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单位根检验与非对称调整：利率期限结构示例AI 解读

This article develops critical values to test the null hypothesis of a unit root against the alternative of stationarity with asymmetric adjustment. Specific attention is paid to threshold and momentum threshold autoregressive processes. The standard Dickey–Fuller tests emerge as a special case. Within a reasonable range of adjustment parameters, the power of the new tests is shown to be greater than that of the corresponding Dickey–Fuller test. The use of the tests is…

家庭批量购买情形下的食品支出估计AI 解读

The aim of this article is the estimation of annual food expenditures with limited information about bulk purchases with data from a Spanish household-budget survey for 1990-91. Three alternatives are compared. The first, currently used for official purposes, does not use all the information. The second uses all the available information in a rough way. The third assumes a formal model for the unknown frequency of purchases. The three alternatives are compared by a…

非高斯随机波动率模型的极大似然方法AI 解读

A maximum likelihood approach for the analysis of stochastic volatility models is developed. The method uses a recursive numerical integration procedure that directly calculates the marginal likelihood. Only conventional integration techniques are used, making this approach both flexible and simple. Experimentation shows that the method matches the performance of the best estimation tools currently in use. New stochastic volatility models are introduced and estimated. The…

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股票市场数据的真实与伪长记忆性质AI 解读

We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure of Lobato and Robinson. Spurious results can be produced by nonstationarity and aggregation. We address these problems by analyzing subperiods of returns and using individual stocks. The test results show no evidence of long memory in the returns. By contrast, there is strong evidence in the squared returns.

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含大量零值总体均值的置信区间构造AI 解读

Alan H. Kvanli, Yaung Kaung Shen, Lih Yuan Deng, Construction of Confidence Intervals for the Mean of a Population Containing Many Zero Values, Journal of Business & Economic Statistics, Vol. 16, No. 3 (Jul., 1998), pp. 362-368

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基于基尼系数的税收累进性指数推断检验AI 解读

Distribution-free statistical inference procedures for changes in Lorenz- and Gini-based indexes of tax progressivity are developed and applied. Related but distinct tests for the Reynolds-Smolensky index of residual progression and the Kakwani index of liability progression are provided. The inference procedures are illustrated by applying them to Luxembourg Income Study microdata for Sweden, the United Kingdom, and the United States before and after periods of tax reform.…

市场失灵剖析：纽约证券交易所停牌事件（1974—1988）AI 解读

A cross-sectional analysis of all trading suspensions that occurred during the period 1974-88 in the New York Stock Exchange reveals that, though the desire to maintain price continuity remains an important motivation to suspend trade, inventory-imbalance fears are pronounced for large firms. Adverse-selection concerns afflict all news-related suspensions irrespective of firm size. Furthermore, the authors find substitutability among the various dimensions of liquidity:…

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X-12-ARIMA 季节调整程序的新功能与方法——回复AI 解读

David F. Findley, Brian C. Monsell, William R. Bell, Mark C. Otto, Bor-Chung Chen, [New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program]: Reply, Journal of Business & Economic Statistics, Vol. 16, No. 2 (Apr., 1998), pp. 169-177