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不可逆石油投资的持续期模型：理论与实证证据AI 解读

The aim of this paper is to analyse the implications of the theory of irreversible investment under uncertainty for investment in oil fields on the United Kingdom Continental Shelf (UKCS). We consider the problem of an operator who owns a licence to develop and extract oil from a field of known capacity. An intertemporal optimization model in discrete time is developed to derive decision rules for the timing of the irreversible development investment and for the optimal rate…

通过统计推断评价真实经济周期模型：法国数据应用AI 解读

The aim of this paper is to evaluate the capacity of RBC models to mimic the French business cycle. We are thus led to investigate the three following assumptions on the labour market: (1) the non-time separability of leisure, (2) the indivisibility of labour and (3) the imperfect information on labour market and time-varying effort. Using the General Method of Moments, we estimate the structural parameters and we test (1) the model's hypothesis using a set of…

摘要暂缺

Stata 3.1 软件评述AI 解读

Abstract Stata 3.1 is a program for data management, graphics, and statistical analysis. Since Version 2.1 was reviewed by Pederson (1991), Stata has added several platforms, third‐party products, supporting services, and many features of interest to econometricians. The result is that Stata 3.1 integrates fast and reliable manipulation of data with high‐powered statistical analysis. For users who do no more than run regressions, the new features do not detract from the feel…

纵向面板数据中的样本流失与动态劳动力市场行为分析AI 解读

Abstract In the empirical analysis of unemployment durations and job durations, it is generally assumed that the stochastic processes underlying labour market behaviour and the behaviour concerning participation in a panel survey are independent. However, there are reasons to believe that the probability of dropping out of the panel is related to the rate at which a (different) job is found. If there is such a relation, and if it is ignored, then the estimator of the rate at…

失业动态与劳动力市场紧张度：匹配函数模型的实证评估AI 解读

Abstract The implications of matching function models for the relationship between labour market tightness and the transition probability into employment are summarized. These implications are then tested using monthly data for three Canadian provinces: British Columbia, Ontario, and Quebec. Testing methods use flexible regression techniques so as to reduce the effect of any extraneous restrictions. The results show rough concordance between theoretical assumptions and…

排序 Logit 模型：安大略省选民偏好的实证分析AI 解读

Abstract This study provides a Bayesian investigation of rank‐ordered multinominal logit models employing conjugate priors for standard multinomial logit models as well as other priors. Also considered is a specification test of the independence of irrelevant alternatives assumption. The proposed techniques are demonstrated in an empirical investigation of Ontario voter preferences before the 1988 Canadian Federal Election.

存在未观测异质性时的比例风险假设检验AI 解读

Abstract This paper develops a discrete‐time hazard model which accounts for unmeasured hetergeneity while allowing the coefficients of the regressors to vary over time. Sufficient conditions for nonparametric identifiability of the unmeasured heterogeneity distribution are derived. Testing for time‐varying coefficients in this model is, under suitable conditions, equivalent to testing the proportionality assumption of the underlying continuous‐time hazard model. Some Monte…

若干离散博弈计量模型的估计AI 解读

Abstract This paper discusses, estimates and compares some microeconometric models for simultaneous discrete endogenous variables. The models are based on the assumption that observed endogenous variables represent the outcome of a static discrete game. I discuss models based on non‐cooperative equilibrium concepts (Nash, Stackelberg), as well as models which presume Pareto optimality of observed outcomes. The models are estimated using data on the joint labor force…

大冲击、小冲击与经济波动：宏观时间序列中的异常值AI 解读

Abstract We analyse fifteen post‐World War II US macroeconomic time series using a modified outlier identification procedure based on Tsay (1988a). ‘Large shocks’ appear to be present in all the series we examined. Furthermore, there are three basic outlier patterns: (1) outliers seem to be associated with business cycles, (2) outliers are clustered together—both over time and across series, (3) there appears to be a dichotomy between outlier behaviour of real versus nominal…

利用蒙特卡洛积分进行非线性、非正态情形下的预测、滤波与平滑AI 解读

Abstract A simulation‐based non‐linear filter is developed for prediction and smoothing in non‐linear and/or non‐normal structural time‐series models. Recursive algorithms of weighting functions are derived by applying Monte Carlo integration. Through Monte Carlo experiments, it is shown that (1) for a small number of random draws (or nodes) our simulation‐based density estimator using Monte Carlo integration (SDE) performs better than Kitagawa's numerical integration…

发展中国家外债危机的模拟估计分析AI 解读

Abstract In this paper we develop models of the incidence and extent of external financing crises of developing countries, which lead to multiperiod multinomial discrete choice and discrete/continuous econometric specifications with flexible correlation structures in the unobservables. We show that estimation of these models based on simulation methods has attractive statistical properties and is computationally tractable. Three such simulation estimation methods are…

