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股票波动率的非线性时间序列分析AI 解读

The absolute value of the mean-corrected excess return is used in this paper to measure the volatility of stock returns. We apply various nonlinearity tests available in the literature to show that such volatility series are strongly nonlinear. We then explore the use of threshold autoregressive (TAR) models in describing monthly volatility series. The models built suggest that the volatility series exhibit significant lower-order serial correlations when the volatility is…

受限因变量与离散选择模型中样本选择偏误的简便检验AI 解读

Abstract This paper presents two simple tests of sample selection bias for models where the primary equation of interest has a censored or discrete dependent variable. The first test is derived as a conditional moment test and can be implemented in a regression‐based framework. The second test is an extension of the testing procedures proposed by Heckman (1979) and Vella (1993) and is a t ‐test on a constructed variable in an auxiliary equation. The utility of the tests is…

总量冲击与宏观经济波动：贝叶斯方法AI 解读

Abstract This paper describes Bayesian techniques for analysing the effects of aggregate shocks on macroeconomic time‐series. Rather than calculate point estimates of the response of a time‐series to an aggregate shock, we calculate the whole probability density function of the response and use Monte‐Carlo or Gibbs sampling techniques to evaluate its properties. The proposed techniques impose identification restrictions in a way that includes the uncertainty in these…

市场结构与就业、失业持续期：埃及建筑业证据AI 解读

Abstract This paper investigates the links between market structure and spells of employment and unemployment in the construction sector in Egypt using an augmented job search framework. Two key features of the model are the reservation frontier which allows for a trade‐off between wages and expected duration of employment, and the dependency of unemployment durations on expected employment durations and expected wages. These, as well as conjectures concerning the influence…

横截面模型中的多项式近似AI 解读

Abstract The time‐series distributed lag techniques of econometrics can be usefully applied to cross‐sectional, spatial and cross‐section time‐series situations. The application is perfectly natural in cross‐section, time‐series models when regression coefficients evolve systematically as the cross‐section grouping variable changes. The evolution of such coefficients lends itself to polynomial approximation or more general smoothing restrictions. These ideas are not new,…

有限样本中一般单位根检验的功效与水平之间的关系AI 解读

Abstract We show that the maximum power of a generic unit root test against any stationary alternative is equal to the true level of the test. We then use Monte Carlo methods to investigate the implications for several such tests. We show patterns of rejection probabilities over a variety of unit root and stationary processes. We discuss the implications of these results for some of the uses of unit root tests in applied work.

因子 GARCH 模型的替代估计量：蒙特卡洛比较AI 解读

Abstract This paper proposes four estimators for factor GARCH models: two‐stage univariate GARCH (2SUE), two‐stage quasi‐maximum likelihood (2SML), quasi‐maximum likelihood with known factor weights (RMLE), quasi‐maximum likelihood with unknown factor weights (MLE). A Monte‐Carlo study is designed for bivariate one‐factor GARCH models to examine the finite sample properties. Results are presented for biases, ratios of standard errors to standard deviations, ratios of…

面板数据中的未回应：对生命周期消费函数估计的影响AI 解读

Abstract If missing observations in a panel data set are not missing at random, many widely applied estimators may be inconsistent. In this paper we examine empirically several ways to reveal the nature and severity of the selectivity problem due to nonresponse, as well as a number of methods to estimate the resulting models. Using a life cycle consumption function and data from the Expenditure Index Panel from the Netherlands, we discuss simple procedures that can be used…

关于预期理性的调查证据AI 解读

Abstract Data on expectations collected by business surveys offer the opportunity to test the rational expectation hypothesis. Tests directly based on qualitative data are not powerful because of the nature of the data. An alternative method is proposed in this paper. We apply the usual orthogonality conditions of rationality to the unobservable variables which are assumed to trigger the categorical responses of surveys when they cross certain thresholds. To implement the…

面板数据估计量的一些异常性质AI 解读

Abstract We study the biases that are likely to arise in practice with panel data when parameters vary across individuals, but this is not allowed for in estimation. We consider both stationary and non‐stationary regressors. We find that biases can be severe for relatively small parameter variation, and that this problem is hard to detect. We study in some detail by Monte‐Carlo the performance of the Anderson‐Hsiao estimator in the presence of this particular…

带测量误差且受线性约束的数据估计AI 解读

Abstract Variables are often measured subject to error, whether they are collected as part of an experiment or by sample surveys. A consequence of this is that there will be different estimates of the same variable, or, more generally, linear restrictions which the observations should satisfy but fail to. With knowledge of the variances of the various observations, it has been shown elsewhere that maximum‐likelihood estimates of the observations can be produced. This paper…

