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如何达到竞争均衡AI 解读

A random price adjustment model is developed for an exchange economy which is decentralized in that the trades permitted to an agent and the resulting price changes depend only on the commodity vector currently held by that agent, and not on the whole economy. We obtain asymptotic results as the number of agents goes to infinity, subject to stability assumptions on the price paths. With probability arbitrarily close to one the price path in our model will approximate the…

含离散解释变量的非参数与半参数估计AI 解读

This note is concerned with nonparanetric and semiparametric inference in regression models where regressors are not continuous. In economic practice, few explanatory variables are continuous. Many of the are dummics, qualitative variables, or counts; and others though continuous in nature, are recorded at intervals and can be treated as discrete.

精确消费者剩余与无谓损失的非参数估计AI 解读

The authors apply nonparametric regression models to estimation of demand curves of the type most often used in applied research. From the demand curve estimators they derive estimates of exact consumers surplus and deadweight loss. The authors also develop tests of the symmetry and downward sloping properties of compensated demand. They work out asymptotic normal sampling theory for kernel and series nonparametric estimators as well as for the parametric case. The paper…

正规式博弈中的演化选择AI 解读

This paper investigates stability properties of evolutionary selection dynamics in normal-form games. The analysis is focused on deterministic dynamics in continuous time and on asymptotic stability of sets of population states, more precisely of faces of the mixed-strategy space. The main result is a characterization of those faces that are asymptotically stable in all dynamics from a certain class, and the authors show that every such face contains an essential component…

再论森贫困指数AI 解读

A modification of the official Sen poverty index yields an index which is not only continous in individual incomes and consistent with the transfer axiom, but also admits a geometric interpretation in terms of the area beneath a graph called the inverse generalized Lorenz curve for normalized poverty gaps by Jenkins and Lambert (1993) or the poverty gap profile by Shorrocks (1994).

非平稳波动率下的回归AI 解读

A new asymptotic theory of regression is introduced for possibly nonstationary time series. The regressors are assumed to be generated by a linear process with martingale difference innovations. The conditional variances of these martingale differences are specified as autoregressive stochastic volatility processes with autoregressive roots that are local to unity. The author finds conditions under which the least squares estimates are consistent and asymptotically normal. A…

完全修正最小二乘与向量自回归AI 解读

This paper provides a general framework which makes it possible to study the asymptotic behavior of FM regression in models with I(1) and I(0) regressors, models with unit roots, and models with only stationary regressors. This framework enables us to consider the use of FM regression in the context of vector autoregressions with some unit roots and some cointegrating relations. The resulting FM-VAR regressions are shown to produce optimal estimates of the cointegration…

连续统随机变量生成风险的分解与刻画AI 解读

The paper studies the representation and characterization of risks generated by a continuum of random variables. The Main Theorem is a characterization of a broad class of continuum processes in terms of the decomposition of risk into aggregate and idiosyncratic components, and in terms of the approximation of the continuum process by finite collections of random variables. This characterization is used to study decision making problems with anonymous and state-independent…

通过非参数级数回归进行一致的模型设定检验AI 解读

This paper proposes two consistent one-sided specification tests for parametric regression models, one based on the sample covariance between the residual from the parametric model and the discrepancy between the parametric and nonparametric fitted values; the other based on the difference in sums of squared residuals between the parametric and nonparametric models. The authors estimate the nonparametric model by series regression. The new test statistics converge in…

部分线性回归模型中的二阶近似AI 解读

The author examines the second order properties of various quantities of interest in the partially linear regression model: a stochastic expansion with remainder of order n[superscript -2 mu] in distribution, where mu Copyright 1995 by The Econometric Society.

一价拍卖的计量经济学AI 解读

This paper proposes a convenient estimation method for the empirical study of auction models. The authors focus on first-price sealed-bid and descending auctions within the private value paradigm. The method relies upon a simulated nonlinear least squares objective function appropriately adjusted. Asymptotic properties are established and some extensions are discussed. The method is applied to a market of agricultural products. The structural modeling takes into account the…

市场均衡中的汽车价格AI 解读

This paper develops techniques for empirically analyzing demand and supply in differentiated product markets and then applies these techniques to the U.S. automobile industry. The authors' framework enables one to obtain estimates of demand and cost parameters for a class of oligopolistic differentiated products markets. These estimates can be obtained using only widely available product-level and aggregate consumer-level data, and they are consistent with a structural model…

