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非嵌套半参数模型检验：恩格尔曲线设定应用AI 解读

This paper proposes a test statistic for discriminating between two partly non-linear regression models whose parametric components are non-nested. The statistic has the form of a J-test based on a parameter which artificially nests the null and alternative hypotheses. We study in detail the realistic case where all regressors in the non-linear part are discrete and then no smoothing is required on estimating the non-parametric components. We also consider the general case…

非嵌套半参数模型检验：恩格尔曲线设定的应用AI 解读

This paper proposes a test statistic for discriminating between two partly non-linear regression models whose parametric components are non-nested. The statistic has the form of a J-test based on a parameter which artificially nests the null and alternative hypotheses. We study in detail the realistic case where all regressors in the non-linear part are discrete and then no smoothing is required on estimating the non-parametric components. We also consider the general case…

周期性状态转换模型的贝叶斯推断AI 解读

We present a general class of nonlinear time-series Markov regime-switching models for seasonal data which may exhibit periodic features in the hidden Markov process as well as in the laws of motion in each of the regimes. This class of models allows for non-trivial dependencies between seasonal, cyclical and long-term patterns in the data. To overcome the computational burden we adopt a Bayesian approach to estimation and inference. This paper contains two empirical…

日元兑美元汇率的条件异方差AI 解读

This paper examines the conditional heteroscedasticity of the yen-dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional heteroscedasticity model to a process that is fractionally integrated. It is found that, unlike the equity markets, the appreciation and depreciation shocks of the yen against the dollar have similar effects on future volatilities. Although the results reject both the stable and the integrated models, our…

美国女性工资分布变化的动态：分位数回归方法AI 解读

This paper examines the female wage structure focusing on changes at different points in the wage distribution. Newly developed quantile regression methods are used in analysing data from the March Current Population Survey. The results show that while the most significant changes for the less skilled women took place at the bottom of the wage distribution, for the more skilled groups changes occurred at both ends of the distribution. Consequently, wage inequality decreased…

离散时间的欧洲货币体系目标区模型AI 解读

The discrete time analogue of the continuous time Krugman target zone model is developed in order to capture the typical volatility clusters and fat-tailed distributed innovations of exchange rates. It is shown that under these more general stochastic conditions the S-shaped relation between exchange rate and fundamentals is preserved, but is less pronounced. The model is tested for its S-shape and stochastic properties. Two clearly distinct sets of EMS currencies are…

摘要暂缺

理解即期与远期汇率回归AI 解读

Using the Kalman filter, we obtain maximum likelihood estimates of a permanent-transitory components model for log spot and forward dollar prices of the pound, the franc, and the yen. This simple parametric model is useful in understanding why the forward rate may be an unbiased predictor of the future spot rate even though an increase in the forward premium predicts a dollar appreciation. Our estimates of the expected excess return on short-term dollar-denominated assets…

金融利差能否预测欧盟国家的通胀与产出增长？AI 解读

This paper seeks to address the policy issue of the usefulness of financial spreads as indicators of future inflation and output growth in the countries of the European Union, placing a particular focus on out-of-sample forecasting performance. Such analysis is of considerable relevance to monetary authorities, given the breakdown of the money/income relation in a number of countries and following increased emphasis of domestic monetary policy on control of inflation…

摘要暂缺

金融利差能否预测欧盟国家的通胀与产出增长？AI 解读

This paper seeks to address the policy issue of the usefulness of financial spreads as indicators of future inflation and output growth in the countries of the European Union, placing a particular focus on out-of-sample forecasting performance. Such analysis is of considerable relevance to monetary authorities, given the breakdown of the money/income relation in a number of countries and following increased emphasis of domestic monetary policy on control of inflation…

相互依赖偏好的计量分析AI 解读

The theoretical model of Gaertner (1974) and Pollak (1976) for the interdependence of preferences in the Linear Expenditure System is estimated for a cross-section of households. The interdependence of consumption of different households has implications for the stochastic structure of the model and for the identifiability of its parameters. Both aspects are dealt with. The empirical results indicate a significant role played by the interdependence of preferences. One of its…

理解即期与远期汇率回归AI 解读

Using the Kalman filter, we obtain maximum likelihood estimates of a permanent-transitory components model for log spot and forward dollar prices of the pound, the franc, and the yen. This simple parametric model is useful in understanding why the forward rate may be an unbiased predictor of the future spot rate even though an increase in the forward premium predicts a dollar appreciation. Our estimates of the expected excess return on short-term dollar-denominated assets…

