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财政与货币政策的时间一致性：一则评论AI 解读

IN AN IMPORTANT recent contribution, Persson, Persson, and Svensson (1987) (hereafter PPS) suggest that through careful restructuring of its nominal and real debt obligations, a government may be able to induce future governments to follow the monetary and fiscal policies that it regards as optimal today. The PPS argument builds on Lucas and Stokey's (1983) demonstration that in a special nonmonetary setting, the time inconsistency of optimal fiscal policy can be avoided…

基于似然的渐近预测函数AI 解读

This paper develops asymptotic prediction functions that approximate the shape of the density of future observations and correct for parameter uncertainty. The functions are based on extensions to a definition of predictive likelihood originally suggested by S. L. Lauritzen (1974) and D. Hinkley (1979). The prediction function is shown to possess efficiency properties based on the Kullback-Leibler measure of information loss. Examples of the application of the prediction…

结构方程的归一化：方向估计量的性质AI 解读

In the general structural equation model only the direction of the vector of coefficients of the endogenous variables is determined.The traditional normalization rule defines the coefficients that are of interest but should not be embodied in the estimation procedure: we show that the properties of the traditionally defined ordinary least squares and two stage least squares estimators are distorted by their dependence on the normalization rule.Symmetrically normalized…

Roy 模型的经验内容AI 解读

This paper explores the robustness of the essential economic conclusions of the Roy model of self-selection and income inequality to relaxation of its normality assumptions. A log concave version of the model reproduces most of the main results. Log convex cases offer counterexamples. The authors show that in a Roy economy, random assignment is inegalitarian and Pareto inefficient. They consider nonparametric identifiability of latent skill distributions with cross-section…

回归估计量的尾部行为及其崩溃点AI 解读

A measure of finite sample estimator performance based on the probability of large deviations is introduced. The tail performance of the least squares estimator is studied in detail, and the authors find that it achieves good tail performance under strictly Gaussian conditions, but performance is extremely poor in the case of heavy-tailed error distributions. Turning to the tail behavior of various robust estimators, they focus on tail performance under heavy (algebraic)…

外推渐近局部功效的危险AI 解读

IN NONLINEAR MODELS the power function is often approximated by asymptotic methods. The most common approach is to consider the asymptotic local power function. The local power function is monotonic and it has essentially the same shape as the power function in the classical normal linear regression model. However, the accuracy of the approximation can be poor at nonlocal alternatives. This note examines the exact powers of the Wald test in the case of a one parameter…

工具变量估计量精确小样本性质的进一步结果AI 解读

New results on the exact small sample distribution of the instrumental variable estimator are presented by studying an important special case. The exact closed forms for the probability density and cumulative distribution functions are given. There are a number of surprising findings. The small sample distribution is bimodal. with a point of zero probability mass. As the asymptotic variance grows large, the true distribution becomes concentrated around this point of zero…

搜寻经济中的库存与货币持有AI 解读

The authors analyze a continuous time model with a Walrasian labor market and a random search retail market with prices set on a take-it or leave-it basis. The equilibrium distribution of money holdings is the asymptotic steady state of this stochastic process. There is a unique uniform price steady state equilibrium. The faster the search process the higher the absolute price, wage, and real wage. The instantaneous effect of an equal per capita infusion of money is to raise…

非线性模型的有效工具变量估计AI 解读

This paper considers asymptotically efficient instrumental variables estimation of nonlinear models in an i.i.d. environment. The optimal instruments are estimated by nonparametric methods, either nearest neighbor or series regression. Ways of choosing the degree of approximation of the nonparametric instruments are discussed. Asymptotic efficiency is shown. The finite sample properties of the estimators are examined in a small sampling study of an endogenous dummy variable…

利用个体面板数据估计市场均衡搜索模型AI 解读

In this paper, the feasibility of estimating a Nash labor market equilibrium model using only information on workers is demonstrated. The equilibrium model, adapted from Albrecht and Axell (1984), is based on workers who are homogenous in terms of market productivity and heterogeneous in terms of nonmarket productivity, and on firms that are heterogeneous in terms of productive efficiency. The equilibrium model is contrasted with an unrestricted version of the model in terms…

两种不平等指数的大样本性质AI 解读

THIS PAPER PROVIDES the large sample properties of two inequality indices, Atkinson's (1970) index and the generalized entropy index (Cowell and Kuga (1981), Shorrocks (1984)). The large sample properties of the equally-distributed-equivalent (e.d.e.) income measures associated with these indices are also derived. The asymptotic distributions of these inequality and welfare measures allow the construction of confidence intervals and tests for differences in the measures;…

均衡中的家庭选择AI 解读

This paper is an empirical investigation of equilibrium restrictions on household consumption and male labor supply. It exploits a simple factor structure, rationalized by two assumptions, that household allocations are Pareto optimal and that the labor market is competitive. The paper estimates household preferences, and tests how well this parsimonious factor structure represents panel data on married couples and time series data on asset returns. Most of the estimates are…

摘要暂缺

分数单位根分布AI 解读

Asymptotic distributions are derived for the ordinary least squares estimate of a first order autoregression model when the series is fractionally integrated. The fractional unit root distribution is introduced to describe the limiting distribution. The unit root distribution is shown to be an atypical member of this family because its density is nonzero over the entire real line. For -1/2 Copyright 1990 by The Econometric Society.

