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专业预测者点预测与主观概率分布的比较AI 解读

We use data from the Survey of Professional Forecasters (SPF) to compare point predictions of gross domestic product (GDP) growth and inflation with the subjective probability distributions held by forecasters. We find that most SPF point predictions are quite close to the central tendencies of forecasters subjective distributions tend to be asymmetric, with SPF forecasters tending to report point predictions that give a more favorable view of the economy than do their…

条件不相关性检验AI 解读

We propose a nonparametric test for conditional uncorrelatedness in multiple-equation models such as seemingly unrelated regressions (SURs), multivariate volatility models, and vector autoregressions (VARs). Under the null hypothesis of conditional uncorrelatedness, the test statistic converges to the standard normal distribution asymptotically. We also study the local power property of the test. Simulation shows that the test behaves quite well in finite samples.

非线性价格下水需求的简约式模型与结构模型比较AI 解读

Increasing-block prices are common in markets for water, cellular phone service, and retail electricity. This study estimates demand models under block prices and conducts a Monte Carlo experiment to test the small-sample bias of structural and instrumental variables (IV) estimators. We estimate the price and income elasticity of water demand under increasing-block prices using a structural discrete/continuous choice (DCC) model, as well as random effects and IV. Elasticity…

不平等、贫困与福利的广义基尼指数统计推断AI 解读

This article considers statistical inference for consistent estimators of generalized Gini indices of inequality, poverty, and welfare. Our method does not require grouping the population into a fixed number of quantiles. The empirical indices are shown to be asymptotically normally distributed using functional limit theory. Easily computed asymptotic variance expressions are obtained using influence functions. Inference based on first-order asymptotics is then compared with…

分组因变量的半参数分析及其在医师慈善诊疗供给中的应用AI 解读

We present estimators for semiparametric regression models where the dependent variable is grouped, that is, known to fall in a specified group with observable thresholds while its true value remains latent. Income, weeks unemployed, and treatment length are examples of such variables. Because the model is not amenable to direct estimation, estimators are derived from a transform in which the index emerges as the partially linear component in a vector of identities.…

用于估计与分解违约风险的非高斯面板时间序列模型AI 解读

We model 1981–2005 quarterly default frequencies for a panel of U.S. firms in different rating and age classes from the Standard and Poor database. The data are decomposed into systematic and firm-specific risk components, where the systematic component reflects the general economic conditions and the default climate. We need to cope with: the shared exposure of each age cohort, industry, and rating class to the same systematic risk factor; strongly non-Gaussian features of…

动态处理分配AI 解读

We discuss estimation of treatment effects when the timing of treatment is the outcome of a stochastic process. We show that the duration framework in discrete time provides a fertile ground for effect evaluations. We suggest easy-to-use nonparametric survival function matching estimators that can be used to estimate the time profile of the treatment.We study the small-sample properties of the proposed estimators and apply one of them to evaluate the effects of an employment…

新奥尔良奴隶拍卖市场的地区间价格差异AI 解读

Our article investigates the variation of winning bids in slave auctions held in New Orleans from 1804 to 1862. Specifically, we measure the variation in the price of slaves conditional on their geographical origin. Previous work using a regression framework ignored the auction mechanism used to sell slaves. This introduced a bias in the conditional mean of the winning bid because it depended on the number of bidders participating in the auction. Unfortunately, the number of…

再生核希尔伯特空间中的 Henderson 平滑器AI 解读

The Henderson smoother has been traditionally applied for trend-cycle estimation in the context of nonparametric seasonal adjustment software officially adopted by statistical agencies. This study introduces a Henderson third-order kernel representation by means of the reproducing kernel Hilbert space (RKHS) methodology. Two density functions and corresponding orthonormal polynomials have been calculated. Both are shown to give excellent representations for short- and…

多工具变量下的估计AI 解读

Using many valid instrumental variables has the potential to improve efficiency but makes the usual inference procedures inaccurate. We give corrected standard errors, an extension of Bekker to nonnormal disturbances, that adjust for many instruments. We find that this adjustment is useful in empirical work, simulations, and in the asymptotic theory. Use of the corrected standard errors in t-ratios leads to an asymptotic approximation order that is the same when the number…

混合频率数据下的宏观经济预测AI 解读

Many macroeconomic series, such as U.S. real output growth, are sampled quarterly, although potentially useful predictors are often observed at a higher frequency. We look at whether a mixed data-frequency sampling (MIDAS) approach can improve forecasts of output growth. The MIDAS specification used in the comparison uses a novel way of including an autoregressive term. We find that the use of monthly data on the current quarter leads to significant improvement in…

混合类别与连续数据的条件分布函数和分位数函数非参数估计AI 解读

We propose a new nonparametric conditional cumulative distribution function kernel estimator that admits a mix of discrete and categorical data along with an associated nonparametric conditional quantile estimator. Bandwidth selection for kernel quantile regression remains an open topic of research. We employ a conditional probability density function-based bandwidth selector proposed by Hall, Racine, and Li that can automatically remove irrelevant variables and has…

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评论：博弈中偏好与信念参数的识别AI 解读

The paper by Andres Aradillas-Lopez and Elie Tamer clari…es how identi…cation can be obtained in games and provides techniques to do so.In other words, it o¤ers constructive ways of analyzing either point or set identi…cation of parameters governing the preferences and beliefs of players in di¤erent games.In this short comment, I am trying to highlight the key issues that are brought out by the paper.First, as sometimes alluded to by the authors, one way of reading their…

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基于威布尔到达间隔的计数模型AI 解读

The widespread popularity and use of both the Poisson and the negative binomial models for count data arise, in part, from their derivation as the number of arrivals in a given time period assuming exponentially distributed interarrival times (without and with heterogeneity in the underlying base rates, respectively). However, with that clean theory come some limitations including limited flexibility in the assumed underlying arrival rate distribution and the inability to…

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简单博弈中均衡假设的识别能力AI 解读

We examine the identification power that (Nash) equilibrium assumptions play in conducting inference about parameters in some simple games. We focus on three static games in which we drop the Nash equilibrium assumption and instead use rationalizability as the basis for strategic play. The first example examines a bivariate discrete game with complete information of the kind studied in entry models. The second example considers the incomplete-information version of the…

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模仿组合、经济风险溢价与多贝塔模型检验AI 解读

We consider two formulations of the linear factor model (LFM) with nontraded factors. In the first formulation, LFM, risk premia and alphas are estimated by a cross-sectional regression of average returns on betas. In the second formulation, LFM*, the factors are replaced by their projections on the span of excess returns, and risk premia and alphas are estimated by time series regressions. We compare the two formulations and study the small-sample properties of estimates…

生产率估计对方法选择的敏感性AI 解读

Researchers interested in estimating productivity can choose from an array of methodologies, each with its strengths and weaknesses. This study compares productivity estimates and evaluates the extent to which the conclusions of three important productivity debates in the economic development literature are sensitive to the choice of estimation method. Five widely used techniques are considered, two nonparametric and three parametric: index numbers, data envelopment…