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风险溢价的形状AI 解读

We examine the relationship between the risk premium on the Center for Research on Security Prices (CRSP) value-weighted index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric and the conditional mean is an arbitrary function of the conditional variance. For monthly CRSP value-weighted excess returns, the relationship between the two moments that we uncover is nonlinear and nonmonotonic.

汇率的鞅性质与央行干预AI 解读

the Richardson-Smith Wald test procedures to test for the martingale property of daily exchange rates of seven major currencies vis-a-vis the U.S. dollar. To allow for the possibility that exchange rates are not governed by a single process throughout the float, the test statistics are calculated and plotted for fixed-length moving subsample windows rather than being applied to the full sample. The results show that exchange rates do not always follow the martingale process.…

购买时点的比例风险模型AI 解读

We use the proportional hazard model (PHM) to study purchase-timing behavior of households in two product categories: laundry detergents and paper towels. The PHM decomposes a household's instantaneous probability of buying the product at a point of time into two components: the baseline hazard that captures the household's intrinsic purchase pattern over time and the covariate function that captures the effects of marketing variables on the household's purchase timing…

融资约束影响投资的随机前沿分析AI 解读

is shown that investment under financing constraints can be modeled as a one-sided deviation from a frictionless investment level, and that effects of financing constraints can be identified and quantified by imposing a distributional assumption on the effects. Panel data on Taiwanese manufacturing firms between 1989 and 1996 are used in the estimation. It is found that (1) some of the sorting criteria used in the literature do not have significant and monotonic…

季节性检验AI 解读

stochastic seasonality proposed by Canova and Hansen. A simplified form of the test statistic in which the nonparametric correction for serial correlation is based on estimates of the spectrum at the seasonal frequencies is considered and shown to have the same asymptotic distribution as the original formulation. Under the null hypothesis, the distribution of the seasonality test statistics is not affected by the inclusion of trends, even when modified to allow for…

新近两阶段样本选择方法及其在性别工资差距中的应用AI 解读

Recently developed two-stage estimation methods of sample selection models are used, in the context of data from the 1989 Labor Market Activity Survey, to examine labor supply decisions and wage outcomes for employed men and women. Recent hypothesis test procedures are used to test for no sample selection and to test for a parametric against a semiparametric selection-correction procedure. We conclude that selection is indeed an issue for the sample at hand and that the…

向量误差修正模型面板的似然协整分析AI 解读

panels of a fixed number of vector error-correction (VEC) models. We obtain likelihood ratio statistics to test for a common cointegration rank across the individual VEC models with both heterogeneous and homogeneous cointegrating vectors. Their limiting distributions are a summation of the limiting behavior of Johansen trace statistics. We extend the asymptotic distribution theory to cover the case of an infinite cross-sectional dimension. We apply the framework to a…

生产率变化的测度与分解AI 解读

Measuring productivity change with Malmquist indices has become common practice, because they are easily computed using nonparametric programming techniques and can be readily decomposed into technical and efficiency change. However, this approach is nonstochastic and requires a constant returns to scale assumption to construct the reference technology. We propose estimating productivity change using a stochastic input distance frontier, imposing no restrictions on returns…

条件资产定价模型的有效估计AI 解读

parameters of multivariate generalized autoregressive conditional heteroscedasticity-in-mean models when the disturbances have a conditional distribution assumed to be elliptically symmetric but otherwise unrestricted. Under high-level assumptions, the resulting estimator achieves the asymptotic semiparametric efficiency bound. The elliptical symmetry assumption allows us to avert the curse of dimensionality problem that would otherwise arise in estimating the unknown error…

半参数家庭等价尺度的有效估计：来自南非的证据AI 解读

base-independent equivalence scales. The partial linear index specification permits simultaneous estimation across multiple household types and multiple goods and also the incorporation of continuous and discrete household attributes. Furthermore, asymptotic properties of estimated equivalence scales and tests of base independence are readily obtained. The efficiency gains from the proposed models and estimators are particularly helpful for developing country data where…

塔科马的气味AI 解读

A variant of the average derivative estimator is developed to construct an index measuring the effects of a copper smelter on house prices in Tacoma, Washington. The estimated average derivative index is smooth and has lower standard errors than regression coefficients estimated separately across discrete time periods. The dataset spans the time of initial rumors of Superfund site designation, the closing of the smelter, Superfund site designation, and the start of cleanup…

用于决策的回归建模与元分析AI 解读

Regression models are often used, explicitly or implicitly, for decision making. However, the choices made in setting up the models (e.g., inclusion of predictors based on statistical significance) do not map directly into decision procedures. Bayesian inference works more naturally with decision analysis but presents problems in practice when noninformative prior distributions are used with sparse data. We do not attempt to provide a general solution to this problem, but…

