日期精度：到日 13 篇 · 到月 1359 篇 · 到年 4 篇
对《反对使用 JIVE 的论证》的评论
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.
基于德国数据的欧元区小型货币系统
Abstract Previous euro area money demand studies have used aggregated national time series data from the countries participating in the European Monetary Union (EMU). However, aggregation may be problematic because macroeconomic convergence processes have taken place in the countries of interest. Therefore, in this study, quarterly German data until 1998 are combined with data from the euro area from 1999 until 2002 and these series are used for fitting a small vector error…
向购买力平价收敛的非参数度量
Abstract It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half‐lives under the assumption of a linear adjustment of real exchange rates. However, inspired by trade cost models, nonlinear adjustment has been widely employed in recent empirical studies. This paper proposes a simple nonparametric procedure for evaluating the speed of adjustment in the presence of nonlinearity, using the largest Lyapunov exponent of…
动态随机前沿模型中的推断
Abstract An important issue in models of technical efficiency measurement concerns the temporal behaviour of inefficiency. Consideration of dynamic models is necessary but inference in such models is complicated. In this paper we propose a stochastic frontier model that allows for technical inefficiency effects and dynamic technical inefficiency, and use Bayesian inference procedures organized around data augmentation techniques to provide inferences. Also provided are…
利用 Box–Cox 异方差回归建模企业规模分布
Abstract Using the Box–Cox regression model with heteroscedasticity (BCHR), we re‐examine the size distribution of the Portuguese manufacturing firms studied by Machado and Mata ( 2000 ) using the Box–Cox quantile regression (BCQR) method. We show that the BCHR model compares favourably against the BCQR method. In particular, the BCHR model can answer the key questions addressed by the BCQR method, with the advantage that the estimated quantile functions are monotonic.…
半参数等价尺度的估计
Abstract Within the semiparametric framework introduced by Pendakur ( 1999 ) we introduce a new loss function to estimate equivalence scales. This loss function uses all available information from the total expenditures of both the reference and nonreference households and as such it produces more reliable estimates. Using Canadian family expenditure data for 1996 we apply this loss function to obtain equivalence scale estimates for a variety of expenditure share categories…
从内生选择样本推导目标客户选择规则
Abstract The selection of the most profitable customers in a customer database for targeted activities is often done based on observed behaviour in the past. Consequently, databases arising from the responses to, for example, direct mailings in the past are not random samples. When not all heterogeneity across customers is observed, target selection will be based on unobserved heterogeneity and hence it is endogenous. We develop a method to adjust the likelihood function of…
利用北卡罗来纳州面板数据估计犯罪经济模型
Abstract This paper replicates the Cornwell and Trumbull ( 1994 ) estimation of a crime model using panel data on 90 counties in North Carolina over the period 1981–1987. While the Between and Within estimates are replicated, the fixed effects 2SLS as well as the 2SLS estimates are not. In fact, the fixed effects 2SLS estimates turn out to be insignificant for all important deterrent variables as well as legal opportunity variables. We argue that the usual Hausman test,…
利用利差预测美国衰退的结构突变门限 VAR
Abstract This paper proposes a model to predict recessions that accounts for non‐linearity and a structural break when the spread between long‐ and short‐term interest rates is the leading indicator. Estimation and model selection procedures allow us to estimate and identify time‐varying non‐linearity in a VAR. The structural break threshold VAR (SBTVAR) predicts better the timing of recessions than models with constant threshold or with only a break. Using real‐time data,…
利率期限结构与宏观经济的联合模型
Abstract We present and estimate a continuous time term structure model that incorporates observable macroeconomic variables and latent variables with a clear macroeconomic interpretation. Our model is able to accurately describe the joint dynamics for US macroeconomic variables and the yield curve. However, the observable variables do not explain the long end of the term structure. Central tendencies of these macroeconomic variables do a much better job in this respect.…
多变量不可观测成分模型的季节整合与协整检验
Abstract This paper considers tests of seasonal integration and cointegration for multivariate unobserved component models. First, the locally best invariant (LBI) test of the null hypothesis of a deterministic seasonal pattern against the alternative of seasonal integration is derived for a model with Gaussian i.i.d. disturbances and deterministic trend. Then the null hypothesis of seasonal cointegration is considered and a test for common nonstationary components at the…
广义长记忆过程、协整检验失效与汇率动态
Abstract This paper presents evidence that the equilibrium relationship in a system of nominal exchange rates is best described as a stationary GARMA process. The implementation of the GARMA methodology helps explain conflicting and puzzling results from the use of linear cointegration and fractional cointegration methods. Furthermore, we use Monte Carlo analysis to document problems with standard cointegration tests when the attraction process is distributed as a long…
