论文检索

宏观计量模型中中位数无偏估计的计算AI 解读

A stochastic simulation model is proposed in this paper for obtaining median unbiased (MU) estimates in macroeconometric models. MU estimates are computed for the lagged dependent variable (LDV) coefficients in 18 equations of a macroeconometric model. The 2SLS bias for a coefficient, defined as the difference between the 2SLS estimate and the MU estimate, is on average smaller in absolute value than would be expected from Andrews' exact results for an equation with only a…

解析导数与 GARCH 估计的计算AI 解读

In the context of univariate GARCH models we show how analytic first and second derivatives of the log-likelihood can be successfully employed for estimation purposes. Maximum likelihood GARCH estimation usually relies on the numerical approximation to the log-likelihood derivatives, on the grounds that an exact analytic differentiation is much too burdensome. We argue that this is not the case and that the computational benefit of using the analytic derivatives (first and…

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…

从宏观经济理论审视应用协整分析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…

摘要暂缺

劳动市场参与二元响应模型的参数与半参数估计AI 解读

This paper compares the familiar probit model with three semiparametric estimators of binary response models in an application to labour market participation of married women. This exercise is performed using two different cross-section data sets from Switzerland and Germany. For the Swiss data the probit specification cannot be rejected and the models yield similar results. In the German case the probit model is rejected, but the coefficient estimates do not vary…

英国职业养老金与工作流动：随机效应竞争风险模型估计AI 解读

We analyse transitions between pensionable jobs, non-pensionable jobs, and other labour market states, using the 1988/9 UK Retirement Survey. We focus on the positive association between length of job tenure and pensionable status, allowing for the possibility that pension scheme members are less mobile than other workers because they have persistent unobserved characteristics that predispose them towards a high degree of security in both employment and retirement. We use a…

以区制转换检验汇率投机泡沫AI 解读

This paper develops a new test for speculative bubbles, which is applied to data for the Japanese yen, the German mark and the Canadian dollar exchange rates from 1977 to 1991. The test assumes that bubbles display a particular kind of regime-switching behaviour, which is shown to imply coefficient restrictions on a simple switching-regression model of exchange rate innovations. Test results are sensitive to the specification of exchange rate fundamentals and other factors.…

劳动市场参与二元响应模型的参数与半参数估计AI 解读

This paper compares the familiar probit model with three semiparametric estimators of binary response models in an application to labour market participation of married women. This exercise is performed using two different cross-section data sets from Switzerland and Germany. For the Swiss data the probit specification cannot be rejected and the models yield similar results. In the German case the probit model is rejected, but the coefficient estimates do not vary…

双阈值自回归条件异方差时间序列模型AI 解读

Tong's threshold models have been found useful in modelling nonlinearities in the conditional mean of a time series. The threshold model is extended to the so-called double-threshold ARCH(DTARCH) model, which can handle the situation where both the conditional mean and the conditional variance specifications are piecewise linear given previous information. Potential applications of such models include financial data with different (asymmetric) behaviour in a visiting versus…

英国职业养老金与工作流动：随机效应竞争风险模型估计AI 解读

We analyse transitions between pensionable jobs, non-pensionable jobs, and other labour market states, using the 1988/9 UK Retirement Survey. We focus on the positive association between length of job tenure and pensionable status, allowing for the possibility that pension scheme members are less mobile than other workers because they have persistent unobserved characteristics that predispose them towards a high degree of security in both employment and retirement. We use a…

摘要暂缺

实际工资、消费与资产收益的时间序列分析AI 解读

This paper re-examines whether the time series properties of aggregate consumption, real wages, and asset returns can be explained by a neoclassical model. Previous empirical rejections of the model have suggested that the optimal labour contract model might be appropriate for understanding the time series properties of the real wage rate and consumption. We show that an optimal contract model restricts the long-run relation of the real wage rate and consumption. We exploit…

在灵活函数形式中纳入单调性与凹性条件AI 解读

Empirical economists using flexible functional forms often face the disturbing choice of drawing inferences from an approximation violating properties dictated by theory or imposing global restrictions that greatly restrict the flexibility of the functional form. Focusing on the cost function, this paper presents an alternative approach which imposes monotonicity and concavity properties only over the set of prices where inferences will be drawn. An application investigating…

