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连续时间中的误差修正与长期均衡AI 解读

This paper deals with error correction models (ECM's) and cointegrated systems that are formulated in continuous time. Long-run equilibrium coefficients in the continuous system are always identified in the discrete time reduced form, so that there is no aliasing problem for these parameters. The long- run relationships are also preserved under quite general data filtering. Frequency domain procedures are outlined for estimation and inference. These methods are…

家庭需求的空间模式AI 解读

This paper discusses economic processes that may give rise to spatial patterns in data and explores the relative merits of alternative modeling approaches when data are spatially correlated. An estimation scheme is presented that allows for spatial random effects and attention is focused on cases in which such a framework may be preferred to the more general fixed effects framework that nests it. The models presented are used together with information on the location of…

信息矩阵检验统计量的渐近展开AI 解读

Conventional chi(superscript "2") approximations to the distribution of the information matrix test are shown to be inaccurate in models and with sample sizes commonly encountered. Interpreting a version of the information matrix test as an efficient score test leads to an alternative Edgeworth type approximation. This is calculated for the normal regression model and shown to be an improvement. Generally, the quality of the approximations is sensitive to the covariate…

异方差与自相关一致的协方差矩阵估计AI 解读

This paper is concerned with the estimation of covariance matrices in the presence of heteroskedasticity and autocorrelation of unknown forms. Currently available estimators that are designed for this context depend upon the choice of a lag truncation parameter and a weighting scheme. No results are available regarding the choice of lag truncation parameter for a fixed sample size, regarding data-dependent automatic lag truncation parameters, or regarding the choice of…

若干计量模型的最优非线性三阶段最小二乘估计AI 解读

A method is presented for estimating nonlinear simultaneous equations and transformation models in the presence of disturbance distribution of unknown form. It asymptotically achieves the lower variance bound for instrumental variables estimates. The author avoids smoothed nonparametric estimation, his instruments averaging over the unsmoothed empirical distribution of preliminary residuals. He allows for stationary serial dependence. In various settings, estimates are…

多种资本品下企业增长与 Q 的关系：日本企业面板的理论与证据AI 解读

The authors derive, from a model of investment with multiple capital goods, a one-to-one relation between the growth rate of the capital aggregate and the stock-market-based Q. The authors estimate the growth-Q relation using a panel of Japanese manufacturing firms taking into account the endogeneity of Q. For early years of their sample, cash flow has significant explanatory power over and above Q. The estimated Q coefficient implies that the adjustment cost is less than a…

需求系统的秩：理论与非参数估计AI 解读

W. M. Gorman's (1981) concept of Engel curve "rank" is extended to apply to any demand system. Rank is shown to have implications for specification, separability, and aggregation of demands. A simple nonparametric test of rank using Engel curve data is described and applied to U.S. and U.K. consumer survey data. The test employs a new general method for testing the rank of estimated matrices. The results are used to assess theoretical and empirical aggregation error in…

具有子群一致性的贫困指数AI 解读

It seems desirable that the overall level of poverty should fall whenever poverty decreases within some subgroup of the population and is unchanged outside that group. Yet this simple and attractive property, which we call "subgroup consistency," is violated by many of the poverty indices suggested in recent years. This paper characterizes the class of subgroup consistent poverty indices, and identifies the special features associated with this property. Copyright 1991 by…

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贝叶斯实施AI 解读

The decentralization of decision-making is analyzed when agents may have information that is incomplete and possibly exclusive. Theorems provide conditions under which there exists a mechanism whose Bayesian equilibria coincide with a desired collection of social choice functions. The first theorem characterizes Bayesian implementation in economic environments with three or more individuals. The second theorem extends the analysis to noneconomic environments. An example…

重新审视永久收入假说AI 解读

Measured aggregate U.S. consumption does not behave like a martingale. The authors develop and test two variants of the permanent income model which reflect that. In both, agents make decisions in continuous time. In one variant, martingale behavior holds; serial persistence in measured consumption reflects only time aggregation. In the other, serial persistence also reflects technology shocks, and martingale behavior does not hold. Using both structural and atheoretical…