存在未识别参数时的结果增益预测分布AI 解读

distributions of outcome gains in the framework of a standard latent variable selection model. Although most previous work has focused on estimation of mean treatment parameters as the method for characterizing outcome gains from program participation, we show how the entire distributions associated with these gains can be obtained in certain situations. Although the out-of-sample outcome gain distributions depend on an unidentified parameter, we use the results of Koop and…

公共研发补贴对企业创新活动的影响AI 解读

This study analyzes the effects of public R&D policy schemes on the innovation activities of firms in Eastern Germany. The main question in this context is whether public funds stimulate R&D activities or simply crowd out privately financed R&D. Empirically, we investigate the average causal effects of all public R&D schemes in Eastern Germany using a nonparametric matching approach. Compared to the case in which no public financial means are provided, it turns out that…

商业周期的不对称性AI 解读

Tests for business cycle asymmetries are developed for Markov-switching autoregressive models. The tests of deepness, steepness, and sharpness are Wald statistics, which have standard asymptotics. For the standard two-regime model of expansions and contractions, deepness is shown to imply sharpness (and vice versa), whereas the process is always nonsteep. Two and three-state models of U.S. GNP growth are used to illustrate the approach, along with models of U.S. investment…

非线性自回归检验AI 解读

conditional mean of an economic time series is linear in past values. Two specific tests are discussed, the Cramer-von Mises and the Kolmogorov-Smirnov tests. The particular feature of the proposed tests is that the bootstrap is used to estimate the nonstandard asymptotic distributions of the test statistics considered. The tests are justified theoretically by asymptotics, and their finite-sample behaviors are studied by means of Monte Carlo experiments. The tests are…

降秩回归模型中的秩检验AI 解读

There has recently been renewed research interest in the development of tests of the rank of a matrix. This article evaluates the performance of some asymptotic tests of rank determination in reduced rank regression models together with bootstrapped versions through simulation experiments. The bootstrapped procedures significantly improve on the performance of the corresponding asymptotic tests. The article also presents a Monte Carlo exercise comparing the forecasting…

间接推断、干扰参数与门限移动平均模型AI 解读

nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this simulation-based estimation method, and detail its use for detecting the threshold effect in threshold moving average models with contemporaneous and lagged asymmetries. In contrast to existing threshold models, these models allow taking into account the presence of asymmetric effects of current and lagged random shocks. We use them to measure the persistence of…

时变平滑转换自回归模型AI 解读

perceived as competing alternatives to linearity. In this article we study the so-called time-varying smooth transition autoregressive (TV-STAR) model, which can be used both for describing simultaneous nonlinearity and structural change and for distinguishing between these features. Two modeling strategies for empirical specification of TV-STAR models are developed. Monte Carlo simulations show that neither of the two strategies dominates the other. A…

内生延迟门限模型的贝叶斯分析AI 解读

autoregressive models: endogenous delay threshold. We apply our methods to the commonly used sunspot data set and find strong evidence in favor of the Endogenous Delay Threshold Autoregressive (EDTAR) model over linear and traditional threshold autoregressions.

分类因变量的灵活协方差结构：广义极值模型的有限混合AI 解读

miks), is introduced. These arise from the combination of a finite number of core Generalized Extreme Value (GEV) models to achieve more flexible functional forms, particularly in terms of error covariance structures. Example members of the class include combinations of (1) Multinomial Logit (MNL) models with differing scales, (2) multinomial logit with nested MNL models, (3) tree extreme value models with differing preference trees, and so on. Compatibility of FinMix models…

最终报价仲裁中的贝叶斯建模与计算AI 解读

behavior in final-offer arbitration. Posterior calculations are obtained using a Markov chain algorithm. An example is considered using salary data from Major League Baseball.

利用辅助信息构造权重以调整样本选择AI 解读

sample is not a random draw from the population of interest. Auxiliary information, in the form of moments from the population of interest, is exploited to compute weights that are proportional to the inverse probability of selection. The essential idea is to construct weights for each observation in the primary data such that the moments of the weighted data are set equal to the additional moments. The estimator is applied to the Dutch Transportation Panel, in which…

用倾向得分匹配估计反贫困项目的受益分布AI 解读

problem of estimating the distribution of net income gains from an Argentinean workfare program. PSM has a number of attractive features in this context, including the need to allow for heterogeneous impacts, while optimally weighting observed characteristics when forming a comparison group. The average direct gain to the participant is found to be about half the gross wage. Over half of the beneficiaries are in the poorest decile nationally, and 80% are in the poorest…