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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…

计数数据模型中的内生性：医疗服务需求应用AI 解读

The generalized method of moments (GMM) estimation technique is discussed for count data models with endogenous regressors. Count data models can be specified with additive or multiplicative errors. It is shown that, in general, a set of instruments is not orthogonal to both error types. Simultaneous equations with a dependent count variable often do not have reduced form which is a simple function of the instruments. However, a simultaneous model with a count and a binary…

门槛计数回归的半参数估计及 Medicaid 服务利用应用AI 解读

This paper develops a semi-parametric estimation method for hurdle (two-part) count regression models. The approach in each stage is based on Laguerre series expansion for the unknown density of the unobserved heterogeneity. The semi-parametric hurdle model nests Poisson and negative binomial hurdle models, which have been used in recent applied literature. The empirical part of the paper evaluates the impact of managed care programmes for Medicaid eligibles on utilization…

企业专利、研发与技术溢出：计数面板模型的证据AI 解读

The paper analyses the relationship between the main determinants of technological activity and patent applications. To this end, an original panel of 181 international manufacturing firms investigating substantial amounts in R&D during the late 1980s has been constructed. The number of patent applications by firms is explained by current and lagged levels of R&D expenditures and technological spillovers. Technological and geographical opportunities are also taken into…

从专利数量估计创新函数：计数面板数据的 GMM 方法AI 解读

The purpose of this paper is to estimate the patent equation, an empirical counterpart to the 'knowledge-production function'. Innovation output is measured through the number of European patent applications and the input by research capital, in a panel of French manufacturing firms. Estimating the innovation function raises specific issues related to count data. Using the framework of models with multiplicative errors, we explore and test for various specifications:…

异质性、过多零值与计数数据模型的结构AI 解读

This paper demonstrates that the unobserved heterogeneity commonly assumed to be the source of overdispersion in count data models has predictable implications for the probability structure of such mixture models. In particular, the common observation of excess zeros is a strict implication of unobserved heterogeneity. This result has important implications for using count model estimates for predicting certain interesting parameters. Test statistics do detect such…

摘要暂缺

基于级数展开的计数数据回归及其应用AI 解读

A new class of parametric regression models for both under- and over-dispersed count data is proposed. These models are based on squared polynomial expansions around a Poisson baseline density. The approach is similar to that for continuous data using squared Hermite polynomials proposed by Gallant and Nychka and applied to financial data by, among others, Gallant and Tauchen. The count models are applied to underdispersed data on the number of takeover bids received by…

计数数据模型中的内生性：医疗服务需求应用AI 解读

The generalized method of moments (GMM) estimation technique is discussed for count data models with endogenous regressors. Count data models can be specified with additive or multiplicative errors. It is shown that, in general, a set of instruments is not orthogonal to both error types. Simultaneous equations with a dependent count variable often do not have reduced form which is a simple function of the instruments. However, a simultaneous model with a count and a binary…

门槛计数回归模型的半参数估计及Medicaid医疗利用应用AI 解读

This paper develops a semi-parametric estimation method for hurdle (two-part) count regression models. The approach in each stage is based on Laguerre series expansion for the unknown density of the unobserved heterogeneity. The semi-parametric hurdle model nests Poisson and negative binomial hurdle models, which have been used in recent applied literature. The empirical part of the paper evaluates the impact of managed care programmes for Medicaid eligibles on utilization…

贝叶斯 VAR 模型估计与推断的数值方法AI 解读

In Bayesian analysis of vector autoregressive models, and especially in forecasting applications, the Minnesota prior of Litterman is frequently used. In many cases other prior distributions provided better forecasts and are preferable from a theoretical standpoint. Several of these priors require numerical methods in order to evaluate the posterior distribution. Different ways of implementing Monte Carlo integration are considered. It is found that Gibbs sampling performs…

协整与体制变化：日本消费函数AI 解读

In this paper we examine a model of cointegration where long-run parameters are subject to switching between several different cointegrating regimes. These shifts are allowed to be governed by the outcome of an unobserved Markov chain with unknown transition probabilities. We illustrate this approach using Japanese data on consumption and disposable income, and find that the data favor a Markov-switching long-run relationship over a standard temporally stable formulation.