经济波动、市场势力与规模报酬：企业数据证据AI 解读

Abstract Recent research on aggregate fluctuations, coupled with ongoing work in industrial organization, has renewed interest in the existence, magnitude, and cyclical pattern of market power and the extent of increasing returns to scale. By exploiting restrictions from dynamic theory and information from financial markets, we present a framework for generating quantitative evidence on market power and returns to scale. Tailoring the econometric model to firm‐level panel…

使用目标区间模型对欧洲货币体系汇率进行单变量分析AI 解读

Abstract The models in the literature on exchange‐rate target zones imply a non‐linear time series model for the exchange rate. We show how the parameters of such models can be estimated and develop Maximum Likelihood and Method of Simulated Moments estimators for the target zone model of Krugman (1991). The Maximum Likelihood estimator is based on a computationally attractive approximation to the exact predictive density of the continuous time model. Monte Carlo experiments…

拟合良好的均衡资产定价模型能否产生均值回归？AI 解读

Abstract In recent papers, Cecchetti et al . (1990) and Kandel and Stambaugh (1990) showed that negative serial correlation in long horizon returns was consistent with an equilibrium model of asset pricing. In this paper, we show that their results rely on misspecified Markov switching models for the endowment process. Once the proper Markov specification is chosen for the endowment process, the model does not produce mean reversion of the magnitude detected in the data.…

利用市场数据估计消费者偏好：美国汽车需求应用AI 解读

Abstract This paper explores the possibility of using market data to identify consumer preferences. A utility function composed of ‘homogeneous’ characteristics and goods‐specific effects is used as a basic link between the goods space and the characteristics space. The functional form for the hedonic price equation, the data requirements and issues of measurement errors for estimating demand and supply of characteristics are discussed. We illustrate the methodology by…

加速高斯重要性抽样及其在动态潜变量模型中的应用AI 解读

We propose a new generic and highly efficient Accelerated Gaussian Importance Sampler (AGIS) for the numerical evaluation of (very) high-dimensional density functions. A specific case of interest to us is the evaluation of likelihood functions for a broad class of dynamic latent variable models. The feasibility of our method is strikingly illustrated by means of an application to a first-order dynamic stochastic volatility model for daily stock returns, whose likelihood for…

非线性时间序列模型的拟合及随机方差模型应用AI 解读

New strategies for the implementation of maximum likelihood estimation of nonlinear time series models are suggested. They make use of recent work on the EM algorithm and iterative simulation techniques. The estimation procedures are applied to the problem of fitting stochastic variance models to exchange rate data.

含滞后潜变量模型的模拟估计AI 解读

We extend here our earlier work (Laroque-Salanié, 1989) and propose a dynamic simulated pseudo-maximum likelihood method to deal with a very general class of dynamic non-linear models, including models with lagged latent variables. We test this method on Monte Carlo-generated data for a canonical disequilibrium model. It appears to provide very satisfactory estimates at little computational cost. However, accurate estimation of the standard errors of the estimates may…

利用模拟向量自回归估计非线性时间序列模型AI 解读

This paper develops two new methods for conducting formal statistical inference in nonlinear dynamic economic models. The two methods require very little analytical tractability, relying instead on numerical simulation of the model's dynamic behaviour. Although one of the estimators is asymptotically more efficient than the other, a Monte Carlo study shows that, for a specific application, the less efficient estimator has smaller mean squared error in samples of the size…

GARCH 模型的非平稳性：贝叶斯分析AI 解读

First, the non-stationarity properties of the conditional variances in the GARCH(1, 1) model are analysed using the concept of infinite persistence of shocks. Given a time sequence of probabilities for increasing/decreasing conditional variances, a theoretical formula for quasi-strict non-stationarity is defined. The resulting conditions for the GARCH(1,1) model are shown to differ from the weak stationarity conditions mainly used in the literature. Bayesian statistical…

燃油经济性模型中制造商效应的贝叶斯估计AI 解读

The analysis of fuel economy data results in estimates of the technology utilization by manufacturer and vehicle line. The analysis employs a hierarchical Bayesian regression model with random components representing vehicle lines and manufacturers. The model includes predictor variables which describe vehicle features, such as type of transmission, and vehicle line specific measurements, such as compression ratio. Non-informative priors with novel modifications are used and…

间接推断AI 解读

In this paper we present inference methods which are based on an 'incorrect' criterion, in the sense that the optimization of this criterion does not directly provide a consistent estimator of the parameter of interest. Moreover, the argument of the criterion, called the auxiliary parameter, may have a larger dimension than that of the parameter of interest. A second step, based on simulations, provides a consistent and asymptotically normal estimator of the parameter of…

独立 Student-t 误差线性模型的贝叶斯分析AI 解读

This article takes up methods for Bayesian inference in a linear model in which the disturbances are independent and have identical Student-t distributions. It exploits the equivalence of the Student-t distribution and an appropriate scale mixture of normals, and uses a Gibbs sampler to perform the computations. The new method is applied to some well-known macroeconomic time series. It is found that posterior odds ratios favour the independent Student-t linear model over the…