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专利数据分析：混合泊松回归模型方法AI 解读

Count-data models are used to analyze the relationship between patents and research and development spending at the firm level, accounting for overdispersion using a finite mixed Poisson regression model with covariates in both Poisson rates and mixing probabilities. Maximum likelihood estimation using the EM and quasi-Newton algorithms is discussed. Monte Carlo studies suggest that (1) penalized likelihood criteria are a reliable basis for model selection and can be used to…

动态二元混合模型：价格与交易量行为建模AI 解读

Bivariate mixture models have been used to explain the stochastic behavior of daily price changes and trading volume on financial markets. In this class of models, price changes and volume follow a mixture of bivariate distributions with the unobservable number of price-relevant information serving as the mixing variable. The time series behavior of this mixture variable determines the dynamics of the price-volume system. In this article, bivariate mixture specifications…

以样本外预测表现检验时间序列非线性AI 解读

This article uses a local-information, near-neighbor forecasting methodology as a prediction test for evidence of a noisy, chaotic data-generating process underlying the Divisia monetary-aggregate series. Using a nonparametric method known to perform well with low-dimensional chaotic processes infected by noise, accompanied by a robust test of forecast performance evaluation, the authors compare out-of-sample forecasting accuracy from the local-information method to…

推广用于区域行业间就业预测的贝叶斯向量自回归方法AI 解读

The Bayesian vector autoregression (BVAR) employment-forecast approach is generalized using data for the state of Georgia. This study advances previous regional BVAR approaches by (1) incorporating regional input-output coefficients, (2) using the coefficients both to specify the prior means in one model and to weight the variances of a Minnesota-type prior in a second model, and (3) including final-demand effects and links to national and world economies. Out-of-sample…

预定工具变量下的面板有效估计：矩条件估计量的实证比较AI 解读

The author examines the empirical performance of instrumental variables estimators with predetermined instruments in an application to life-cycle labor supply under uncertainty. The estimators studied are two stage least squares, generalized method-of-moments (GMM), forward filter, independently weighted GMM, and split-sample instrumental variables. The author compares the bias/efficiency trade-off for the estimators using bootstrap algorithms suggested by D. A. Freedman…

德国与美国失业序列中估计季节与非季节成分的周期相关性AI 解读

The authors examine the orthogonality assumption of seasonal and nonseasonal components for official quarterly unemployment figures in Germany and the United States. Although nonperiodic correlations do not seem to reject the orthogonality assumption, a periodic analysis based on correlation functions that vary with the seasons indicates the violation of orthogonality. The authors find that the unadjusted data can be described by periodic autoregressive models with a unit…

小规模单位样本中的群体隔离测度AI 解读

Standard indexes of segregation measure a sample's distance from evenness, which occurs when each sample unit ( e.g., an occupation) has the population share of both the minority and majority groups. The authors show that random allocation of individuals to units generates substantial unevenness among small units and, hence, that standard segregation indexes reflect random allocation as well as systematic group segregation. They then modify two popular indexes so that they…

动态渐近理想模型与有限阶逼近AI 解读

The authors extend W. A. Barnett and A. Jonas's (1983) asymptotically ideal model (AIM) to model for the possibility that the data were generated by a dynamic process. Prediction errors for dynamic and static AIM models are compared for various simulated datasets. Monetary data are also used to evaluate the AIM specifications. There is substantial evidence that an AR(1) correction considerably improves the quality of low-order finite approximations of AIM with the cost of…

商业周期特征的度量与比较AI 解读

Since the extensive work by Burns and Mitchell, many economists have interpreted economic fluctuations in terms of business-cycle phases. Given this, the authors argue that, in addition to usual model-selection criteria currently used in the profession, the adequacy of a univariate macroeconomic time series model should be based on its ability to replicate two important business-cycle features of the U.S. data-duration and amplitude. The authors propose several checks for…

季节调整与其他数据变换AI 解读

In this paper, it is shown that the case for using optimal signal extraction filters is not all that convincing once it is recognized that seasonal adjustment is typically not the only transformation applied to data. Seasonal adjustment is viewed as any general linear filter. All other data transformations are also assumed to be linear. While optimal filters always dominate uniform filters, their dominance critically depends on performing seasonal adjustment and the other…

长期识别限制何时能够给出可靠结果？AI 解读

Many recent articles have identified behavioral disturbances in vector autoregressions by imposing restrictions on the long-run effects of shocks. This article demonstrates that this approach will be unreliable unless the underlying economy satisfies three types of strong restrictions. Although many aspects of these issues have been raised before, this article draws out and illustrates the implications for inferences under the long-run scheme. Furthermore, it provides…

指数序列的拼接AI 解读

This article demonstrates the compelling case for using the geometric mean formula for splicing overlapping index number series. The justification for using the geometric mean rests on the fact that it is the only symmetric mean formula that generates a spliced series that is invariant to rescaling of the original series.