通过自助法对不平等指标进行统计推断AI 解读

In this paper we consider the use of bootstrap methods to compute interval estimates and perform hypothesis tests for decomposable measures of economic inequality. Two applications of this approach using the Gini coefficient and Theil's entropy measures of inequality, are provided. Our first application employs pre- and post-tax aggregate state income data, constructed from the Panel Study of Income Dynamics we find that although casual observation of the inequality measures…

一般平稳过程的可行交叉验证模型选择AI 解读

Cross-validation is a method used to estimate the expected prediction error of a model. Such estimates may be of interest in themselves, but their use for model selection is more common. Unfortunately, cross-validation is viewed as being computationally expensive in many situations. In this paper it is shown that the h-block cross-validation function for least-squares based estimators can be expressed in a form which enormously impact on the amount of calculation required.…

协整与状态变化：日本消费函数AI 解读

In this paper we examine a model of cointegration where long-run parameters are subject to switching between several different cointegrating regimes. These shifts are allowed to be governed by the outcome of an unobserved Markov chain with unknown transition probabilities. We illustrate this approach using Japanese data on consumption and disposable income, and find that the data favor a Markov-switching long-run relationship over a standard temporally stable formulation.

模型选择与多重共线性的预测方法AI 解读

We argue for the adoption of a predictive approach to model specification. Specifically, we derive the difference between means and the ratio of determinants of covariance matrices when a subset of explanatory variables is included or excluded from a regression. Results for an economic application are presented as an example.

永久性冲击、暂时性冲击与英国经济周期AI 解读

In this paper the business cycle properties of UK data are investigated using a VAR technique. A Real Business Cycle (RBC) model is formulated. The model includes both permanent and transitory shocks to technology. The business cycle properties of the data and the model are investigated by deriving the expected changes over various forecast horizons from a VAR model. It is found, contrary to evidence in Rotemberg and Woodford (1996), that the model can account for many…

不同等待时间概念下的 Cox 回归：1853 年新奥尔良黄热病疫情AI 解读

Event data can often be analysed using different concepts of waiting time. Our application offers three choices: calendar-time, age, and duration of residence in New Orleans. We exploit the semi-parametric features of Cox regression and estimate parallel specifications in which mortality risk is treated as an arbitrary function of one of the three alternative time measures, while the remaining two enter the hazard parametrically. Comparisons of the parameter estimates with…

摘要暂缺

符号切换与波动切换 ARCH 模型：理论及国际股票市场应用AI 解读

This paper develops two conditionally heteroscedastic models which allow an asymmetric reaction of the conditional volatility to the arrival of news. Such a reaction is induced by both the sign of past shocks and the size of past unexpected volatility. The proposed models are shown to converge in distribution to absolutely continuous Ito diffusion processes, as happens for other heteroscedastic formulations. One of the schemes developed in the paper--the Volatility-switching…

模型选择与多重共线性的预测视角AI 解读

We argue for the adoption of a predictive approach to model specification. Specifically, we derive the difference between means and the ratio of determinants of covariance matrices when a subset of explanatory variables is included or excluded from a regression. Results for an economic application are presented as an example.

永久与暂时冲击及英国经济周期AI 解读

In this paper the business cycle properties of UK data are investigated using a VAR technique. A Real Business Cycle (RBC) model is formulated. The model includes both permanent and transitory shocks to technology. The business cycle properties of the data and the model are investigated by deriving the expected changes over various forecast horizons from a VAR model. It is found, contrary to evidence in Rotemberg and Woodford (1996), that the model can account for many…

摘要暂缺

不同等待时间概念下的Cox回归：1853年新奥尔良黄热病疫情AI 解读

Event data can often be analysed using different concepts of waiting time. Our application offers three choices: calendar-time, age, and duration of residence in New Orleans. We exploit the semi-parametric features of Cox regression and estimate parallel specifications in which mortality risk is treated as an arbitrary function of one of the three alternative time measures, while the remaining two enter the hazard parametrically. Comparisons of the parameter estimates with…