货币政策变化如何影响银行贷款：奥地利银行数据分析
Abstract Using a panel of Austrian bank data we show that the lending decisions of the smallest banks are more sensitive to interest rate changes, and that for all banks, sensitivity changes over time. We propose to estimate the groups of banks that display similar lending reactions by means of a group indicator which, after estimation, indicates each bank's classification. Additionally, we estimate a state indicator that indicates the periods during which the lending…
正态混合 GARCH(1,1)：汇率建模应用
Abstract Some recent specifications for GARCH error processes explicitly assume a conditional variance that is generated by a mixture of normal components, albeit with some parameter restrictions. This paper analyses the general normal mixture GARCH(1,1) model which can capture time variation in both conditional skewness and kurtosis. A main focus of the paper is to provide evidence that, for modelling exchange rates, generalized two‐component normal mixture GARCH(1,1)…
全球股票市场多变量波动率门限的估计与预测
Abstract We propose a general double tree structured AR‐GARCH model for the analysis of global equity index returns. The model extends previous approaches by incorporating (i) several multivariate thresholds in conditional means and volatilities of index returns and (ii) a richer specification for the impact of lagged foreign (US) index returns in each threshold. We evaluate the out‐of‐sample forecasting power of our model for eight major equity indices in comparison to some…
平滑二元分位数回归
Abstract This paper extends results regarding smoothed median binary regression to general smoothed binary quantile regression, discusses the interpretation of the resulting estimators under alternative assumptions, and shows how they may be used to obtain semiparametric estimates of counterfactual probabilities. The estimators are applied to a model of labour force participation of married women in the USA. We find that the elasticity with respect to non‐labour income is…
重新考察杂志价格调整
Abstract This paper examines price adjustment behaviour in the magazine industry. In a frequently cited study, Cecchetti ( 1986 ) constructs a reduced‐form ( S, s ) model for firms. Cecchetti assumes that a firm's pricing rules are fixed for non‐overlapping three‐year intervals and estimates the model using a conditional logit specification from Chamberlain ( 1980 ). The estimates are inconsistent, however, due to the duration‐dependent specification of the model. Two…
跨期定价与价格歧视：个人电脑市场的半参数特征价格分析
Abstract We apply a smooth coefficient semiparametric model to a unique high‐frequency data set to examine the intertemporal pricing of personal computers. Furthermore, we test whether firms charge differential component prices for their top performance personal computers and whether premium firms charge both a premium for all their computers and a premium for their top performance ones. We find nonlinear effects in the pricing of personal computer components. We also find…
不同长度时间序列的多变量模型估计
Abstract We consider the problem of estimating parametric multivariate density models when unequal amounts of data are available on each variable. We focus in particular on the case that the unknown parameter vector may be partitioned into elements relating only to a marginal distribution and elements relating to the copula. In such a case we propose using a multi‐stage maximum likelihood estimator (MSMLE) based on all available data rather than the usual one‐stage maximum…
随机系数模型中的福利效应度量
Abstract In economic research, it is often important to express the marginal value of a variable in monetary terms. In random coefficient models, this marginal monetary value is the ratio of two random coefficients and is thus random itself. In this paper, we study the distribution of this ratio and particularly the consequences of different distributional assumptions about the coefficients. It is shown that important characteristics of the distribution of the marginal…
经济时间序列周期分解的贝叶斯模型平均
Abstract A flexible decomposition of a time series into stochastic cycles under possible non‐stationarity is specified, providing both a useful data analysis tool and a very wide model class. A Bayes procedure using Markov Chain Monte Carlo (MCMC) is introduced with a model averaging approach which explicitly deals with the uncertainty on the appropriate number of cycles. The convergence of the MCMC method is substantially accelerated through a convenient reparametrization…
结构变化时点的条件概率评估
Abstract We propose a strategy for assessing structural stability in time‐series frameworks when potential change dates are unknown. Existing stability tests are effective in detecting structural change, but procedures for identifying timing are imprecise, especially in assessing the stability of variance parameters. We present a likelihood‐based procedure for assigning conditional probabilities to the occurrence of structural breaks at alternative dates. The procedure is…
gnuplot 4.0：可移植的交互式绘图工具
Abstract gnuplot , under active development since 1986, is an interactive plotting utility for UNIX, IBM OS/2, MS Windows, DOS, Apple Macintosh, VMS, Atari and many other platforms. It is free and open source, though it is not licensed under the GPL, nor is it GNU software. gnuplot supports a number of ‘terminal’ types including interactive screen terminals, pen plotters, printers, and pseudo‐devices like LATEX, metafont, pdf, svg, and bitmap png. As of version 4.0 it also…