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曲率度量与检验的非参数方法AI 解读

This article considers the problem of testing curvature (e.g., linearity, concavity, convexity) in a multivariate nonparametric regression model. A measure of curvature, called the simplex statistic, that does not require bandwidth choice and is easy to compute, is introduced. A global test of curvature based on the simplex statistic is also introduced. Localized versions of the test, which require smoothing parameters, are shown to be consistent against more general…

时间序列数据的偏度、峰度与正态性检验AI 解读

We present the sampling distributions for the coefficient of skewness, kurtosis, and a joint test of normality for time series observations. We show that when the data are serially correlated, consistent estimates of three-dimensional long-run covariance matrices are needed for testing symmetry or kurtosis. These tests can be used to make inference about any conjectured coefficients of skewness and kurtosis. In the special case of normality, a joint test for the skewness…

含不可观测产品特征的特征价格指数：个人电脑应用AI 解读

We show that hedonic price indexes may be biased when not all product characteristics are observed. We derive two primary sources of bias. The first source is a classical selection problem that arises due to changes over time in the values of unobserved characteristics. The second comes from changes in the implicit prices of unobserved characteristics. Next we show that the bias can be corrected for under fairly general assumptions using extensions of factor analysis…

可贸易品与非贸易品购买力平价的收敛速度AI 解读

This article estimates the speed of the adjustment coefficient in structural error-correction models. We use a system method for real exchange rates of traded and nontraded goods by combining a single-equation method with Hansen and Sargent's instrumental variables methods for linear rational expectations models. We apply these methods to a modified version of Mussa's model. Our results show that the half-lives of purchasing power parity deviations for the rates of traded…

GARCH过程中的影响诊断AI 解读

Influence diagnostics have become important tools for statistical analysis since the seminal work by Cook. In this article we present a curvature-based directional diagnostic, set up based on the slope-based diagnostic to assess the local influence of minor perturbations on influence graph in a regression model. Using both slope- and curvature-based diagnostics, we examine local influence in the generalized autoregressive conditional heteroscedasticity (GARCH) model under…

离散时间即期利率模型的样本外表现AI 解读

We provide a comprehensive analysis of the out-of-sample performance of a wide variety of spot rate models in forecasting the probability density of future interest rates. Although the most parsimonious models perform best in forecasting the conditional mean of many financial time series, we find that the spot rate models that incorporate conditional heteroscedasticity and excess kurtosis or heavy tails have better density forecasts. Generalized autoregressive conditional…

季度面板数据中的动态与季节性AI 解读

This article presents an empirical analysis of the dynamics of individual earnings using Spanish quarterly earnings. I propose a new econometric methodology to control for the seasonality in my dataset. Moreover, I apply this methodology to the study of earnings mobility in Spain, using transition probabilities among earnings quintiles for the period 1985–1996. I find substantial mobility from one year to the next; however, earnings changes are basically among adjacent…

区间数据条件估值模型与定价政策的贝叶斯分析AI 解读

The general aim of a contingent valuation survey is to elicit the willingness to pay (WTP) of respondents for some (public) commodity without a clear market price. This could be a program to protect some environmental resource or, as in our application, the access to a recreational area of particular interest. In this context, we want to accommodate the possibility of zero WTP and we need to deal with the fact that observations arise as intervals for WTP, rather than point…

期限结构中的状态转换、风险溢价与商业周期AI 解读

Recent evidence indicates that using multiple forward rates sharply predicts future excess returns on U.S. Treasury bonds—the R 2 ’s being around 30%. The projection coefficients in these regressions exhibit a distinct pattern that relates to the maturity of the forward rate. These dimensions of the data in conjunction with the transition dynamics of bond yields offer a serious challenge to term structure models. In this paper we show that a regime-shifts term structure…

单位根与阈值设定的检验：购买力平价关系的应用AI 解读

We consider modeling the real exchange rate by a stationary three-regime self-exciting threshold autoregressive (SETAR) model with possibly a unit root in the middle regime. This representation is consistent with purchasing power parity in the presence of trading costs. Our main contribution is to provide statistical tools for testing unit root versus a SETAR. First, we show that a SETAR with a unit root in the middle regime is stationary and mixing under reasonable…

利用协偏度检验资产定价模型AI 解读

In this article we investigate portfolio coskewness using a quadratic market model as a return-generating process. We show that the portfolios of small (large) firms have negative (positive) coskewness with the market. We test an asset pricing model including coskewness by checking the validity of the restrictions that it imposes on the return-generating process. We find evidence of an additional component in expected excess returns, which is not explained by either…

