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AR(1) 模型分析中的平坦先验与无知先验AI 解读

Abstract The paper compares, by a Monte‐Carlo study based on an AR(1) model, the performance of the flat prior and the ignorance prior suggested by Phillips. It argues that the ignorance prior gives heavy weight to values of the autoregressive parameter p higher than 1, and hence distorts the sample evidence as summarized in the likelihood function. It yields bimodal posterior distributions, with the second mode at p higher than 1, even when the true value of p is…

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批评批评者：随机趋势的客观贝叶斯分析AI 解读

Abstract In two recent articles, Sims (1988) and Sims and Uhlig (1988/1991) question the value of much of the ongoing literature on unit roots and stochastic trends. They characterize the seeds of this literature as ‘sterile ideas’, the application of nonstationary limit theory as ‘wrongheaded and unenlightening’, and the use of classical methods of inference as ‘unreasonable’ and ‘logically unsound’. They advocate in place of classical methods an explicit Bayesian approach…

单位根贝叶斯推断的不同路径AI 解读

Abstract This paper is a comment on P. C. B. Phillips, ‘To criticise the critics: an objective Bayesian analysis of stochastic trends’ [Phillips, (1991)]. Departing from the likelihood of an univariate autoregressive model different routes that lead to a posterior odds analysis of the unit root hypothesis are explored, where the differences in routes are due to the different choices of the prior. Improper priors like the uniform and the Jeffreys prior are less suited for…

时间序列重抽样：估计养老金抗通胀方案下的损失概率AI 解读

Abstract Any pension protection formula that falls short of complete compensation for inflation has associated with it a time‐series of probability distributions of future purchasing power losses. A method of estimating those distributions is proposed and applied. The method is based on the idea of representing inflation as a multivariate time‐series process and using a model fitted to historical data to generate a large artificial sample of ‘realized’ inflation sequences by…

汇率收益极值的极限分布AI 解读

Abstract Several nonnested fat‐tailed distributions have been advocated for modelling exchange rate returns. Instead of directly estimating these nonnested distributions we investigate the extremal distribution of the returns. The advantage is that the parameter which characterizes the amount of tail fatness can be estimated without maintaining a specific distribution, and hence enables one to test hypotheses. The parameter of the limit law is estimated by employing…

截断计数数据模型AI 解读

Abstract This paper examines a class of maximum‐likelihood regression estimators for count data from truncated samples. Estimators for the truncated Poisson and negative binomial distributions are illustrated. Simulation results are given to illustrate the magnitude of the bias that may result from the failure to account for overdispersion in truncated samples. An empirical application based upon the number of recreational fishing trips taken by a sample of Alaskan fishermen…

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描述经验需求系统的可分性性质AI 解读

Abstract In empirical demand analysis separability restrictions are usually imposed as maintained hypotheses. The separability inflexibility of most functional forms makes parametric tests of these restrictions appear problematic. We follow Pudney (1981) in stressing the usefulness of a description of the separable structure of preferences underlying an estimated model, and propose a non‐iterative method for the production of such a description. An illustration with…

异质性广义伽马持续期模型的设定检验：罢工数据应用AI 解读

Abstract In this paper, tests for neglected heterogeneity and functional form misspecification of some commonly used parametric distributions are derived within a heterogeneous generalized gamma model. It is argued that the conventional test of heterogeneity may not be valid when the underlying hazard function is misspecified. Hence, if the estimated hazard function is deemed restrictive, tests for functional form misspecification should accompany any test of heterogeneity.…

日元兑美元外汇市场风险溢价的时间序列性质AI 解读

Abstract In this paper a VAR model is employed to construct a measure of the conditional expectations of the future yen/dollar spot rate. This measure allows us to examine the dynamics of an ex‐ante time‐series for the risk premium in the market. The VAR model produces ‘better’ forecasts than the survey responses for turbulent periods such as 1981–1982 and 1984–1985. The VAR‐generated expectations are then used to construct a risk premium time‐series. This risk premium…

商品期货最优套期保值比率的双变量 GARCH 估计AI 解读

Abstract Six different commodities are examined using daily data over two futures contract periods. Cash and futures prices for all six commodities are found to be well described as martingales with near‐integrated GARCH innovations. Bivariate GARCH models of cash and futures prices are estimated for the same six commodities. The optimal hedge ratio (OHR) is then calculated as a ratio of the conditional covariance between cash and futures to the conditional variance of…

