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地理贫困陷阱？中国农村消费增长的微观模型AI 解读

Abstract How important are neighbourhood endowments of physical and human capital in explaining diverging fortunes over time for otherwise identical households in a developing rural economy? To answer this question we develop an estimable micro model of consumption growth allowing for constraints on factor mobility and externalities, whereby geographic capital can influence the productivity of a household's own capital. Our statistical test has considerable power in…

非正态数据的灵活参数选择模型及其医疗使用应用AI 解读

Abstract I examine the effects of insurance status and managed care on hospitalization spells, and develop a new approach for sample selection problems in parametric duration models. MLE of the Flexible Parametric Selection (FPS) model does not require numerical integration or simulation techniques. I discuss application to the exponential, Weibull, log‐logistic and gamma duration models. Applying the model to the hospitalization data indicates that the FPS model may be…

酒精滥用与就业：重新考察AI 解读

Abstract Based on data from the 1988 Alcohol Supplement of the National Health Interview Survey, Mullahy and Sindelar ( 1996 ) (M&S) find, for both men and women, that alcohol abuse results in reduced employment and increased unemployment. The estimates from which they drew these inferences were obtained via the instrumental variables (IV) method, which was implemented in order to account for the potential endogeneity of problem drinking. Though these IV estimates…

删失潜在效应自回归模型及其美国失业应用AI 解读

Abstract A model is proposed to describe observed asymmetries in postwar unemployment time series data. We assume that recession periods, when unemployment increases rapidly, correspond with unobserved positive shocks. The generating mechanism of these latent shocks is a censored regression model, where linear combinations of lagged explanatory variables lead to positive shocks, while otherwise shocks are equal to zero. We apply this censored latent effects autoregression to…

发送者—接收者博弈中的学习与沟通：计量研究AI 解读

Abstract This paper compares stimulus response (SR) and belief‐based learning (BBL) using data from experiments with sender–receiver games. The environment, extensive form games played in a population setting, is novel in the empirical literature on learning in games. Both the SR and BBL models fit the data reasonably well in games where the preferences of senders and receivers are perfectly aligned and where the population history of the senders is known. The test results…

使用 R 教授计量经济学AI 解读

Abstract R, an open‐source programming environment for data analysis and graphics, has in only a decade grown to become a de‐facto standard for statistical analysis against which many popular commercial programs may be measured. The use of R for the teaching of econometric methods is appealing. It provides cutting‐edge statistical methods which are, by R's open‐source nature, available immediately. The software is stable, available at no cost, and exists for a number of…

利用 Hansen–Jagannathan 界评价资产定价模型：蒙特卡洛研究AI 解读

Abstract We use recent statistical tests, based on a ‘distance’ between the model and the Hansen–Jagannathan bound, to compute the rejection rates of true models. For asset‐pricing models with time‐separable preferences, the finite‐sample distribution of the test statistic associated with the risk‐neutral case is extreme, in the sense that critical values based on this distribution deliver type I errors no larger than intended—regardless of risk aversion or the rate of time…

含随机系数的随机前沿模型AI 解读

Abstract The paper proposes a stochastic frontier model with random coefficients to separate technical inefficiency from technological differences across firms, and free the frontier model from the restrictive assumption that all firms must share exactly the same technological possibilities. Inference procedures for the new model are developed based on Bayesian techniques, and computations are performed using Gibbs sampling with data augmentation to allow finite‐sample…

购买力平价偏离半衰期的不确定性量化AI 解读

Abstract We propose a Bayesian framework in which the uncertainty about the half‐life of deviations from purchasing power parity can be quantified. Based on the responses to a survey study, we propose a prior probability distribution for the half‐life under the recent float intended to capture widely held views among economists. We derive the posterior probability distribution of the half‐life under this consensus prior and confirm the presence of substantial uncertainty…

家庭购买时点决策的分群风险率方法AI 解读

Abstract The increasing availability of customer‐level data and the willingness of marketers to customize the timing of their offers to consumers makes the accurate segment‐level description of household purchase timing decisions a compelling issue. In this paper we employ a finite mixture accelerated failure time model to identify and characterize household segments in terms of their purchasing rates and their propensity to accelerate purchases due to marketing mix…

领先指标究竟领先什么AI 解读

Abstract We propose an optimal filter to transform the Conference Board Composite Leading Index (CLI) into recession probabilities in the US economy. We also analyse the CLI's accuracy at anticipating US output growth. We compare the predictive performance of linear, VAR extensions of smooth transition regression and switching regimes, probit, non‐parametric models and conclude that a combination of the switching regimes and non‐parametric forecasts is the best strategy at…

