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时变协方差下国际 CAPM 的检验AI 解读

Abstract We perform maximum‐likelihood estimation of a model of international asset pricing based on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing model. The ‘betas’ in our CAPM vary over time as the supplies of assets change and as the conditional covariances or returns on those assets change. We let the covariances change over time as a function of macroeconomic data, and an alternative model allows the covariances to follow a…

维多利亚时代后期英法经济增长转折：证据的重新评估AI 解读

Abstract The paper investigates the question of whether the trend rate of growth of GDP slowed down in Britain or France in the nineteenth century. We establish that real GDP belongs to the trend‐stationary process class of time‐series in each case rather than the difference‐stationary process and using Kalman filter techniques, analyse trends in a model incorporating time‐varying parameters without specifying breakpoints in advance. We find, contrary to the literature, that…

微型计算机上的计量建模：主要软件包综述AI 解读

Abstract In their present state, both in terms of price and power, microcomputers are taking over applied econometics. Now even model simulation is feasible. This paper tries to help the model‐builder in determining which of the following modelling software is appropriate to his/her specific needs: AREMOS, ESP, Micro‐TSP, MODLER and SORITEC. Tables devoted to data management, estimation, model specification, simulation, and presentation of results, detail the availability of…

汇率波动的动态：多变量潜在因子 ARCH 模型AI 解读

Abstract We study temporal volatility patterns in seven nominal dollar spot exchange rates, all of which display strong evidence of autoregressive conditional heteroskedasticity (ARCH). We first formulate and estimate univariate models, the results of which are subsequently used to guide specification of a multivariate model. The key element of our multivariate approach is exploitation of factor structure, which facilitates tractable estimation via a substantial reduction in…

寄宿式儿童照护服务的随机前沿成本函数AI 解读

Abstract Within a public authority (the firm), there are often several production units. Costs and policy formulation are concerned with the units themselves, though inefficiency might arise at both the firm and unit levels. A stochastic frontier cost function is developed and estimated to describe one such situation where the firms are English local authorities and the production units are homes providing residential care for children. Measures of inefficiency are found for…

通过异方差模型检验德国马克期货的鞅假说AI 解读

Abstract We examine the form of heteroscedasticity in Deutsche Mark futures price data and compare different specifications of the particular way that the variance is changing over time. The martingale hypothesis is tested with daily and weekly rates of change of futures prices for the Deutsche Mark and some evidence is found against this hypothesis in analyses of daily data from 1981 to 1985. This rejection of the martingale hypothesis may be attributed to trading day…

摘要暂缺

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 Hausman and Taylor (1981) proposed an efficient instrumental variables estimator for panel data regression models where the individual effects may be correlated with some of the regressors. Amemiya and MacCurdy (1986) and Breusch, Mizon, and Schmidt (1986) have suggested instrumental variables estimators that are potentially more efficient than the Hausman and Taylor estimator. We address the empirical question of how large these efficiency gains might be. In our…

渐近理论与计量实践AI 解读

Abstract The classical paradigm of asymptotic theory employed in econometrics presumes that model dimensionality, p , is fixed as sample size, n , tends to inifinity. Is this a plausible meta‐model of econometric model building? To investigate this question empirically, several meta‐models of cross‐ sectional wage equation models are estimated and it is concluded that in the wage‐equation literature at least that p increases with n roughly like n l/4 , while that hypothesis…

含风险项模型的计量分析AI 解读

Abstract In this paper we have attempted to provide an integrated approach to the estimation of models with risk terms. It was argued that there exist orthogonality conditions between variables in the information set and higher‐order moments of the unanticipated variable density. These could be exploited to provide consistent estimators of the parameters associated with the risk term. Specifically, it was recommended that an IV estimator should be applied, with instruments…

检验企业是否存在配置低效率AI 解读

Abstract This paper is concerned with the problem of testing for the presence of allocative inefficiency in firms for models in which the cost function is stochastic, the possibility of technical inefficiency is allowed, and the efficient input cost share equations are stochastic. The test exploits the relationships among the disturbances in the cost and share equations to derive implications of the existence of allocative inefficiency. This leads to the use of a Wald‐type…

半参数计量经济学：综述AI 解读

Abstract Semiparametric econometric models contain both parametric and nonparametric components, reflecting in some fashion what has been learned from economic theory and previous empirical experience, and what remains unknown. They raise such questions as how well the parametric component can be estimated, and how to construct rules of inference with good statistical properties. The paper attempts to survey the econometric and most relevant statistical literature on…

英国凯恩斯主义宏观计量模型：1955—1984 年AI 解读

Abstract In this paper we present a small Keynesian macro‐economic model in which wage‐price determination is linked to the working of goods and money markets. By explicitly treating the Keynes effect we derive a general expression for the employment‐money supply elasticity, and draw the IS‐LM loci in the employment‐interest rate space Our empirical specification allows for short‐run disequilibrium dynamic adjustments around the static long‐run relations predicted by the…