随机系数模型在孟加拉国农业中的应用与检验AI 解读

Abstract This paper deals with efficiency question by estimating four production functions for four different regions in connection with Bangladesh agriculture. Hildreth and Houck's (1968) random coefficient method was found more suitable than OLS after conducting an appropriate test for this. In contrast to earlier studies, 24 piece‐wise regressions have been fitted for each index of efficiency considering all four regions and six different ranges of farm size instead of a…

参数不确定性对单位根与趋势平稳模型预测方差和置信区间的影响AI 解读

Abstract In this paper I describe the effect of parameter uncertainty on the way conditional forecast variances grow as the forecast horizon increases. Without parameter uncertainty, forecast variances for the unit root model grow linearly with the forecast horizon while with the trend stationary model they are bounded. With parameter uncertainty, however, I find that for both the unit root and the trend stationary models, forecast variances grow with the square of the…

走向原油市场效率AI 解读

Abstract The ‘official’ (OPEC) prices of crude oil before the collapse in the oil market in the mid‐1980s can be interpreted as contract prices and analysed on the basis of the theory of futures (or forward) markets. This paper uses the generalized method of moments estimation technique to test for efficiency in the relationship between the official prices and the ex‐post spot prices at the time of delivery. Efficiency is rejected for the sample period 1978–1985 as a whole,…

税收影响货币需求的多模型与两两非嵌套检验AI 解读

Abstract The minimal computational requirements of the linear embedding techniques initiated by Davidson and MacKinnon (1981) accommodate multiple and binary tests of autoregressive, non‐nested regression models with different dependent variables. The small sample adjustments of Fisher and McAleer (1981) effectively reduce the size of the P‐tests for our models. Our application to transactions demand for money models supports the Holmes and Smyth (1972) hypothesis that…

面板数据的有效估计：工具变量估计量的经验比较AI 解读

Abstract This paper attempts a replication of the Cornwell and Rupert (1988) study—hereafter CR. The CR study investigated the efficiency gains in a returns to schooling example by applying alternative sets of instrumental variables estimators for panel data regressions proposed by Hausman and Taylor (1981), Amemiya and MaCurdy (1986), and Breusch, Mizon, and Schmidt (1989). Corrections on the CR data set lead to changes in the legitimate set of instruments, when the time…

大型非线性计量模型随机最优控制问题的求解算法AI 解读

Abstract This paper considers the problem of solving an optimal control problem for large dynamic economic models which are both nonlinear and stochastic. It proposes a technique which combines conventional deterministic optimal control algorithms with the procedure of stochastic simulation, which calculates a numerical approximation to the distribution of the models endogenous variables. The new technique is computationally feasible for even large nonlinear models and, as…

理性预期模型的全信息估计与随机模拟AI 解读

Abstract A computationally feasible method for the full information maximum‐likelihood estimation of models with rational expectations is described in this paper. The stochastic simulation of such models is also described. The methods discussed in this paper should open the way for many more tests of the rational expectations hypothesis within macroeconomic models.

工会与英国私营部门经营单位的财务表现AI 解读

Abstract This paper considers the relationship between unions and financial performance using data from the 1980 and 1984 Workplace Industrial Relations Surveys. A qualitative indicator of financial performance is utilized and ordered probit estimates presented. These indicate that unionized establishments are characterized by lower performance levels than are non‐union concerns. The interface between union effects and relative market power is also explored and the ability…

利用美国企业数据重新检验投资q理论AI 解读

Abstract Investment models based on Tobin's q are theoretically appealing, but they have been an empirical disappointment when applied to aggregate time‐series data. This paper explores two potential explanations for the poor empirical performance of q investment models, problems arising from aggregation and imperfect competition. The results suggest that aggregation is responsible for spurious evidence of dynamic misspecification and at least partially responsible for an…

宏观经济系统中的协整AI 解读

Abstract This paper investigates the long‐run relationships within a set of six quarterly time‐series on the Austrian economy by means of cointegration. After analysing the univariate properties, especially with respect to the appropriate seasonal filter, the maximum‐likelihood method proposed by Johansen (1988) is applied to estimate and test the cointegrating relationships. We found three such relations, implying that the system is driven by three independent stochastic…