CAViaR：条件自回归风险价值模型AI 解读

Value at risk (VaR) is the standard measure of market risk used by financial institutions. Interpreting the VaR as the quantile of future portfolio values conditional on current information, the conditional autoregressive value at risk (CAViaR) model specifies the evolution of the quantile over time using an autoregressive process and estimates the parameters with regression quantiles. Utilizing the criterion that each period the probability of exceeding the VaR must be…

单调似然比假设的检验AI 解读

Although monotonicity of the likelihood ratio for conditioned densities is a common technical assumption in economic models, empirical tests for its plausibility do not appear to have been conducted. This article develops such a test based on the theory of order-restricted inference that is robust with respect to the correlation structure of the distributions being compared. The test is applied to study the technology revealed by agricultural production experiments. For the…

具有共同随机方差的状态空间模型AI 解读

This article considers a combination of the linear Gaussian state space model and the stochastic volatility model. The focus is on the simultaneous estimation of parameters related to the stochastic processes of both the mean and variance parts of the model. Kalman filter and Monte Carlo maximum likelihood methods lead to an elegant estimation procedure for which the simulation error can be made arbitrarily small. The standard asymptotic properties of maximum likelihood…

分数协整的最优残差检验与汇率动态AI 解读

A Lagrange multiplier test of the null hypothesis of cointegration in fractionally cointegrated models is proposed. The test statistic uses fully modified residuals to cancel the endogeneity and serial correlation biases, and standard asymptotic properties apply under the null and under local alternatives. With iid Gaussian errors, the asymptotic Gaussian power envelope of all (unbiased) tests is achieved by the one-sided (two-sided) test. The finite-sample properties are…

二元响应模型中福利评价的半参数方法AI 解读

Applied welfare analysis is commonly based on mean or median benefit estimates. However, the whole conditional distribution of benefits is often of interest for policy makers. This article compares the distributional information recovered by competing semiparametric methods. Results obtained using a valuation study for the improvement of water resources in Brazil suggest that the semiparametric approaches are in line with each other, capturing a rich heterogeneity structure…

利用含分类错误的有序响应模型分析移民口语熟练度AI 解读

We develop parametric models that incorporate misclassification error in an ordered response model and compare them with a semiparametric model that nests the parametric models. We apply these estimators to the analysis of English-speaking fluency of immigrants in the United Kingdom, focusing on Lazear's theory that due to learning or self-selection, there is a negative relation between speaking fluency and the ethnic minority concentration in the region. Specification tests…

最低工资AI 解读

Do moderate increases in the minimum wage reduce employment? If not, do they nevertheless raise wages? To examine these questions, we apply techniques of time series analysis and systems estimation that are commonly used in macroeconomics and finance to five panels of data that contain between 11 and 34 low-wage industries. Our answers are “No” and “Yes,” respectively. We find that increases in the federal minimum wage between 1947 and 1997 have raised average wages in many…

德国企业相关服务业公司的绩效表现AI 解读

We analyze the performance of firms from the German business-related service sector for 1994–2000. Performance is measured by ordinal assessment of changes in total sales. We estimate first-order Markov chain models using extensions of the multinomial logit model: a linear index model with alternative specifications of heterogeneity and a semiparametric model. The preferred specification involves heterogeneity connected to the firm and the type of transition. Our findings…

股票价格的持续期依赖AI 解读

This article studies time series dependence in the direction of stock prices by modeling the (instantaneous) probability that a bull or bear market terminates as a function of its age and a set of underlying state variables, such as interest rates. A random walk model is rejected both for bull and bear markets. Although it fits the data better, a generalized autoregressive conditional heteroscedasticity model is also found to be inconsistent with the very long bull markets…

评估美联储反应函数的广义矩估计AI 解读

Estimating a forward-looking monetary policy rule by the generalized method of moments (GMM) has become a popular approach. We reexamine estimates of the Federal Reserve reaction function using several GMM estimators and a maximum likelihood (ML) estimator. First, we show that over the baseline period 1979–2000, these alternative approaches yield substantially different parameter estimates. Using Monte Carlo simulations, we show that the finite-sample GMM bias can account…

就业决策的层级模型AI 解读

Federal law prohibits discrimination in employment decisions against persons in certain protected categories. The common method for measuring discrimination involves a comparison of some aggregate statistic for protected and nonprotected individuals. This approach is open to question when employment decisions are made over an extended time period. We show how to use hierarchical proportional hazards models (Cox regression models) to analyze such data.

摘要暂缺

基于平稳过程归一化距离加权和的房价空间建模AI 解读

Hedonic models are used almost universally for modeling house prices. Recognizing the importance of location, the past decade has seen increasing effort to introduce spatial considerations into such modeling. When spatial process models are used to capture association between locations, isotropic specifications have been used almost exclusively despite the fact that they seem unlikely to be appropriate in practice. The contribution of this article is to offer a novel,…