资产收益的条件异方差：一种新方法AI 解读

This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility changes), (2) eliminates the need for inequality constraints on parameters, and (3) allows for a straightforward interpretation of the "persistence" of shocks to volatility. In the above respects, it is an improvement over the widely-used GARCH model. The model is applied to study volatility changes and…

非参数与半参数回归模型中级数估计量的渐近正态性AI 解读

This paper establishes the asymptotic normality of series estimators for nonparametric regression models. Gallant's Fourier flexible form estimators, trigonometric series estimators, and polynomial series estimators are prime examples of the estimators covered by the results. The results apply to a wide variety of estimates in the regression model under consideration, including derivatives and integrals of the regression function. The errors in the model may be homoskedastic…

协整系统中的最优推断AI 解读

Properties of maximum likelihood estimates of cointegrated systems are studied. Alternative formulations are considered, including a new triangular system error correction mechanism. We demonstrate that full system maximum likelihood brings the problem of inference within the family covered by the locally asymptotically mixed normal asymptotic theory, provided all unit roots have been eliminated by specification and data transformation. Methodological issues provide a major…

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不含截距的不稳定一阶自回归过程的连续时间近似AI 解读

We consider a first-order autoregression with i.i.d. errors and a fixed initial condition. The asymptotic distribution of the normalized least-squares estimator as the sampling interval converges to zero is shown to be the same as the exact distribution of the continuous-time estimator in an Ornstein-Uhlenbeck process. This asymptotic distribution permits explicit consideration of the effect of the initial condition. The appropriate moment-generating function is derived and…

分割还是竞争性劳动力市场AI 解读

A normal Roy model with four sectors is developed. It allows to derive tests of several assumptions on the working of the labor market: strongly or weakly competitive or segmented. It shows that more important a feature of labor markets than segmentation is the presence of comparative advantages for individuals between the various economic sectors. The model is applied to data on women's labor-force participation in the main towns of Colombia in 1980. It uses multivariate…

工资收入与生育时点及间隔：瑞典纵向数据证据AI 解读

This paper considers the formulation, estimation, and evaluation of semiparametric multistates duration models with time-varying regressors and unobservables correlated over spells. The authors' models are applied to test a dynamic version of the neoclassical theory of fertility. Using Swedish data, they find that rising female wages over the lifecycle delay times to all conceptions, but barely affect childlessness. The authors estimate a model that predicts fertility…

摘要暂缺

函数形式的一致条件矩检验AI 解读

In this paper, it will be shown that any conditional moment test of functional form of nonlinear regression models can be converted into a chi-square test that is consistent against all deviations from the null hypothesis that the model represents the conditional expectation of the dependent variable relative to the vector of regressors. Copyright 1990 by The Econometric Society.

长波与短波：通过集约与广延搜索实现增长AI 解读

This paper endogenizes the frequency of major discoveries and the extent of their refinement. Four axioms deliver a one-parameter family of beliefs that guide exploratory effort. Such effort trades off the prospect of major new discovery against the chance of successfully refining discoveries made in the past. The only other parameter is the cost of making new discoveries relative to the cost of refining old ones. The paper derives time-series properties of inventive…

公共与私人信息：信息汇聚的实验研究AI 解读

This paper reports on an experimental study of the way in which individuals make inferences from publicly available information. We compare the predictions of a theoretical model of a common knowledge inference process with actual behavior. In the theoretical model, "perfect Bayesians," starting with private information, take actions; an aggregate statistic is made publicly available; the individuals do optimal Bayesian updating and take new actions; and the process…

战略互补博弈中的可理性化、学习与均衡AI 解读

The authors study a rich class of noncooperative games that includes models of oligopoly competition, macroeconomic coordination failures, arms races, bank runs, technology adoption and diffusion, R&D competition, pretrial bargaining, coordination in teams, and many others. For all these games, the sets of pure strategy Nash equilibria, correlated equilibria, and rationalizable strategies have identical bounds. Also, for a class of models of dynamic adaptive choice behavior…