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预测系统性风险的调整方法AI 解读

Abstract This paper looks at the currently available beta adjustment techniques and suggests a multiple root‐linear model to adjust for the regression tendency of betas. Our empirical investigate on indicates that cross‐sectional betas are not normally distributed, but their distribution tends to normal after a square‐root transformation. The evidence from the Box‐Cox regression model and the multivariate normality observed among betas after the transformation, make the…

利用预期产出调查数据的英国制造业就业计量模型AI 解读

Abstract A model of U.K. manufacturing employment is estimated in which output expectations data are derived from Confederation of British Industry (CBI) survey information. The output expectations terms are highly significant, and equations including them encompass more traditional models that use current and lagged output. In addition, the equations also successfully predict the sharp falls in manufacturing employment that occurred after 1979. One interesting implication…

零支出与恩格尔曲线估计AI 解读

Abstract Over the brief interview periods typical of budget surveys (such as the U.K. Family Expenditure Survey) households' recorded expenditures are liable to be misleading indicators of their underlying consumption. Most starkly, a household may not be observed to purchase commodities that it nevertheless consumes. This paper considers the implications of such measurement errors for the estimation of demand systems, and derives a consistent estimator for the special case…

使用计量模型预测：National Institute 模型的若干结果AI 解读

Abstract It is widely believed that the large econometric models cannot be used for forecasting without considerable intervention on the part of the forecaster. In this paper we challenge this view by reproducing a number of recent forecasts published by the National Institute but without the ad hoc interventions used at the time. We show that in no case would the forecast, produced by the model used mechanically, have been radically different from that actually published.…

汇率货币模型失效原因的实证考察AI 解读

Abstract The purpose of this paper is to attempt to provide measures of the relative importance of the principal causes of the failure of the monetary model of the exchange rate. Secondly, the random walk hypothesis for the exchange rate is tested. The methodology employed is new and has wide application elsewhere. It involves explicitly modelling the misspecification by time series techniques. The results confirm the importance of the breakdown of the PPP assumption but…

不等式约束正态线性回归模型的精确推断AI 解读

Abstract Inference in the inequality constrained normal linear regression model is approached as a problem in Bayesian inference, using a prior that is the product of a conventional uninformative distribution and an indicator function representing the inequality constraints. The posterior distribution is calculated using Monte Carlo numerical integration, which leads directly to the evaluation of expected values of functions of interest. This approach is compared with others…

英国自雇选择的实证分析AI 解读

Abstract The paper formulates a self‐employment/paid‐employment choice problem that draws upon Knight's notion that the individual responds to the risk‐adjusted relative earnings opportunities in each sector. Based on a development of such choice‐theoretic considerations, an econometric model is developed with the purpose of empirically examining the determinants of self‐employment. The model features simultaneous determination of employment status and earnings, which allows…

计数数据计量模型：若干估计量与检验的比较及应用AI 解读

Abstract This paper deals with specification, estimation and tests of single equation reduced form type equations in which the dependent variable takes only non‐negative integer values. Beginning with Poisson and compound Poisson models, which involve strong assumptions, a variety of possible stochastic models and their implications are discussed. A number of estimators and their properties are considered in the light of uncertainty about the data generation process. The…