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对强序列相关稳健的高功效趋势函数检验：普雷维什—辛格假说的应用AI 解读

We propose tests for hypotheses on the parameters of the deterministic trend function of a univariate time series. The tests do not require knowledge of the form of serial correlation in the data, and they are robust to strong serial correlation. The data can contain a unit root and still have the correct size asymptotically. The tests that we analyze are standard heteroscedasticity autocorrelation robust tests based on nonparametric kernel variance estimators. We analyze…

随机效用框架中的参数演化建模AI 解读

Random utility models have become standard econometric tools, allowing parameter inference for individual-level categorical choice data. Such models typically presume that changes in observed choices over time can be attributed to changes in either covariates or unobservables. We study how choice dynamics can be captured more faithfully by also directly modeling temporal changes in parameters, using a vector autoregressive process and Bayesian estimation. This approach…

汇率与马尔可夫状态转换动态AI 解读

This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior. Two data frequencies, two sample periods, and various specifications are considered. Quarterly data yield inconclusive evidence; the test rejects neither random walk nor Markov switching. Monthly…

通货膨胀测度中的一种失误AI 解读

Statistical offices use the matched-model method to compile consumer price indexes to measure inflation. In markets where models turn over rapidly, the matched sample may, by the end of a year, be quite unrepresentative of what is and what was bought. An analytical model is derived to show how bias in a matched-model index arises and extended to shed further light on the influential Aizcorbe, Corrado, and Doms methodology. The empirical work on the bias is undertaken using…

水平跃迁与经济时间序列中的长记忆假象AI 解读

When applied to time series processes containing occasional level shifts, the log-periodogram (GPH) estimator often erroneously finds long memory. For a stationary short-memory process with a slowly varying level, I show that the GPH estimator is substantially biased, and derive an approximation to this bias. The asymptotic bias lies on the (0, 1) interval, and its exact value depends on the ratio of the expected number of level shifts to a user-defined bandwidth parameter.…

Bass扩散模型的计量经济学问题AI 解读

The parsimonious Bass diffusion model is frequently used to forecast adoptions of new products and to compare the life cycles of specific products across countries. To meet these goals, reliable parameter estimates are needed. We develop the asymptotic theory for the three key parameters in the Bass model. For this purpose, we need to make assumptions about the stochastic error process. On doing so, we arrive at an alternative version of the Bass model than the one usually…

一类新的多元偏斜密度及其在GARCH模型中的应用AI 解读

We propose a practical and flexible method to introduce skewness in multivariate symmetric distributions. Applying this procedure to the multivariate Student density leads to a “multivariate skew-Student” density in which each marginal has a specific asymmetry coefficient. Combined with a multivariate generalized autoregressive conditional heteroscedasticity model, this new family of distributions is found to be more useful than its symmetric counterpart for modeling stock…

马尔可夫状态切换向量误差修正模型中的货币政策AI 解读

Monetary policy vector autoregressions (VARs) typically presume stability of the long-run outcomes. We introduce the possibility of switches in the long-run equilibrium in a cointegrated VAR by allowing both the covariance matrix and weighting matrix in the error-correction term to switch. We find that monetary policy alternates between sustaining long-run growth and disinflationary regimes. Allowing state changes can also help explain the price puzzle and justify the use of…

阿夫里亚特不等式违背的显著性检验AI 解读

Two new nonparametric procedures are developed to evaluate the significance of violations of revealed preference found by standard nonstochastic tests. Our tests with high probability correctly detect utility maximization for data generated with measurement error. The procedures are not very sensitive to misspecifying the amount of error that could have caused the data to violate revealed preference. The tests have power against an alternative of random behavior. Both tests…

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动态面板数据模型中的偏误修正估计AI 解读

This study develops a new bias-corrected estimator for the fixed-effects dynamic panel data model and derives its limiting distribution for finite number of time periods, T, and large number of cross-section units, N. The bias-corrected estimator is derived as a bias correction of the least squares dummy variable (within) estimator. It does not share some of the drawbacks of recently developed instrumental variables and generalized method-of-moments estimators and is…

