the southwest. It is shown that the decomposition heavily depends on functional assumptions, and that…

从临时派遣工作到永久就业：匹配估计及其敏感性AI 解读

Abstract The diffusion of temporary work agency (TWA) jobs has led to a harsh policy debate and ambiguous empirical evidence. Results for the USA, based on quasi‐experimental evidence, suggest that a TWA assignment decreases the probability of finding a stable job, while results for Europe, based on the conditional independence assumption (CIA), typically reach opposite conclusions. Using data for two Italian regions, we rely on a matching estimator to show that TWA…

从受污染数据中推断残障状态AI 解读

Abstract In light of widespread concerns about the reliability of self‐reported disability, we investigate what can be learned about the prevalence of work disability under various assumptions on the reporting error process. Developing a nonparametric bounding framework, we provide tight inferences under our strongest assumptions but then find that identification deteriorates rapidly as the assumptions are relaxed. For example, we find that inferences are highly sensitive to…

微观面板非线性状态空间模型中的序贯数值积分AI 解读

Abstract This paper discusses the estimation of a class of nonlinear state space models including nonlinear panel data models with autoregressive error components. A health economics example illustrates the usefulness of such models. For the approximation of the likelihood function, nonlinear filtering algorithms developed in the time‐series literature are considered. Because of the relatively simple structure of these models, a straightforward algorithm based on sequential…

季节调整对经济周期扩张与衰退状态性质的影响AI 解读

Abstract We study the impact of seasonal adjustment on the properties of business cycle expansion and recession regimes using analytical, simulation and empirical methods. Analytically, we show that the X‐11 adjustment filter both reduces the magnitude of change at turning points and reduces the depth of recessions, with specific effects depending on the length of the recession. A Monte Carlo analysis using Markov‐switching models confirms these properties, with particularly…

利用条件自回归空间模型的方差结构刻画知识溢出AI 解读

Abstract This study investigates the pattern of knowledge spillovers arising from patent activity between European regions. A Bayesian hierarchical model is developed that specifies region‐specific latent effects parameters modeled using a connectivity structure between regions that can reflect geographical proximity in conjunction with technological and other types of proximity. This approach exploits the fact that interregional relationships may exhibit industry‐specific…

大缓和来源的贝叶斯反事实分析AI 解读

Abstract We use counterfactual experiments to investigate the sources of the large volatility reduction in US real GDP growth in the 1980s. Contrary to an existing literature that conducts counterfactual experiments based on classical estimation and point estimates, we consider Bayesian analysis that provides a straightforward measure of estimation uncertainty for the counterfactual quantity of interest. Using Blanchard and Quah's ( 1989 ) structural VAR model of output…

费雪效应的面板协整检验AI 解读

Abstract Most empirical evidence suggests that the Fisher effect, stating that inflation and nominal interest rates should cointegrate with a unit slope on inflation, does not hold, a finding at odds with many theoretical models. This paper argues that these results can be attributed in part to the low power of univariate tests, and that the use of panel data can generate more powerful tests. For this purpose, we propose two new panel cointegration tests that can be applied…

国际动态风险分担AI 解读

Abstract In this paper we examine the implications of international risk sharing among a set of countries in the presence of market frictions which complicate the instantaneous adjustment to the first‐order conditions. We suggest approximating the consumption streams of countries belonging to the risk sharing coalition in terms of a disequilibrium dynamic model embodying forward‐looking adjustment. Econometric methods for estimating and testing the model are discussed.…

汇率波动率 GARCH 模型中的结构突变AI 解读

Abstract We investigate the empirical relevance of structural breaks for GARCH models of exchange rate volatility using both in‐sample and out‐of‐sample tests. We find significant evidence of structural breaks in the unconditional variance of seven of eight US dollar exchange rate return series over the 1980–2005 period—implying unstable GARCH processes for these exchange rates—and GARCH(1,1) parameter estimates often vary substantially across the subsamples defined by the…

财务比率的多变量部分调整：贝叶斯层级方法AI 解读

Abstract In this paper we propose a multivariate extension of the partial adjustment model of financial ratios. To that end, we use a dynamic factor model which assumes that financial ratios measuring, essentially, the same economic–financial dimension of the firm evolve in a similar way, reflecting the evolution of the common factor. The proposed model is hierarchical with three levels. The first describes the relationship between each ratio and its common factor; the…

GARCH 类模型标准化残差相关检验的统一方法AI 解读

Abstract In this paper, we propose a unified approach to generating standardized‐residuals‐based correlation tests for checking GARCH‐type models. This approach is valid in the presence of estimation uncertainty, is robust to various standardized error distributions, and is applicable to testing various types of misspecifications. By using this approach, we also propose a class of power‐transformed‐series (PTS) correlation tests that provides certain robustifications and…

异方差与自相关稳健检验的表现：蒙特卡洛研究及 Fama–French 三因子模型应用AI 解读

Abstract This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Fama–French three‐factor model. The null that the intercepts are zero is tested for 5‐year, 10‐year and longer sub‐periods. The conventional HAR test with asymptotic P ‐values rejects the null for…

产业组织的计量经济学AI 解读

The JAE Data Archive directory is available at http://qed.econ.queensu.ca/jae/datasets/ . 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.

