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针对平滑随机趋势的检验AI 解读

Abstract A trend estimated from an unobserved components model tends to be smoother when it is modelled as an integrated random walk rather than a random walk with drift. This article derives a test of the null hypothesis that the trend is deterministic against the alternative that it is an integrated random walk. It is assumed that the other component in the model is normally distributed white noise. Critical values are tabulated, the asymptotic distribution is derived and…

非平稳时间序列的描述性计量方法及实证示例AI 解读

Abstract Recent work by the author on methods of spatial density analysis for time series data with stochastic trends is reviewed. The methods are extended to include processes with deterministic trends, formulae for the mean spatial density are given, and the limits of sample moments of non‐stationary data are shown to take the form of moments with respect to the underlying spatial density, analogous to population moments of a stationary process. The methods are illustrated…

周期增长宏观模型中的稳定性与工资加速AI 解读

Abstract This paper is concerned with the stability of macroeconomic models in which there is no long‐run trade‐off between unemployment and inflation, because of a wage adjustment equation based on the NAIRU concept. It is shown, for a simple theoretical model and for the Bergstrom–Nowman–Wymer continuous‐time macro‐econometric model of the UK, that there is a bounded range of positive values of the wage acceleration parameter (determining the effect of labour demand on…

冲击与脉冲响应函数的估计AI 解读

Abstract This paper examines the issue of how to identify the shocks in a cointegrated VAR when the following assumptions are made: the variables can be classified as endogenous or exogenous, there are as many cointegrating relations as endogenous variables, the cointegrating vectors are identified and they contain at least one exogenous variable. It is shown that with these assumptions it is possible to identify the shocks without the use of further restrictions on the…

水平关系分析的界限检验方法AI 解读

Abstract This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend‐ or first‐difference stationary. The proposed tests are based on standard F ‐ and t ‐statistics used to test the significance of the lagged levels of the variables in a univariate equilibrium correction mechanism. The asymptotic…

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医生建议对饮酒量的影响：具有内生处理效应的计数回归AI 解读

Abstract Although there are encouraging trends, alcohol abuse continues to be a significant public health problem. Econometric studies of alcohol demand have yielded a great deal of information for alcohol abuse prevention policy. These studies suggest that higher alcohol taxes and stricter drunk‐driving policies can reduce heavy drinking and drunk driving. In this paper we explore the role physician advice plays in the campaign to prevent alcohol‐related problems. Compared…

商品指数期货条件波动率的状态转换建模AI 解读

Abstract Commodity index futures offer a versatile tool for gaining different forms of exposure to commodity markets. Volatility is a critical input in many of these applications. This paper examines issues in modelling the conditional variance of futures returns based on the Goldman Sachs Commodity Index (GSCI). Given that commodity markets tend to be ‘choppy’ (Webb, 1987 ), a general econometric model is proposed that allows for abrupt changes or regime shifts in…

英国与日本消费和收入的季节分数阶单整检验AI 解读

Abstract The seasonal structure of quarterly UK and Japanese consumption and income is examined by means of fractionally based tests proposed by Robinson ( 1994 ). These series were analysed from an autoregressive unit root viewpoint by Hylleberg, Engle, Granger and Yoo (HEGY, 1990 ) and Hylleberg, Engle, Granger and Lee (HEGL, 1993 ). We find that seasonal fractional integration, with amplitudes possibly varying across frequencies, is an alternative plausible way of…

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生产中的准固定投入与长期均衡：协整分析AI 解读

Abstract This paper proposes a cointegration approach to testing the validity long‐run equilibrium in production, where capital and labour are taken as quasi‐fixed inputs. Previous studies consider only capital as the quasi‐fixed input and do not take account of the time series properties of the variables, assuming implicitly that they are stationary. The canonical cointegrating regressions (CCR) procedure is employed to test for cointegration in both the single‐equation and…

离散持续时间模型的贝叶斯半参数估计：Dirichlet 过程先验应用AI 解读

Abstract This paper proposes a Bayesian estimator for a discrete time duration model which incorporates a non‐parametric specification of the unobserved heterogeneity distribution, through the use of a Dirichlet process prior. This estimator offers distinct advantages over the Nonparametric Maximum Likelihood estimator of this model. First, it allows for exact finite sample inference. Second, it is easily estimated and mixed with flexible specifications of the baseline…