面向对象的计量经济学：用 GCC 与 newmat 进行 C++ 矩阵编程AI 解读

Object-oriented programming using C plus plus offers features that can be as beneficial for econometricians as they are for other programmers. This review considers the standard programming paradigm and then discusses object-oriented programming, in particular the C plus plus language. Both GCC, a C plus plus complier available free of charge from the GNU Project, and the newmat matrix class library are reviewed. An example of a simple econometric program in C plus plus that…

双层收入前沿模型的面板估计AI 解读

This paper uses panel data to estimate a two-tiered instead of a one-tiered frontier model. The innovation is to develop a two-step maximum likelihood procedure yielding consistent estimates of inefficiency, while at the same time accounting for heterogeneity. The model is applied by estimating a 'two-tiered' earnings function to obtain indices of worker and firm incomplete labour market wage information using panel data from the Panel Study of Income Dynamics (1969-84). The…

度假支出的参数与半参数建模AI 解读

We analyse several limited dependent variable models explaining the budget share that Dutch families spend on vacations. To take account of the substantial number of zero shares, two types of models are used. The first is the single-equation censored regression model. We estimate and test several parametric and semiparametric extensions of the Tobit model. Second, we consider two-equation models, in which the participation decision and the decision on the amount to spend are…

短暂市场风潮与 1987 年股市崩盘AI 解读

Using a fad model with Markov-switching heteroscedasticity in both the fundamental and fad components (UC-MS model), this paper examines the possibility that the 1987 stock market crash was an example of a short-lived fad. While we usually think of fads as speculative bubbles, what the UC-MS model seems to be picking up is unwarranted pessimism which the market exhibited with the OPEC oil shock and the '87 crash. Furthermore, the conditional variance implied by the UC-MS…

短暂市场风潮与 1987 年股灾AI 解读

Using a fad model with Markov-switching heteroscedasticity in both the fundamental and fad components (UC-MS model), this paper examines the possibility that the 1987 stock market crash was an example of a short-lived fad. While we usually think of fads as speculative bubbles, what the UC-MS model seems to be picking up is unwarranted pessimism which the market exhibited with the OPEC oil shock and the '87 crash. Furthermore, the conditional variance implied by the UC-MS…

西澳大利亚农业全要素生产率增长与技术变化偏向的测度AI 解读

This study investigates productivity growth in broad-acre agriculture in Western Australia. Tornqvist indices of three output groups (crops, sheep products and other) and five input groups (livestock, materials and services, labour, capital and land) are constructed and discussed. Indices of total output and total inputs are also derived and used to form an index of total factor productivity, that is observed to grow at an average annual rage of 2·7%. The input and output…

度假支出的参数与半参数建模AI 解读

We analyse several limited dependent variable models explaining the budget share that Dutch families spend on vacations. To take account of the substantial number of zero shares, two types of models are used. The first is the single-equation censored regression model. We estimate and test several parametric and semiparametric extensions of the Tobit model. Second, we consider two-equation models, in which the participation decision and the decision on the amount to spend are…

远期外汇市场效率的稳健检验：来自20世纪20年代的证据AI 解读

This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward exchange market efficiency studies. The methods we use allow us to work explicitly with levels rather than differenced data. They are statistically robust to data distributions with heavy tails, and they can be applied to data sets where the frequency of observation and the futures maturity do not coincide. In addition, our methods allow for stochastic trend non-stationarity…

用分数单整 ARFIMA–GARCH 模型分析通货膨胀AI 解读

This paper considers the application of long-memory processes to describing inflation for 10 countries. We implement a new procedure to obtain approximate maximum likelihood estimates of an ARFIMA-GARCH process; which is fractionally integrated I(d) with a superimposed stationary ARMA component in its conditional mean. Additionally, this long-memory process is allowed to have GARCH type conditional heteroscedasticity. On analysing monthly post-World War II CPI inflation for…

摘要暂缺