误差自相关线性回归中的精确检验与置信集AI 解读

This article proposes a general method to build exact tests and confidence sets in linear regressions with first-order autoregressive Gaussian disturbances. Because of a nuisance parameter problem, we argue that generalized bounds tests and conservative confidence sets provide natural inference procedures in such a context. Given an exact confidence set for the autocorrelation coefficient, we describe how to obtain a similar simultaneous confidence set for the…

含未观测异质性的持续时间模型的简便估计AI 解读

This paper presents a simple estimator of the shape parameter in a Weibull duration model with unobserved heterogeneity. The estimator is consistent and asymptotically normal under mild conditions, and a consistent estimator of the asymptotic variance is available. A Monte Carlo study indicates that the asymptotic distribution of the estimator provides a good approximation to the finite sample distribution. The estimation strategy can be extended to a model with regressors…

非稳定自回归误差下时间序列回归估计量极限分布的一般方法AI 解读

The authors consider the time series regression model where the error term follows a nonstable autoregressive process and present a general approach for delivering the limiting distribution of a normalized estimator for the autoregressive parameter. The present approach is quite straightforward and leads them to an accurate evaluation of the distribution function, unlike the other approaches suggested in the literature. The authors' methodology is illustrated and percent…

非线性理性预期模型的求解：利率的随机均衡模型AI 解读

The authors introduce, in this paper, a method for solving nonlinear quadratic Pareto problems. The method provides the analyst with a set of time series realizations for the variables in the economy. By obtaining a large number of these realizations, they can approximate the empirical distributions of a variety of statistics, which will give a detailed description of the model's properties. In particular, those statistics can be compared with the similar ones obtained from…

任意收入水平下生活成本指数的计算AI 解读

A method for computing (approximate) cost-of-living index numbers for arbitrary reference income levels is presented. It combines the use of fairly disaggregated data with a relatively modest use of econometric methods. The basis ingredients are (1) a series of chained Tornqvist price index numbers relating to per capital total expenditure, (2) price index numbers for the commodities distinguished, and (3) the income parameters of a differential demand system. This method…

基于残差的协整检验的渐近性质AI 解读

This paper develops an asymptotic theory for residual based tests for cointegration. These tests involve procedures that are designed to detect the presence of a unit root in the residuals of (cointegrating) regressions among the levels of economic time series. Attention is given to the augmented Dickey-Fuller (ADF) test that is recommended by Engle-Granger (1987) and the Z(a) and Z(t) unit root tests recently proposed by Phillips (1987). Two new tests are also introduced,…

含部分单位根的线性时间序列模型中的推断AI 解读

This paper considers estimation and hypothesis testing in linear time series when some or all of the variables have (possibly multiple) unit roots. The motivating example is a vector autoregression with some unit roots in the companion matrix, which might include polynomials in time as regressors. Parameters that can be written as coefficients on mean zero, nonintegrated regressors have jointly normal asymptotic distribution, converging at the rate of T(superscript…

多重均衡模型的可观测含义AI 解读

Economic models with multiple equilibria are now so common in economics that we need a general framework for statistical inference in such models. This note offers a simple theoretical framework that can be used to organize the debate about the question of whether such a model is identified, and about the question of how much predictive content it retains

指标模型系数的半参数估计AI 解读

This paper gives a solution to the problem of estimating coefficients of index models, through the estimation of the density-weighted average derivative of a general regression function. A normalized version of the density-weighted average derivative can be estimated by certain linear instrumental variables coefficients. The estimators, based on sample analogies of the product moment representation of the average derivative, are constructed using nonparametric kernel…

大崩盘、石油价格冲击与单位根假说AI 解读

The unit root hypothesis is examined allowing a possible one-time change in the level or in the slope of the trend function. When fluctuations are stationary around a breaking trend function, standard tests cannot reject the unit root, even asymptotically. Consistent tests are derived and applied to the Nelson-Plosser data set (allowing a change in level for the 1929 crash) and to the postwar quarterly real GNP series (allowing a change in slope after 1973). The unit root…