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美国与英国实际汇率的非线性模型AI 解读

This paper provides a framework for building and estimating non-linear real exchange rate models. The approach derives the stationary distribution from a continuous time error correction model and estimates this by MLE methods. The derived distribution exhibits a wide variety of distributional shapes including multimodality. The main result is that swings in the US/UK rate over the period 1973:3 to 1990:5 can be attributed to the distribution becoming bimodal with the rate…

美国与英国实际汇率的非线性模型AI 解读

This paper provides a framework for building and estimating non-linear real exchange rate models. The approach derives the stationary distribution from a continuous time error correction model and estimates this by MLE methods. The derived distribution exhibits a wide variety of distributional shapes including multimodality. The main result is that swings in the US/UK rate over the period 1973:3 to 1990:5 can be attributed to the distribution becoming bimodal with the rate…

特征价格函数的半参数估计AI 解读

Previous work on the preferred specification of hedonic price models usually recommended a Box-Cox model. In this paper we note that any parametric model involves implicit restrictions and they can be reduced by using a semiparametric model. We estimate a benchmark parametric model which passes several common specification tests, before showing that a semiparametric model outperforms it significantly. In addition to estimating the model, we compare the predictions of the…

分数响应变量的计量方法及其在 401(k) 计划参与率中的应用AI 解读

We develop attractive functional forms and simple quasi-likelihood estimation methods for regression models with a fractional dependent variable. Compared with log-odds type procedures, there is no difficulty in recovering the regression function for the fractional variable, and there is no need to use ad hoc transformations to handle data at the extreme values of zero and one. We also offer some new, robust specification tests by nesting the logit or probit function in a…

多产品技术的傅里叶与超越对数设定比较：法国农户不完整面板证据AI 解读

Selecting a functional form for a cost or profit function in applied production analysis is a crucial step in assessing the characteristics of a technology. The present study highlights differences in the description of a technology which are induced by fitting a Fourier or a translog cost functions. On average, both forms provide similar information on the technology. However, estimation results and statistical tests tend to favour the Fourier specification. This is mainly…

单位根与协整检验的数值分布函数AI 解读

This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics. The principal contributions of the paper are a set of data files that contain estimated response surface coefficients and a computer program for utilizing them. This program, which is freely available via the Internet, can easily be used to calculate both asymptotic and finite-sample critical…

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非对称损失下预测与模型选择的进一步结果AI 解读

We make three related contributions. First, we propose a new technique for solving prediction problems under asymmetric loss using piecewise-linear approximations to the loss function, and we establish existence and uniqueness of the optimal predictor. Second, we provide a detailed application to optimal prediction of a conditionally heteroscedastic process under asymmetric loss, the insights gained from which are broadly applicable. Finally, we incorporate our results into…

使用相关预测成本函数估计时间序列模型AI 解读

In many forecasting problems, the forecast cost function is used only in evaluating the forecasts; a second cost function is used in estimating the parameters in the model. In this paper, I explore some of the ways in which the forecast cost function can be used in estimating the parameters and, more generally, in producing the forecasts. I define the optimal forecast and note that it may depend on the entire conditional distribution of the data, which is typically unknown.…

能否改善人们感知的经济预测质量？AI 解读

A number of topics are discussed concerning how economic forecasts can be improved in quality or at least in presentation. These include the following: using 50% uncertainty intervals rather than 95%; noting that even though forecasters use many different techniques, they are all occasionally incorrect in the same direction; that there is a tendency to underestimate changes; that some expectations and recently available data are used insufficiently; lagged forecasts errors…

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使用相关成本函数估计时间序列模型AI 解读

In many forecasting problems, the forecast cost function is used only in evaluating the forecasts; a second cost function is used in estimating the parameters in the model. In this paper, I explore some of the ways in which the forecast cost function can be used in estimating the parameters and, more generally, in producing the forecasts. I define the optimal forecast and note that it may depend on the entire conditional distribution of the data, which is typically unknown.…

协整系统的预测表现评估AI 解读

This paper examines the forecast performance of a cointegrated system relative to the forecast performance of a comparable VAR that fails to recognize that the system is characterized by cointegration. The cointegrated system we examine is composed of three vectors, a money demand representation, a Fisher equation, and a risk premium captured by an interest rate differential. The forecasts produced by the vector error correction model (VECM) associated with this system are…

股票市场波动率与商业周期AI 解读

This paper investigates the joint time series behavior of monthly stock returns and growth in industrial production. We find that stock returns are well characterized by year-long episodes of high volatility, separated by longer quiet periods. Real output growth, on the other hand, is subject to abrupt changes in the mean associated with economic recessions. We study a bivariate model in which these two changes are driven by related unobserved variables, and conclude that…

截距修正与结构变化AI 解读

Analyses of forecasting that assume a constant, time-invariant data generating process (DGP), and so implicitly rule out structural change or regime shifts in the economy, ignore an aspect of the real world responsible for some of the more dramatic historical episodes of predictive failure. Some models may offer greater protection against unforeseen structural breaks than others, and various tricks may be employed to robustify forecasts to change. We show that in certain…

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季节性过程中的冲击持续性AI 解读

The paper addresses the issue of measuring the persistence of shocks on seasonally integrated processes observed at quarterly intervals. We show that the amplitude of the limiting cycle described by the cumulated impulse response function provides a parametric measure of persistence and that Cochrane's normalized variance ratio can correspondingly be extended as a non-parametric counterpart. For illustrative purposes the latter is applied to the Italian GDP and to the output…

宏观经济理论视角下的应用协整分析AI 解读

Cointegration analyses of macroeconomic time series are often not based on fully specified theoretical models. We use a theoretical model to scrutinize common procedures in applied cointegration analysis. Monte Carlo experiments show that 1) some tests of the cointegration vectors do not work well on series generated by an equilibrium cycle model; (2) cointegration restrictions add little to forecasting; (3) structural VAR models based on weak long-run restrictions seem to…

产出价格不可观测且内生时常用规模报酬估计量的不一致性AI 解读

This paper explores the inconsistency of common scale estimators when output is proxied by deflated sales, based on a common output deflator across firms. The problem arises when firms operate in an imperfectly competitive environment and prices differ between them. In particular, we show that this problem reveals itself as a downward bias in the scale estimates obtained from production function regressions, under a variety of assumptions about the pattern of technology,…