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异质计数数据的潜在类别泊松回归模型AI 解读

Abstract In this paper an approach is developed that accommodates heterogeneity in Poisson regression models for count data. The model developed assumes that heterogeneity arises from a distribution of both the intercept and the coefficients of the explanatory variables. We assume that the mixing distribution is discrete, resulting in a finite mixture model formulation. An EM algorithm for estimation is described, and the algorithm is applied to data on customer purchases of…

观测记录内生的次数与金额模型AI 解读

Abstract This paper discusses some of the problems which are encountered if an event Ỹ is only recorded if its value satisfies a recording criterion A . It follows that we get an incorrect idea of the frequency of the events and of its true distribution. In order to solve these problems, an econometric model has been constructed by means of which consistent estimation of the true parameters is possible. The model is estimated on consumer purchases, where the number of…

失业持续期延长时，失业收入的影响如何变化？AI 解读

Abstract This paper investigates how the effect of income while unemployed on the probability of an individual leaving unemployment varies with the length of time that the individual has been unemployed. We examine this question in the context of a variety of alternative econometric models. We extend the Proportional Hazards model with unrestricted baseline hazard to one in which there are unrestricted effects of a subset of the explanatory variables and also consider models…

GAUSS 与 MATLAB：一项比较AI 解读

Abstract I compare two high‐level matrix programming languages with built‐in function libraries and graphics routines. Their interactive nature and convenient syntax makes them ideal for use in econometric applications. The languages are remarkably similar in terms of their features and performance. MATLAB's chief advantage is that it runs on a wider array of hardware and operating systems than GAUSS. GAUSS's main advantage is that it has better coverage of statistical and…

库存生产平滑模型的长期含义：一项实证检验AI 解读

Abstract This paper provides an empirical test of the long‐run implications of the production smoothing model of inventories, the dominant framework for inventory investment research in the past. Intertemporal models of a firm holding inventories of finished goods predict a long‐run relationship between inventories, shipments, factor input prices, and the real interest rate which is tested here using cointegration test procedures. These tests provide little support for the…

美国医院药房的生产成本结构：按床位规模分组的时间序列证据AI 解读

Abstract There are current concerns about potential factor substitutions and their implications for factor employments and cost containment in US hospital pharmacies. A translog production cost model is estimated for these pharmacies, using 1981–9 times‐series data consisting of seven cross‐sectional bed size classes per year. Zellner's joint GLS estimation of three‐factor cost share equations and the parent translog cost function reveals that pairwise factor substitutions…

去趋势、典型事实与经济周期AI 解读

Abstract The stylized facts of macroeconomic time series can be presented by fitting structural time series models. Within this framework, we analyse the consequences of the widely used detrending technique popularised by Hodrick and Prescott (1980). It is shown that mechanical detrending based on the Hodrick–Prescott filter can lead investigators to report spurious cyclical behaviour, and this point is illustrated with empirical examples. Structural time‐series models also…

配置系统中理论约束与自相关的联合检验AI 解读

Abstract In the context of allocation models with vector autoregressive errors we propose a convenient procedure, based on the Lagrange multiplier principle, for testing any possible combination of absence of serial correlation, homogeneity, and symmetry against any possible alternative which specifies autocorrelation of an arbitrary given order. We also derive generic expressions for the maximum likelihood estimation of the models under six possible combinations of…

国际实际利率趋同：多变量时间序列方法AI 解读

Abstract This paper investigates the dynamic behaviour of monthly ex post real interest rates from several countries over the period 1980 to 1991. It is found that real interest rates are stationary over this period and that deviations from real interest parity are significant in the short run but disappear in the long run. The latter evidence is established using the concept of co‐dependent time series proposed by Gourieroux and Peaucelle (1989) for the analysis of…

有限因变量模型的贝叶斯推断：罢工持续时间应用AI 解读

Abstract This paper presents a straightforward set of Bayesian techniques for analyzing models involving limited dependent variables; the techniques are demonstrated in an analysis of Kennan's (1985) data on contract strikes in US manufacturing. The data are analyzed by deriving posterior distributions—including probability distributions—of hazard functions for strike duration using numerical Monte Carlo methods. The distributions are employed to derive coverage intervals…

计量经济学论文发表时滞分析AI 解读

Abstract This note describes the lengthening in publication lags for econometric papers in seven journals since 1986 and briefly considers ways of shortening them.