消费者选择行为中的异质性与状态依赖建模AI 解读

In frequently-purchased-consumer-goods markets, consumer brand choices exhibit substantial persistence across purchase occasions. In this article, the author estimates a choice model that admits of both heterogeneity in preferences and true state dependence as sources of this persistence, using Nielsen scanner data on ketchup. He finds evidence for true state dependence in the choice process, even after controlling for a rich heterogeneity structure. Simulation of the model…

非参数回归的一致显著性检验AI 解读

This article presents a framework for individual and joint tests of significance employing nonparametric estimation procedures. The proposed test is based on nonparametric estimates of partial derivatives, is robust to functional misspecification for general classes of models, and employs nested pivotal bootstrapping procedures. Two simulations and one application are considered to examine size and power relative to misspecified parametric models and to test for the linear…

周度观测的建模与季节调整AI 解读

Several important economic time series are recorded on a particular day every week. Seasonal adjustment of such series is difficult because the number of weeks varies between 52 and 53 and the position of the recording day changes from year to year. In addition certain festivals, most notably Easter, take place at different times according to the year. This article presents a solution to problems of this kind by setting up a structural time series model that allows the…

最后通牒议价分析：形状约束下两条效力曲线的贝叶斯比较AI 解读

An experiment designed to test whether experimenter observation influences play of the ultimatum game led to a comparison of proportions of perfect equilibria obtained under different conditions. The authors' analysis features a Bayesian approach to this comparison. Their method extends recent work in the nonparametric Bayesian analysis of bioassay problems when the prior constrains the form of the potency curve. Sampling-based approaches to calculating posterior features of…

自回归时间序列面板数据的贝叶斯分析AI 解读

The authors describe a Bayesian hierarchical model to analyze autoregressive time series panel data. They develop two algorithms using Markov-chain Monte Carlo methods, a restricted algorithm that enforces stationarity or nonstationarity conditions on the series, and an unrestricted algorithm that does not. Two examples show that restricting stationary series to be stationary provides no new information but restricting nonstationary series to be stationary leads to…

健康与生存不确定性对生命末期消费的影响AI 解读

This paper analyzes the impact of health and survival uncertainty on the saving and consumption decisions of retirees. A dynamic programming approach is used to model the household's planning problem. The utility parameters are estimated using panel data. The authors find that a fall into poor health raises the marginal utility from consumption. Simulations are used to indicate the effects of falling into poor health and loss of spouse. They reveal a large transfer from the…

拍卖与议价：秘密保留价木材拍卖的计量研究AI 解读

This article considers a first-price sealed-bid auction at which the seller's reservation price is not announced in advance. We allow for a second round of bargaining and consider the Nash bargaining outcome when the object is unsold after the auctioning round. We characterize the bidders' and seller's Bayesian Nash equilibrium strategies. The distributions of the buyers' and seller's private values are estimated by nonlinear least squares from auction data on standing…

不完全市场下农业环境中的动态储蓄决策AI 解读

A methodology is developed for examining savings behavior in rural areas of developing countries that explicitly incorporates the sequential decision process in agriculture. The approach is used to examine the relative importance of alternative forms of savings in the presence and absence of formal financial intermediaries. The authors' results, based on stage-specific panel data from Pakistan, provide evidence that the presence of financial intermediaries importantly…

家庭行为的跨国微观计量比较AI 解读

This paper reviews the methodological issues associated with estimating and testing competitive markets with panel data and applies it to international economics. The authors investigate differences in housing consumption and male labor supply across households in Germany and the United States. Observations are treated as equilibrium outcomes, generated by a set of competitive markets which accommodate varying degrees of integration. After controlling for differences in the…

最优求职模型中的精确结构推断AI 解读

This paper is a study of the exact posterior distributions of parameters in a stationary optimal job search model. The author exploits the simple latent structure of the search model when all job offers are observed to stimulate posterior distributions of structural parameters when the latent structure is imperfectly observed. These simulations enable him to show the unusual shape of the job search likelihood when the data are durations and accepted wages. The author also…

利用逻辑斯蒂回归与汇总统计量的经验贝叶斯小区域估计AI 解读

Many available methods for estimating small area parameters are model-based, where auxiliary variables are used to predict the variable of interest. For nonlinear models, prediction is not straightforward. MacGibbon and Tomberlin (1989) and Farrell, MacGibbon, and Tomberlin (1994) have proposed methods which require micro-data for each individual in a small area. Here, the authors use a second-order Taylor series expansion to obtain model-based predictions which only require…

进一步考察国民生产总值的单位根不确定性AI 解读

A more powerful version of the augmented Dickey–Fuller test and a test that has trend stationarity as the null are applied to U.S. gross national product. Simulated critical values generated from plausible trend- and difference-stationary models are used to minimize possible finite-sample biases. The discriminatory power of the two tests is evaluated using alternative-specific rejection frequencies. For postwar quarterly data, these two tests do not provide a definite…