信息不对称下的汽车保险费率制定AI 解读

Abstract Automobile insurance is an example of a market where multi‐period contracts are observed. This form of contract can be justified by asymmetrical information between the insurer and the insured. Insurers use risk classification together with bonus‐malus systems. In this paper we show that the actual methodology for the integration of these two approaches can lead to inconsistencies. We develop a statistical model that adequately integrates risk classification and…

预测分歧与预测不确定性的关系：调查数据与 ARCH 模型证据AI 解读

Abstract This paper examines empirically the relationship between measures of forecast dispersion and forecast uncertainty from data on inflation expectations from the Livingston survey series and the Survey Research Center (SRC) survey series. Because the survey series do not provide probabilistic forecasts of inflation, we derive measures of inflation uncertainty by modelling the conditional variance of the inflation forecast errors from the survey series as an…

住房市场中挂牌价的作用：理论与计量模型AI 解读

Abstract Houses are routinely sold at prices below, but rarely sold at prices above, their list prices. List prices appear to be price ceilings that preclude the possibility of sales at higher prices. This paper presents a theory of sellers' behaviour that explains why there are list prices in housing markets and why list prices are distinct from sellers' reservation prices. The theory forms the basis of an econometric model that has been estimated using data from the…

对模型选择全过程进行自助法推断：一个计量经济学例子AI 解读

Abstract If a researcher has mined the data (i.e. selected an empirical model based on a series of trial estimates), inferences based on the final set of results are in general incorrect. This note treats the entire data mining process as an estimator and shows how a bootstrapping technique may improve the quality of inference. The method is applied to an empirical example on the deterrent effects of capital punishment.

英国劳动力市场离散切换非均衡模型的检验AI 解读

Abstract This paper develops a test procedure for serial correlation for discrete switching disequilibrium models which include both an endogenous price adjustment equation and lagged dependent variables. The tests are applied to a model of the UK labour market and the model is respecified in the light of the test results.

“客观”贝叶斯单位根检验AI 解读

Abstract Due to weaknesses in traditional tests, a Bayesian approach is developed to investigate whether unit roots exist in macroeconomic time‐series. Bayesian posterior odds comparing unit root models to stationary and trend‐stationary alternatives are calculated using informative priors. Two classes of reference priors which are informative but require minimal subjective prior input are used. In this sense the Bayesian unit root tests developed here are objective.…

连续时间动态需求系统的估计AI 解读

Abstract A continuous‐time dynamic model of consumers' demand, explicitly taking account of the roles of depreciation, interest rates, habits, and stocks, is estimated using recently developed techniques from discrete quarterly UK data on three broad commodity groupings. The results suggest that, whilst being a significant determinant of demand, the actual magnitude of the influence of changes in interest rates may be relatively small in the long run. The cross‐price effects…

分类与聚合：CPS 数据中产业分类的应用AI 解读

Abstract In this paper we offer a method for deciding how to aggregate a set of elementary industries. The method is then applied to the problem of estimating a wage equation that allows for industry‐specific effects. Our method explicitly formalizes the trade‐off between goodness‐of‐fit and parsimony implicit in an aggregation problem. By varying the parameter of the assumed loss function, one obtains a whole sequence of aggregation levels. Further, the resulting sequence…

时间聚合与失业持续期的分布形态AI 解读

Abstract This paper reports empirical evidence on the sensitivity of unemployment duration regression estimates to distributional assumptions and to time aggregation. The results indicate that parameter estimates are robust to distributional assumptions, while estimates of duration dependence are not. Time aggregation does not seem to have drastic effects on the estimates in a simple parametric model like the Weibull, but can produce dramatic changes in the more complicated…

贝叶斯路径与单位根：先验问题始终值得争论AI 解读

Abstract This paper provides detailed responses to the following eight discussants of my paper ‘To criticize the critics: an objective Bayesian analysis of stochastic trends’: Gary Koop and Mark Steel; Edward Learner; In‐Moo Kim and G. S. Maddala; Dale J. Poirier; Peter C. Schotman and Herman K. van Dijk; James H. Stock; David DeJong and Charles H. Whiteman; and Christopher Sims. This reply puts new emphasis on the call made in the earlier paper for objective Bayesian…

摘要暂缺

支持趋势平稳的证据比我们原先认为的更强AI 解读

Abstract In DeJong and Whiteman (1991a), we concluded that 11 of the 14 macroeconomic time‐series originally studied by Nelson and Plosser (1982) supported trend‐stationarity. Phillips (1991) criticizes this inference, claiming that our procedure is biased against integration, and that our results are sensitive to model and prior specification. However, Phillips' alternative models and priors bias his results in favour of integration; despite these biases, Phillips' own…