《应用计量经济学杂志》博士论文奖AI 解读

The JAE Data Archive directory is available at http://qed.econ.queensu.ca/jae/datasets/ . 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.

拉丁美洲基础设施特许经营：政府主导的重新谈判AI 解读

Abstract This paper analyzes government‐led renegotiations in infrastructure concession contracts in Latin America, based on the same sample used in Guasch, Laffont and Straub (2003) to examine firm‐led renegotiations. After extending the theoretical framework to a multiple‐period context in which both Pareto‐improving and rent‐shifting renegotiations at the initiative of the government can occur, we develop an original instrumental variable strategy to address the issue of…

动态能源需求模型的有限样本推断方法AI 解读

Abstract This paper considers finite sample motivated inference methods in dynamic energy demand models, in which case commonly used econometric methods remain asymptotic. We focus on structural stability, and on exact confidence set estimation of elasticities. We account for intractable and nuisance parameter dependant distributions through Monte Carlo test procedures. For long‐run elasticities which depend on parameter ratios, we assess available asymptotic and exact…

Farrell 型效率聚合指标的统计推断AI 解读

Abstract In this study, we merge results of two recent directions in efficiency analysis research—aggregation and bootstrap—applied, as an example, to one of the most popular point estimators of individual efficiency: the data envelopment analysis (DEA) estimator. A natural context of the methodology developed here is a study of efficiency of a particular economic system (e.g., an industry) as a whole, or a comparison of efficiencies of distinct groups within such a system…

广告竞争的半结构模型AI 解读

Abstract We propose a semi‐structural discrete‐choice model that can be used to estimate static or dynamic decision rules. It is particularly useful in strategic contexts when games involve a rich set of choices, when private information is correlated, and when one wants to uncover the effect of historic behavior (on, for example, prices, sales, and profits). We apply our discrete‐choice estimator to study decision rules for a dynamic game of price and advertising…

研发合作、补贴与研发绩效：芬兰和德国的经验证据AI 解读

Abstract This study focuses on the impact of innovation policies and R&D collaboration in Germany and Finland. We consider collaboration and subsidies as heterogeneous treatments, and perform an econometric matching to analyze R&D and patent activity at the firm level. In general, we find that collaboration has positive effects. In Germany, subsidies for individual research do neither exhibit a significant impact on R&D nor on patenting, but the innovative performance could…

加州电力备用容量市场的效率AI 解读

Abstract We test the efficiency of the California electricity reserves market by examining systematic differences between its day‐ and hour‐ahead prices. We uncover significant day‐ahead premia, which we attribute to market design characteristics. On the demand side, the market design established a principal–agent relationship between the markets' buyers (principal) and their supervisory authority (agent). The agent had very limited incentives to shift reserve purchases to…

正态误差成分 Logit 混合模型的参数识别AI 解读

Abstract Although the basic structure of logit‐mixture models is well understood, important identification and normalization issues often get overlooked. This paper addresses issues related to the identification of parameters in logit‐mixture models containing normally distributed error components associated with alternatives or nests of alternatives ( normal error component logit mixture , or NECLM, models). NECLM models include special cases such as unrestricted, fixed…

英国男性的永久与暂时工资：1975—2001年的年份、年龄和队列效应AI 解读

Abstract We examine the mean and variance–covariance structure of log‐wages over calendar time and the life cycle of British men, hereby controlling for birth cohort effects. We attribute the strong increase in mean log‐wage during the 1980s and 1990s to a rise in mean log‐wage with the year of birth. This rise is diminishing with the year of birth, which implies lower wage inequality between cohorts with the year of birth. Wage inequality has increased during the 1980s and…

再犯行为的半非参数竞争风险分析AI 解读

Abstract In this paper we specify a semi‐nonparametric competing risks (SNP‐CR) model of recidivism, for misdemeanors and felonies. The model is a bivariate mixed proportional hazard model with Weibull baseline hazards and common unobserved heterogeneity. The distribution of the latter is modeled semi‐nonparametrically, using orthonormal Legendre polynomials on the unit interval, and integrated out to make the two durations dependent, conditional on the covariates. The…