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存在异常值时的平滑转换非线性检验AI 解读

Regime-switching models, like the smooth transition autoregressive (STAR) model, are typically applied to time series of moderate length. Hence, the nonlinear features that these models intend to describe may be reflected in only a few observations. Conversely, neglected outliers in a linear time series of moderate length may incorrectly suggest STAR (or other) type(s of) nonlinearity. In this article, the authors propose outlier robust tests for STAR-type nonlinearity.…

政府项目的生活成本指数化调整AI 解读

This article presents social cost-of-living indexes constructed from an econometric model of aggregate consumer behavior. The econometric price index has the same average inflation rate as a Tornqvist price index over the period 1947-95 but rises less rapidly after 1973. Group cost-of-living indexes are presented for white and nonwhite, male- and female-headed, and elderly and nonelderly households. Elderly households have experienced a slightly higher rate of inflation than…

多选择 Logit：古典音乐会不完整偏好排序的建模AI 解读

In this article we develop an econometric model to analyze data on incomplete information on preferences. The available information consists of groups of alternatives that are preferred to other groups of alternatives. Only for the most preferred group is a full ranking observed. The resulting model is estimated on data concerning preferences on classical concerts.

面板数据的对称归一化工具变量估计AI 解读

The authors discuss the estimation of linear panel-data models with sequential moment restrictions using symmetrically normalized generalized method of moments (SNM) estimators and limited information maximum likelihood (LIML) analogues. These estimators are asymptotically equivalent to standard generalized method of moments (GMM) estimators but are invariant to normalization and tend to have a smaller finite-sample bias, especially when the instruments are poor. The authors…

预测不必要住院索赔比例的分层贝叶斯模型AI 解读

A nonacceptable claim (NAC) is an insurance claim for an unnecessary hospital stay. This study establishes a statistical model that predicts the NAC rate. The model supplements current insurer programs that rely on detailed audits of patient medical records. Hospital discharge claim records are used as inputs in the statistical model to predict retrospectively the probability that a hospital admission is nonacceptable. A full Bayesian hierarchical logistic regression model…

多选择 Logit：古典音乐会不完整偏好排序建模AI 解读

Hans van Ophem, Piet Stam, Bernard van Praag, Multichoice Logit: Modeling Incomplete Preference Rankings of Classical Concerts, Journal of Business & Economic Statistics, Vol. 17, No. 1 (Jan., 1999), pp. 117-128

时间聚合对实证分析的若干影响AI 解读

The author derives the generating mechanism of a temporally aggregated process when the disaggregated one belongs to the vector autoregressive integrated moving average class. He then studies the effects of temporal aggregation on a set of characteristics of usual interest such as exogeneity, causality, cointegration, and common features. An empirical example with Canadian interest rates illustrates the main issues.

有限非平稳时间序列滤波的三种等价方法AI 解读

To estimate the components in an unobserved autoregressive integrated moving average components model, three different approaches can be used--Kalman filtering plus smoothing, Wiener-Kolmogorov filtering, and penalized least squares smoothing. It is shown, in the article, that the three approaches are equivalent. As an application, it is shown that any of the three approaches can be used to filter a series with the Hodrick-Prescott filter but that Wiener-Kolmogorov filtering…

ARCH 效应的新检验及其有限样本表现AI 解读

We propose a test for autoregressive conditional heteroscedasticity based on a weighted sum of the squared sample autocorrelations of squared residuals from a regression, typically with greater weight given to lower-order lags. The tests of Engle, Box and Pierce, and Ljung and Box are equivalent to the test with equal weighting. Our test does not require formulation of an alternative and permits choice of the lag number via data-driven methods. Simulation studies show that…

基于对称估计量的双重单位根半参数检验AI 解读

The authors develop new semiparametric tests for double unit roots under a weakly dependent error structure of Phillips for tests for a unit root. The tests are based on symmetric estimation of Sen and Dickey. Through Monte Carlo simulations, the new tests are compared with the tests of Haldrup and of Dickey and Pantula. Their tests have empirical sizes close to the nominal size even when the innovations follow a negatively autocorrelated moving average, for which the…

计量经济学中先验密度比类的稳健性AI 解读

This article provides a generic, very fast method for computing exact density-ratio class bounds on posterior expectations, given the output of a posterior simulator. It illustrates application of the method in an econometric model of typical complexity. In this model, the exact bounds for expectations of some functions of interest are well approximated by the established asymptotic approximation but others are not. Software for the computations is publicly available in a…

协整与长期预测AI 解读

The authors consider the forecasting of cointegrated variables and they show that, at long horizons, nothing is lost by ignoring cointegration when forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. The authors' results highlight a potentially important deficiency of standard forecast accuracy measures--they fail to value the maintenance of cointegrating relationships among…