非出清市场中的数量调整迟滞：贷款市场的非均衡计量应用AI 解读

Abstract The paper argues that the estimated speed of price adjustment in a disequilibrium econometric model is likely to be biased if allowance is not made for quantity adjustment inertia on both sides of the market. Furthermore, if the model estimated is static rather than dynamic then, in certain circumstances, an excess demand regime may be mistaken for one of excess supply and vice‐versa. In an empirical application to the loan market for the clearing banks in Ireland…

英国经济的存量—流量一致宏观计量模型：第二部分AI 解读

Abstract This paper is the second of a series of two which describe the estimation and simulation of a stock‐flow consistent macro‐economic model of the UK economy. The first part (Davis, 1987) surveyed the theoretical literature on stock‐adjustment dynamics, criticized existing UK forecasting models for omitting many potential stock‐flow interactions and gave an outline of the model which is constructed here. The estimation and simulation results suggest that variables…

用简化似然比统计量检验受限因变量模型的外生性AI 解读

Abstract A simple likelihood‐ratio statistic for the weak exogeneity of the continuously observed endogenous variables is presented for the limited information simultaneous equations models in which a single endogenous variable is censored. The statistic is a likelihood ratio test statistic for the exclusion of the reduced form residuals of the continuously observed endogenous variables and is asymptotically locally most powerful. The procedure is illustrated by an…

替代矩阵负半定性的参数检验AI 解读

Abstract The negativity of the substitution matrix implies that its latent roots are non‐positive. When inequality restrictions are tested, standard test statistics such as a likelihood ratio or a Wald test are not X 2 ‐distributed in large samples. We propose a Wald test for testing the negativity of the substitution matrix. The asymptotic distribution of the statistic is a mixture of X 2 ‐distributions. The Wald test provides an exact critical value for a given…

度假行为的微观计量分析AI 解读

Abstract We present a micro‐econometric limited dependent variable model, which simultaneously explains the decision whether to go on vacation or not, the choice of destination and the decision on the level of the vacation expenditures. The model has been estimated on the basis of a cross‐section of Dutch households; we find a striking difference in income elasticity between domestic vacations and vacations abroad, and a large impact of owning certain durables (such as a…

计量经济史研究：1971—1986年综述AI 解读

Abstract The paper selectively surveys recent quantitative work in economic history with special emphasis on research into unemployment in interwar Britain, the Habakkuk controversy, the Kuznets curve, the demographic transition and heights in history. It is shown that the field has advanced well beyond the routine applications of elementary microeconomics which characterized its early days. Considerably greater quantitative sophistication and a much wider coverage of…

固定效应模型下失业退出风险率斜率符号的经验证据AI 解读

Abstract Empirical evidence on the sign of the slope of the hazard rate from unemployment is obtained from a fixed effects model based on the gamma distribution for unemployment duration. The data used are pairs of unemployment spells for adult males in the control and experimental groups of the Denver Income Maintenance Experiment. The sample selection issue involved in selecting the pair of spells used in the empirical work is discussed. The empirical results suggest that…

宏观计量模型比较与评价技术：实践评估AI 解读

Abstract This paper examines four model comparison techniques in the setting of an actual large‐scale U.S. macroeconomic model. The techniques include formal hypothesis tests, mean squared error analysis, and two new tests based on the complementary conditions that the structural and reduced form disturbances should be orthogonal to the predetermined variables. The latter two tests can be conveniently implemented by regressing either structural residuals or reduced form…

英国经济的存量—流量一致宏观计量模型：第一部分AI 解读

Abstract This paper surveys briefly the main theoretical developments in the analysis of stock and flow integration in macro‐economics, then proceeds to use this corpus of theory as a critique of the structure of existing macro‐econometric models of the British economy. An outline is then suggested for a model which would take all of these stock‐flow effects into account, given the macro‐economic data currently available. In a following paper (Davis, 1987) we give a detailed…

动态要素需求的估计AI 解读

Abstract Many recent empirical studies on inter‐related factor demands involve factor demand functions whose arguments depend on the researcher's arbitrary normalization rule. This paper shows how sensitive the estimated elasticities are to the various normalizations that are possible. Alternatives that are not dependent on a normalization are suggested.

理性预期假说约束的 Wald 检验构造AI 解读

Abstract In this paper, we examine the small sample properties of alternative formulations of Wald tests of non‐linear restrictions implied by the rational expectations hypothesis. A Monte Carlo analysis is presented as well as an example using Canadian aggregate time series data. The evidence indicates that Wald test results are extremely sensitive in small samples to the way in which the non‐linear restrictions in such models are parameterized, with a multiplicative form…