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理性预期宏观经济模型的估计与控制AI 解读

The paper investigates an econometric method for selecting macroeconomic policy rules when expectations are formed rationally. A simple econometric model of the U.S. is estimated subject to a set of rational expectations restrictions using a minimum distance estimation technique. The estimated model is then used to calculate optimal monetary policy rules to stabilize fluctuations in output and inflation, and to derive a long run tradeoff between price stability and output…

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完全价格聚合与实证需求分析AI 解读

THIS PAPER CONSIDERS how certain theoretical results on consistent commodity aggregation can be applied to the problem of the estimation of a complete system of demand equations. The method proposed here builds upon the classic results of Gorman [16], particularly the case he calls perfect price aggregation. These results are well known in the literature on two-stage budgeting but have not been widely applied to problems of empirical demand analysis. This relative neglect of…

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异方差与随机系数变动的简单检验AI 解读

A simple test for heteroscedastic disturbances in a linear regression model is developed using the framework of the Lagrangian multiplier test. For a wide range of heteroscedastic and random coefficient specifications, the criterion is given as a readily computed function of the OLS residuals. Some finite sample evidence is presented to supplement the general asymptotic properties of Lagrangian multiplier tests.

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含受限（删失）因变量的二元选择模型：识别与估计AI 解读

A class of statistical models which generate simultaneous equation models with both discrete and continuous endogenous variables is introduced. This class of models can also be regarded as a new class of switching simultaneous equation models which are of general interest. Identification and estimation problems are investigated. Several simple consistent two stage methods are proposed. The consistency of those estimators is proved. Two step maximum likelihood procedures are…

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向量线性时间序列模型的渐近估计与假设检验结果AI 解读

For a general vector linear time series model we prove the strong consistency and asymptotic normality of parameter estimates obtained by maximizing a particular time domain approximation to a Gaussian likelihood, although we do not assume that the observations are necessarily normally distributed. To solve the normal equations we set up a constrained Gauss-Newton iteration and obtain the properties of the iterates when the sample size is large. In particular we show that…

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财富分布模型AI 解读

The paper presents a model of wealth distribution that makes use of Gibrat's law of proportionate effect to explain the way wealth is distributed and how the distribution changes over time. The stochastic factor in each period is shown to be the result of deliberate choices by individual decision makers regarding their savings, investment, and bequests, given their inherited wealth and natural ability. The source of randomness is two-fold: uncertainty about the rates of…

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理性预期均衡：一般性存在与价格揭示的信息AI 解读

When traders come to a market with different information about the items to be traded, the resulting market prices may reveal to some traders information originally available only to others.The possibility for such inferences rests upon traders having "models" or "expectations" of how equilibrium prices are related to initial information.This relationship is endogenous, which motivates the term "rational expectations equilibrium."This paper shows that, in a particular model…

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