灵活需求系统函数形式的实证比较AI 解读

Abstract This paper compares the performance of eight frequently used flexible forms that are either (1) locally flexible, (2) ‘effectively globally regular’, or (3) asymptotically globally flexible. Results show that the functions with global properties generally perform better, particularly those models having asymptotic properties. Results, using US consumption data, indicate substitutability among the components of consumption at most data points. There is also some…

样本选择模型的参数与半参数估计：葡萄牙女性劳动力的实证应用AI 解读

Abstract This paper applies both parametric and semiparametric methods to the estimation of wage and participation equations for married women in Portugal. The semiparametric estimators considered are the two‐stage estimators proposed by Newey ( 1991 ) and Andrews and Schafgans ( 1998 ). The selection equation results are compared using the specification tests proposed by Horowitz ( 1993 ), Horowitz and Härdle ( 1994 ), and the wage equation results are compared using a…

国际债券收益率利差的多变量潜在因子分解AI 解读

Abstract A factor analysis of long‐term bond spreads is performed by decomposing international interest rate spreads into national and global factors. The factors are latent, and are assumed to have GARCH‐type specifications as well as exhibiting serial dependence. An indirect estimator is used to compute estimates of the unknown parameters. The sampling performance of this estimator is investigated and compared with an alternative direct estimator based on the Kalman…

最大最小期望效用的计量经济学应用AI 解读

Abstract Gilboa and Schmeidler (1989) develop a set of axioms for decision making under uncertainty. The axioms imply a utility function and a set of distributions such that the preference ordering is obtained by calculating expected utility with respect to each distribution in the set, and then taking the minimum of expected utility over the set. In a portfolio choice problem, the distributions are joint distributions for the data that will be available when the choice is…

基于损失函数的 DSGE 模型评估AI 解读

Abstract In this paper we propose a Bayesian econometric procedure for the evaluation and comparison of DSGE models. Unlike in many previous econometric approaches we explicitly take into account the possibility that the DSGE models are misspecified and introduce a reference model to complete the model space. Three loss functions are proposed to assess the discrepancy between DSGE model predictions and an overall posterior distribution of population characteristics that the…

营销组合变量具有不同长期与短期效应的动态多项 Probit 品牌选择模型AI 解读

Abstract In this paper we propose a dynamic multinomial probit model in order to estimate the long‐run and short‐ run effects of marketing mix variables on brand choice. The latent variables, which contain the unobserved perceived utilities, follow a first‐order vector error correction autoregressive process of order 1 with current and lagged explanatory variables. The unrestricted autoregressive parameter matrix concerns the intertemporal correlation in perceived utilities…

动态离散选择模型中的序列相关变量AI 解读

Abstract This paper discusses the problems that are encountered when dynamic, discrete choice models are specified with continuous, serially correlated state variables. A variety of approximation methods that can deal with these problems is examined, and an empirical example that allows continuous variables to be serially correlated is presented. Copyright © 2000 John Wiley & Sons, Ltd.

日度汇率行为与货币风险对冲AI 解读

Abstract We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy‐tailed disturbance densities) are investigated in relation to the hedging strategies. Consequently, we can make a…

导言：推断与决策AI 解读

A major focus of applied econometric work is decision making in the context of uncertainty.Sometimes this work is several steps removed from the actual decision.For example, it may entail providing information in a form more suited to decision making, or reducing the uncertainty in the decision-making environment.Increasingly, applied econometricians are becoming more directly involved in decision making.The quality and quantity of data available are increasing, while the…

离散响应的混合多项 Logit 模型AI 解读

This paper considers mixed, or random coefficients, multinomial logit (MMNL) models for discrete response, and establishes the following results. Under mild regularity conditions, any discrete choice model derived from random utility maximization has choice probabilities that can be approximated as closely as one pleases by a MMNL model. Practical estimation of a parametric mixing family can be carried out by Maximum Simulated Likelihood Estimation or Method of Simulated…

近单位根、协整与利率期限结构AI 解读

The term structure of interest rates is often modelled as a cointegrated system with the yield spreads forming the cointegrating vectors. Testing whether the yield spreads span the cointegration space is problematic because conventional tests on the cointegration vectors tend to overreject when the largest autoregressive roots deviate from unity, as is likely to be the case with interest rates. A new test that is robust w.r.t. deviations from the exact unit root assumption…