美国与荷兰的食品需求：基于CBS模型的系统分析AI 解读

We analyse the demand for food in the USA and the Netherlands in the period 1929-88, using a differential consumer demand system, the CBS model, and we compare our results with those of Tobin. For the USA we find an income elasticity of 0-75, both in budget-survey data and in time-series data, which is higher than those found by Tobin, and an own-price elasticity of -0 45. For the Netherlands we obtain an income elasticity of 0-35 in time-series data and 0-65 in individual…

个体与总量食品消费函数的对应关系：美国与荷兰的证据AI 解读

This paper provides evidence from the US and Dutch budget surveys that income elasticity of family food consumption is a function of family income and other observable characteristics of the household. It also finds that the conditional variance of family food consumption depends on family income. This complicated pattern of dependence of family food consumption on income breaks the exact correspondence between the family and the aggregate food consumption functions. Simple…

采用新信息复杂度方法的食品消费实证计量建模AI 解读

This paper is concerned with empirical econometric modeling of food consumption in the USA and the Netherlands. Using autoregressive distributed lag models (ADLs) selected via the Informational Complexity (ICOMP) criterion, we study the relationship between food consumption and income. Whether food consumption obeys the homogeneity postulate is tested using information criteria. Using information-theoretic techniques, we identify the optimal information set and lag order for…

数据：简要说明AI 解读

This paper provides a brief description of all the data we provided for use in our experiment in applied econometrics: aggregate time-series data for the USA and The Netherlands; cross-section sample-survey budget data for the USA; and cross-section household level budget data for The Netherlands. We include brief descriptions of the data sets, definitions of the variables involved and documentation of original sources. We indicate where full information about the data, and…

美国与荷兰的食品统计需求函数AI 解读

This paper reports results of an extensive analysis of statistical demand functions for food using household survey data and aggregate time-series data on food consumption in the USA and The Netherlands. Using the model put forward by Tobin (1950) for survey data, we find that socio-economic information on the composition, education, and status of households adds little to the explanation of food consumption. The income elasticity of food consumption decreases over time in…

个体与总量食品消费函数的对应关系：美国与荷兰的证据AI 解读

This paper provides evidence from the US and Dutch budget surveys that income elasticity of family food consumption is a function of family income and other observable characteristics of the household. It also finds that the conditional variance of family food consumption depends on family income. This complicated pattern of dependence of family food consumption on income breaks the exact correspondence between the family and the aggregate food consumption functions. Simple…

美国与荷兰食品需求建模的比较研究AI 解读

This paper provides time-series and cross-sectional budget survey analyses of the demand for food in the United States and the Netherlands according to the tasks set by Jan Magnus and Mary Morgan (MM). Various econometric methods, including weighted least squares (WLS), cointegration, error correction, the almost ideal demand system (AIDS), and time-varying parameter (TVP) techniques, are used and the estimated demand elasticities compared across country and over time.

美国与荷兰的食品需求：基于 CBS 模型的系统分析AI 解读

We analyse the demand for food in the USA and the Netherlands in the period 1929-88, using a differential consumer demand system, the CBS model, and we compare our results with those of Tobin. For the USA we find an income elasticity of 0-75, both in budget-survey data and in time-series data, which is higher than those found by Tobin, and an own-price elasticity of -0 45. For the Netherlands we obtain an income elasticity of 0-35 in time-series data and 0-65 in individual…

随机趋势、确定性趋势与经济周期转折点AI 解读

This study examines the relationship between specifications for long-run output patterns and specifications for business cycle dynamics. In an application to US GDP, it is found that inferences about the nature of the trend in output are not robust to changes in the specification for short-run fluctuations. Similarly, the choice of which model best describes the transitory movements in output depends on the way in which the trend is specified. The empirical analysis makes…

多国经验随机 Solow 模型中的增长与收敛AI 解读

The paper considers international per capita output and its growth using a panel of data for 102 countries between 1960 and 1989. It sets out an explicitly stochastic Solow growth model and shows that this has quite different properties from the standard approach where the output equation is obtained by adding an error term to the linearized solution of a deterministic Solow model. It examines the econometric properties of estimates of beta convergence as traditionally…

通胀率存在单位根吗？序贯突变与面板模型的证据AI 解读

Using sequential trend break and panel data models, we investigate the unit root hypothesis for the inflation rates of thirteen OECD countries. With individual country tests, we find evidence of stationarity in only four of the thirteen countries. The results are more striking with the panel data model. We can strongly reject the unit root hypothesis both for a panel of all thirteen countries and for a number of smaller panels consisting of as few as three countries. The…