企业与时间变化的等式及不等式约束下的经济关系估计AI 解读

Abstract Applied econometricians often fail to impose economic regularity constraints in the exact form economic theory prescribes. We show how the Singular Value Decomposition (SVD) Theorem and Markov Chain Monte Carlo (MCMC) methods can be used to rigorously impose time‐ and firm‐varying equality and inequality constraints. To illustrate the technique we estimate a system of translog input demand functions subject to all the constraints implied by economic theory,…

重新审视远期贴水异象：计量经济学证据AI 解读

Abstract Using both semiparametric and parametric estimation methods, this paper corroborates earlier findings of fractionally integrated behaviour in the forward premium. Two new explanations are also proposed to help reconcile earlier conflicting empirical evidence on the time series properties of the forward premium. Traditional regression approaches used to test the forward rate unbiasedness hypothesis are then evaluated, including regression in levels, in returns…

可预测性的度量：理论与宏观经济应用AI 解读

Abstract We propose a measure of predictability based on the ratio of the expected loss of a short‐run forecast to the expected loss of a long‐run forecast. This predictability measure can be tailored to the forecast horizons of interest, and it allows for general loss functions, univariate or multivariate information sets, and covariance stationary or difference stationary processes. We propose a simple estimator, and we suggest resampling methods for inference. We then…

摘要暂缺

非嵌套假设的得分检验及其离散数据模型应用AI 解读

Abstract In this paper it is shown that a convenient score test against non‐nested alternatives can be constructed from the linear combination of the likelihood functions of the competing models. This is essentially a test for the correct specification of the conditional distribution of the variable of interest. Given its characteristics, the proposed test is particularly attractive to check the distributional assumptions in models for discrete data. The usefulness of the…

跨国增长回归中的模型不确定性AI 解读

Abstract We investigate the issue of model uncertainty in cross‐country growth regressions using Bayesian Model Averaging (BMA). We find that the posterior probability is spread widely among many models, suggesting the superiority of BMA over choosing any single model. Out‐of‐sample predictive results support this claim. In contrast to Levine and Renelt ( 1992 ), our results broadly support the more ‘optimistic’ conclusion of Sala‐i‐Martin ( 1997b ), namely that some…

《应用计量经济学杂志》会议赞助资助公告AI 解读

The Journal of Applied Econometrics invites requests for funding towards the costs of organising conferences which are intended as a forum for disseminating research in applied econometrics. As part of its remit to publish high quality articles dealing with the application of existing and innovative econometric techniques to a wide variety of applied problems, the Journal would like to solicit applications for financial support of conferences. In most cases the Journal…

作为计量经济学编程系统的 ScilabAI 解读

Abstract This article reviews Scilab, a free MATLAB‐like programming system. Scilab can be used for data analysis and applied numerical work in both research and teaching. Scilab is an interesting alternative to some commercial programming environments. Copyright © 2001 John Wiley & Sons, Ltd.

灵活参数化的 GARCH 模型及其汇率应用AI 解读

Abstract Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often one‐sided adjustments. Statistically, this generates empirical distributions of exchange rate changes that exhibit high peaks, long tails, and skewness. This paper introduces a GARCH model, with a flexible parametric error distribution based on the exponential generalized beta (EGB) family of distributions. Applied to daily US dollar exchange rate…

趋势平稳的 GNP：新精确逐点最强不变单位根检验的证据AI 解读

Abstract There has been a substantial debate whether GNP has a unit root. However, statistical tests have had little success in distinguishing between unit‐root and trend‐reverting specifications because of poor statistical properties. This paper develops a new exact small‐sample, pointwise most powerful unit root test that is invariant to the unknown mean and scale of the time series tested, that generates exact small‐sample critical values, powers and p ‐values, that has…

小型开放经济中的货币政策分析与通胀目标制：VAR 方法AI 解读

Abstract Empirical monetary policy research has increased in the last decade, possibly because deregulation and explicit monetary targets have made monetary policy issues more interesting. In particular, within the inflation targeting framework it has been argued that inflation forecasts can be used as optimal intermediate targets for monetary policy, and the development of empirical models that have good forecasting properties is therefore important. This paper shows that a…

长期中的产出与通货膨胀AI 解读

Abstract Cross‐country regressions explaining output growth often obtain a negative effect from inflation. However, that result is not robust, due to the selection of countries in sample, temporal aggregation, and omission of consequential variables in levels. This paper demonstrates some implications of these mis‐specifications, both analytically and empirically. In particular, for most G‐7 countries, annual time series of inflation and the log‐ level of output are…

I(1) 过程统计推断的有限样本改进AI 解读

Abstract Robinson and Marinucci ( 1998 ) investigated the asymptotic behaviour of a narrow‐band semiparametric procedure termed Frequency Domain Least Squares (FDLS) in the broad context of fractional cointegration analysis. Here we restrict discussion to the standard case when the data are I(1) and the cointegrating errors are I(0), proving that modifications of the Fully Modified Ordinary Least Squares (FM‐OLS) procedure of Phillips and Hansen ( 1990 ) which use the FDLS…