联立方程误差成分模型估计及其在发展中国家对外贸易中的应用AI 解读

Abstract An empirical balance of payments model involving the demand and supply of imports and exports for 31 developing countries is estimated utilizing panel data over 1964‐1987. In order to compute error‐components 3SLS estimates of this model, which requires different instruments for different equations, we propose a generalization of the Fuller‐Battese transformation to obtain GMM estimates. Our empirical results suggest that very little of the short‐run adjustment in…

门限 ARCH 模型与波动率非对称性AI 解读

Abstract This paper attempts to enlarge the class of Threshold Heteroscedastic Models (TARCH) introduced by Zakoían (1991a). We show that it is possible to relax the positivity constraints on the parameters of the conditional variance. Unconstrained models provide a greater generality of the paths allowing for nonlinearities in the volatility. Cyclical behaviour is permitted as well as different relative impacts of positive and negative shocks on volatility, depending on…

英镑兑美元汇率高频模型中的新闻效应AI 解读

Abstract This paper uses an extremely high frequency data set on the dollar‐sterllng exchange rate to investigate the impact of news events on the very short‐term movements in exchange rates. The data set is a continuous record of the quoted price for the exchange rate on the Reuters screen. As such it records some 130,000 observations over an 8‐week period. The paper investigates the time‐series properties of the data using orthodox regression models, and then by making…

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针对简单门限模型的 TR 检验功效比较AI 解读

Through Monte-Carlo simulations the estimated power of the Ramsey and Rothman time reversibility (TR) test is compared to the power of the BDS and bispectrum tests against some simple threshold alternatives. The TR test is shown to have excellent size properties and to be generally more powerful than the other two tests against the threshold models considered. Copyright 1992 by John Wiley & Sons, Ltd.

欧洲货币体系汇率的多变量最近邻预测AI 解读

Exchange rate modelling has been a persistent puzzle for international economists. Forecasts from popular models for the exchange rate generally fail to improve upon the random walk out-of-sample. While a multivariate nonparametric approach provides useful information about exchange rates, the model produces forecasts superior to the random walk for only one of the three EMS currencies examined. Using a statistic developed in Mizrach (1991), I find that the forecast…

利用波动率指标改善预测AI 解读

This paper explores the possibility of improved out of sample forecasting for stock returns and foreign exchange rates using observed nonlinearities in the two series. Forecasting is done using nonparametric techniques where important information is obtained from the current level of volatility in the series. For both series forecast improvements are observed, but for stock returns the improvements are only marginal. These results indicate the usefulness and stability of…

用平滑转换自回归模型刻画商业周期非线性AI 解读

During the past few years investigators have found evidence indicating that various time-series representing business cycles, such as production and unemployment, may be nonlinear. In this paper it is assumed that if the time-series is nonlinear, then it can be adequately described by a smooth transition autoregressive (STAR) model. The paper describes the application of these models to quarterly logarithmic production indices for 13 countries and "Europe." Tests reject…

并购浪潮与并购时间序列的结构AI 解读

What is the best characterization of mergers and acquisitions time-series? The traditional response is that mergers occur in "waves." I estimate a two-state, Markov switching-regime model which should capture wave structure if it is present in the data. Linear and nonlinear diagnostics tests suggest that the switching regime model fits the data well, and better than ARIMA models. Said differently, the underlying pattern in the M&A data can be characterized by dichotomous…

非标准条件下的似然比检验：检验 GNP 的马尔可夫转换模型AI 解读

A theory of testing under non-standard conditions is developed. By viewing the likelihood as a function of the unknown parameters, empirical process theory enables us to bound the asymptotic distribution of standardized likelihood ratio statistics, even when conventional regularity conditions (such as unidentified nuisance parameters and identically zero scores) are violated. This testing methodology is applied to the Markov switching model of GNP proposed by Hamilton…

作为稳定性分析非参数诊断工具的 Lyapunov 指数AI 解读

The common observation made in the empirical nonlinear dynamics literature is the constraints imposed by the availability of a limited number of observations in the implementation of the existing algorithms of Lyapunov exponents. The algorithm discussed here can estimate all "n" Lyapunov exponents of an unknown "n"-dimensional dynamical system accurately with limited number of observations. This makes the algorithm attractive for applications to economic as well as financial…

利用相关指数判断经济序列是否具有混沌AI 解读

We consider two ways of distinguishing deterministic time-series from stochastic white noise; the Grassberger-Procaccia correlation exponent test and the Brock, Dechert, Scheinkman (or BDS) test. Using simulated data to test the power of these tests, the correlation exponent test can distinguish white noise from chaos. It cannot distinguish white noise from chaos mixed with a small amount of white noise. With i.i.d. as the null, the BDS correctly rejects the null when the…