澳大利亚通胀建模AI 解读

This article develops an empirically constant, data-coherent, error-correction model for inflation in Australia. The level of consumer prices is a markup over domestic and import costs, with adjustments for dynamics and relative aggregate demand. The authors address issues of cointegration, general to specific modeling, dynamic specification, model evaluation and testing, parameter constancy, forecasting, and exogeneity. They also test this model against existing models of…

外生性、协整与经济政策分析AI 解读

This overview examines conditions for reliable economic policy analysis based on econometric models, focusing on the econometric concepts of exogeneity, cointegration, causality, and invariance. Weak, strong, and super exogeneity are discussed in general and these concepts are then applied to the use of econometric models in policy analysis when the variables are cointegrated. Implications follow for model constancy, the Lucas critique, equation inversion, and impulse…

线性约束下多元时间序列干预效应的测量：银行业实例AI 解读

The authors consider the problem of estimating the effects of an intervention on a time-series vector subjected to a linear constraint. Minimum variance linear and unbiased estimators are provided for two different formulations of the problem--(1) when a multivariate intervention analysis is carried out and an adjustment is needed to fulfill the restriction and (2) when a univariate intervention analysis was performed on the aggregate series obtained from the linear…

协整分析中的异常值检测AI 解读

Standard unit-root and cointegration tests are sensitive to atypical events such as outliers and structural breaks. In this article, the authors use outlier-robust estimation techniques to examine the impact of these events on cointegration analysis. Their outlier-robust cointegration test provides a new diagnostic tool for signaling when standard cointegration results might be driven by a few aberrant observations. A main feature of the authors' approach is that the…

部分系统中协整秩的渐近推断AI 解读

The likelihood ratio test for cointegrating rank is analyzed for partial (or conditional) systems in the vector autoregressive error-correction model. Under the assumption of weak exogeneity for the cointegrating parameters, the asymptotic distributions are given and tables of critical values are provided. A discussion is given of some of the assumptions of the model, why they are needed, and how they are tested.

澳大利亚通胀建模AI 解读

This article develops an empirically constant, data-coherent, error-correction model for inflation in Australia. The level of consumer prices is a markup over domestic and import costs, with adjustments for dynamics and relative aggregate demand. The authors address issues of cointegration, general to specific modeling, dynamic specification, model evaluation and testing, parameter constancy, forecasting, and exogeneity. They also test this model against existing models of…

货币期权隐含的波动率风险溢价AI 解读

This article provides an empirical investigation of the risk-neutral variance process and the market price of variance risk implied in the foreign-currency options market. There are three principal contributions. First, the parameters of Heston's mean-reverting square-root stochastic volatility model are estimated using dollar/mark option prices from 1987 to 1992. Second, it is shown that these implied parameters can be combined with historical moments of the dollar/mark…

大量零值总体的均值置信区间构造AI 解读

The likelihood ratio method is used to construct a confidence interval for a population mean when sampling from a population with certain characteristics found in many applications, such as auditing. Specifically, a sample taken from this type of population usually consists of a very large number of zero values, plus a small number of nonzero values that follow some continuous distribution. In this situation, the traditional confidence interval constructed for the population…

条件异方差因子模型的EM算法AI 解读

This article discusses the application of the EM algorithm to factor models with dynamic heteroscedasticity in the common factors. It demonstrates that the EM algorithm reduces the computational burden so much that researchers can estimate such models with many series. Two empirical applications with 11 and 266 stock returns are presented, confirming that the EM algorithm yields significant speed gains and that it makes unnecessary the computation of good initial values.…

局部最优的季节单位根检验AI 解读

This article proposes a locally best invariant test of the null hypothesis of seasonal stationarity against the alternative of seasonal unit roots at all or individual seasonal frequencies. An asymptotic distribution theory is derived and the finite-sample properties of the test are examined in a Monte Carlo simulation. My test is also compared with the Canova and Hansen test. The proposed test is superior to the Canova and Hansen test in terms of both size and power.

调查误差自相关的估计及其在小区域趋势估计中的应用AI 解读

This article describes a simple method of estimating the autocorrelations of survey errors for the case of routing-panel sampling designs. Such designs are in routine use, for example, in labor force surveys (LFS). The survey-error autocorrelations induce spurious trends that need to be separated from the trend of the population values when the latter is of interest. This can be achieved by use of simple state-space models that combine the model holding for the population…

住宅成交数据的时空建模AI 解读

This article focuses on the location, time, and spatio-temporal components associated with suitably aggregated data to improve prediction of individual asset values. Such effects are introduced in the context of hierarchical models, which we find more natural than attempting to model covariance structure. Indeed, our cross-sectional database, a sample of 7,936 transactions for 49 subdivisions over a 10-year period in Baton Rouge, Louisiana, precludes covariance modeling. A…