回到未来：构造连续时间马尔可夫过程的矩条件AI 解读

Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. The authors show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method of moments estimators and tests can be constructed using these moment conditions. The resulting econometric methods are designed to be applied to discrete-time data obtained…

半参数平均导数估计量的正态近似AI 解读

With the same normalization as that for standard parametric statistics, and centered at a parameter of interest, many semiparametric estimates based on n observations have been shown to be root-n-consistent and asymptotically normal. In the context of semiparametric averaged derivative estimates, the author goes further by showing that the rate of convergence of the finite-sample distribution to the normal limit distribution can equal that of standard parametric statistics.…

数据污染与损坏下的识别及稳健性AI 解读

Robust estimation aims at developing point estimators that are not highly sensitive to errors in data. However, the population parameters of interest are not identified under the assumptions of robust estimation, so the rationale for point estimation is not apparent. This paper shows that, under error models used in robust estimation, unidentified population parameters can often be bounded. The bounds provide information that is not available in robust estimation. For…

扩展记忆变量之间非线性关系的建模AI 解读

A definition of extended memory is provided, generalizing the ideas of long memory and persistence, based on the properties of forecasts over long horizons. Specification of nonlinear models with variables having extended memory is considered in terms of the balance of an equation and it is suggested that many more types of misspecification can occur than with usual situations and could produce important specification errors. Tests of linearity and standard methods of…

姐妹、同胞与母亲：动态家庭背景下青少年生育对出生结局的影响AI 解读

A statistical model of dynamic intrafamily investment behavior incorporating endowment heterogeneity is estimated to evaluate alternative estimation procedures that have exploited family and kinship data. These procedures, which place alternative restrictions on the endowment structure and on behavior, include generalized least squares, fixed-effects based on the children of sisters and siblings, and instrumental variables. The framework is applied to data on birth outcomes,…

M 估计量的镜像不变性AI 解读

MUCH RESEARCH INTO THE PERFORMANCE of econometric estimators utilizes Monte Carlo experiments, either as a primary tool or as a check on the accuracy of first or higher order asymptotic approximations. It is important to design efficient experiments and to extract all the information they provide. But it is also important to avoid constructing experiments which give an overly optimistic view of the performance of an estimator or test. This note gives a theorem concerning…

摘要暂缺

贫困指数能否同时具有相对性与绝对性？AI 解读

BEGINNING WITH THE WORK OF A. K. SEN (1976) poverty research has made extensive use of axioms to construct and evaluate distribution-sensitive poverty measures. An index is distribution-sensitive if it satisfies Sen's (1976) weak transfer axiom; poverty decreases when income is transferred from a high income poor person to a low income poor person. A distribution-sensitive measure is appealing because it reflects the extent of deprivation among the poor and incorporates…

半参数估计量的渐近方差AI 解读

This paper derives a general formula for the asymptotic variance of semiparametric estimators that accounts for the presence of nonparametric estimators of functions. The general formula is specialized to show invariance of the asymptotic variance to the type of nonparametric estimator and to obtain correction terms for estimation of densities and mean-square projections (including conditional expectations). Regularity conditions for the validity of the formula are also…

干扰参数仅在备择假设下存在时的最优检验AI 解读

This paper derives asymptotically optimal tests for testing problems in which a nuisance parameter exists under the alternative hypothesis but not under the null. For example, the results apply to tests of structural change with unknown changepoint. The testing problem considered is nonstandard and the classical asymptotic optimality results for the Lagrange multiplier, Wald, and likelihood ratio do not apply. A weighted average power criterion is used here to generate…

利用实验数据考察期望效用理论的推广AI 解读

A number of generalizations of the expected utility preference functional are estimated using experimentally generated data involving 100 pairwise choice questions repeated on two separate occasions. Likelihood ratio tests are conducted to investigate the statistical superiority of the various generalizations and the Akaike information criterion is used to distinguish between them. The economic superiority of the various generalizations is also explored and the paper…

广义期望效用理论的预测价值AI 解读

Recent experimental choice studies compare expected utility with competing theories of decision-making under risk. Formal tests used to judge the theories usually count the number of consistent responses, ignoring systematic variation in inconsistent responses. A maximum-likelihood estimation method is developed that extracts more information from the data and enables one to judge the predictive utility--fit and parsimony--of utility theories. Analyses of twenty-three data…