平均导数与平均差分的核估计AI 解读

In this article we consider the problem of estimating average derivatives and differences using kernel estimators. Our analysis focuses on developing new methods that are appropriate in the context of bounded and discrete regressors and do not require higher-order kernels for consistency or asymptotic normality. We derive a new nonparametric estimator that we call the average difference estimator. We show that this estimator is consistent and root-N asymptotically normally…

财富—消费比与消费—习惯比AI 解读

Recent research finds that the ratio of aggregate wealth to consumption emerges as a strong forecaster of stock returns. This article reports that the wealth-consumption ratio remains as a strong predictor of stock returns at the presence of the consumption-habit ratio. Most of the variability of the wealth-consumption ratio is not related to the movements of the lagged, contemporaneous, or leading consumption-habit ratios. The results reject the hypothesis that the…

股权溢价的结构突变AI 解读

This article uses Bayesian marginal likelihood analysis to compare univariate models of the stock return behavior and test for structural breaks in the equity premium. The analysis favors a model that relates the equity premium to Markov-switching changes in the level of market volatility and accommodates volatility feedback. For this model, there is evidence of a one-time structural break in the equity premium in the 1940s, with no evidence of additional breaks in the…

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食品消费截面与时间序列弹性的面板及伪面板估计AI 解读

This article addresses the problem of the bias of income and expenditure elasticities estimated on pseudopanel data caused by measurement error and unobserved heterogeneity. We gauge these biases empirically by comparing cross-sectional, pseudo-panel, and true panel data from both Polish and U.S. expenditure surveys. Our results suggest that unobserved heterogeneity imparts a downward bias to cross-section estimates of income elasticities of at-home food expenditures and an…

金融交易价格与交易时间的离散状态连续时间模型AI 解读

Financial transaction prices typically lie on a discrete grid of values and arrive at random times. This paper proposes an econometric model with this structure. The distribution of each price change is a multinomial, conditional on past information and the time interval between the transactions. The proposed autoregressive conditional multinomial (ACM) model is not restricted to be Markov or symmetric in response to shocks; however, such restrictions can be imposed. The…

向量自回归模型的贝叶斯估计AI 解读

This article examines frequentist risks of Bayesian estimates of vector autoregressive (VAR) regression coefficient and error covariance matrices under competing loss functions, under various noninformative priors, and in the normal and Student-t models. Simulation results show that for the regression coefficient matrix, an asymmetric LINEX estimator does better overall than the posterior mean. No dominating estimator emerges for the error covariance matrix. We find that the…

定性变量的动态预测AI 解读

This article presents a new Qual VAR model for incorporating information from qualitative and/or discrete variables in vector autoregressions. With a Qual VAR, it is possible to create dynamic forecasts of the qualitative variable using standard VAR projections. Previous forecasting methods for qualitative variables, in contrast, produce only static forecasts. I apply the Qual VAR to forecasting the 2001 business recession out of sample and to analyzing the Romer and Romer…

汇率的长期摆动AI 解读

Several authors have reported evidence of long swings in U.S. dollar exchange rates by rejecting the random walk in favor of a Markov regime-switching model. We show that this evidence is not robust to an extension of the sample period. One should, however, not conclude that long swings are thus absent, because the tests may have insufficient power. A possible reason for this is the low data frequency, because existing tests are based on quarterly data, and we find that the…

参数已知的潜在协整向量非平稳性检验的最优功效AI 解读

Theory often specifies a particular cointegrating vector among integrated variables, and testing for a unit root in the known cointegrating vector is often required. Although it is common to simply use a univariate test for a unit root for this test, it is known that this does not take into account all available information. We show here that in such testing situations, a family of tests with optimality properties exists. We use this to characterize the extent of the loss in…

住房需求估计及其解释城市种族居住隔离的应用AI 解读

We present a three-stage, nonparametric estimation procedure to recover willingness to pay for housing attributes. In the first stage we estimate a nonparametric hedonic home price function. In the second stage we recover each consumer's taste parameters for product characteristics using first-order conditions for utility maximization. Finally, in the third stage we estimate the distribution of household tastes as a function of household demographics. As an application of…