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动态线性模型中不同工具变量估计量的比较AI 解读

Using a dynamic linear equation that has a conditionally homoskedastic moving average disturbance, the authors compare two parameterizations of a commonly used instrumental variables estimator (Hansen (1982)) to one that is asymptotically optimal in a class of estimators that includes the conventional one (Hansen (1985)). They find that for some plausible data generating processes, the optimal one is distinctly more efficient asymptotically. Simulations indicate that, in…

若干 GMM 估计量的有限样本性质AI 解读

The authors investigate the small sample properties of three alternative generalized method of moments estimators of asset pricing models. The estimators that they consider include ones in which the weighting matrix is iterated to convergence and ones in which the weighting matrix is changed with each choice of the parameters. Particular attention is devoted to assessing the performance of the asymptotic theory for making inferences based directly on the deterioration of GMM…

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季节调整是线性还是非线性的数据滤波过程？AI 解读

The authors investigate whether seasonal adjustment procedures are linear data transformations. This question was addressed by A. H. Young (1968) and is important for the estimation of regression models with seasonally adjustment data. The authors focus on the X-11 program and rely on simulation evidence, involving linear unobserved component autorgressive integrated moving average models. They define and test a set of properties for the adequacy of a linear approximation to…

非线性协方差结构模型估计量的小样本性质AI 解读

This study examines the small sample properties of generalized method of moments (GMM) and maximood likelihood estimators of nonlinear models of covariance structure. It considers the properties of estimates for a simple factor model, the Hall and Mishkin (1982) model of consumption and income, and a simple structural vector-autoregression-type error model. This analysis establishes three basic results. First, optimally weighted GMM estimation yields some biased parameter…

随机波动率模型的 GMM 估计：蒙特卡洛研究AI 解读

We examine alternative generalized method of moments procedures for estimation of a stochastic autoregressive volatility model by Monte Carlo methods. We document the existence of a tradeoff between the number of moments, or information, included in estimation and the quality, or precision, of the objective function used for estimation. Furthermore, an approximation to the optimal weighting matrix is used to explore the impact of the weighting matrix for estimation,…

生成满足显示偏好弱公理及其他二元关系的数据子集的两种简单算法AI 解读

The authors give two algorithms which partition data into two subsets, a set consistent with the weak axiom of revealed preference (WARP) and its complement. Their main contribution is a very fast, but inexact, algorithm. The authors also describe an exact algorithm which will be impractical for large data sets. These same algorithms may be applied to several other binary relationships such the nonparametric production axioms. Since violations of WARP are also violations of…

无应答偏差与企业更替率：企业主特征调查案例AI 解读

This article considers the problem of nonresponse in the Characteristics of Business Owners survey. It presents a novel approach for assessing the extent to which nonresponse is nonignorable. The method exploits the fact that all of the owners of multiowner firms were surveyed. The article uses information received from a responding owner to derive inferences about a nonresponding owner of the same firm. It provides evidence that nonrespondents are more likely than…

利用消费者购买历史推断选择过程的阶数AI 解读

The small sample properties of the multinominal runs test, which is often used to test for effects of previous brand choices on current brand choice probabilities, are explored in this study through a Monte Carlo study of different buyer-level brand choice probability models. The power and the actual size of this test, under a null hypothesis of no previous brand choice effects, are shown to depend on the nature of the true underlying model, length of purchase history, and…

为什么有些行业的周期性更强？AI 解读

This paper is an empirical examination of why some industries are far more cyclical than others. Using highly disaggregate panel data, the authors examine which elements of technology and market structure appear to be most closely associated with differences in cyclicality across industries. They find that durable goods industries are approximately three times more cyclical than nondurable goods industries. Within durable goods industries, the proportion of variable and…

宏观时间序列冲击的持续性：来自经济理论的若干证据AI 解读

This paper presents new estimates of persistence of shocks to quarterly labor income, monthly Treasury bill yields, and annual real common stock dividends. The authors replace orthogonality conditions involving near unit root instruments with restrictions on innovation variances implied by a generalized version of the permanent income hypothesis, a term structure model, and constant discount rate efficient markets model. Conditional on these theories, they obtain precise…

协整向量可识别性的检验AI 解读

This paper analyzes the identification and normalization of cointegrating vectors. Normalizing a cointegrating relation with respect to one of the relevant variables is with loss of generality; and restrictions which are supposed to identify a vector may fail to do so for particular parameter values. The author proposes to tackle both problems by testing whether particular rank conditions are violated. He shows that S. Johansen and K. Juselius's (1992) class of likelihood…

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计数数据回归模型的 R² 度量及其医疗服务利用应用AI 解读

For regression models other than the linear model, R-squared type goodness-to-fit summary statistics have been constructed for particular models using a variety of methods. The authors propose an R-squared measure of goodness of fit for the class of exponential family regression models, which includes logit, probit, Poisson, geometric, gamma, and exponential. This R-squared is defined as the proportionate reduction in uncertainty, measured by Kullback-Leibler divergence, due…

含趋势的AR(1)模型中自助t检验的水平与功效AI 解读

This paper considers a first-order autoregressive model which may include an intercept and trend where the innovations are independently and identically distributed. The innovation distribution is assumed unknown. The autoregressive parameter is tested using the conventional t statistic. The paper presents Monte Carlo estimates of the rejection probability of the test with bootstrap-based critical values. The results show that the test with the bootstrap-based critical value…

计数数据回归模型的 R² 指标及其在医疗服务利用中的应用AI 解读

For regression models other than the linear model, R-squared type goodness-to-fit summary statistics have been constructed for particular models using a variety of methods. The authors propose an R-squared measure of goodness of fit for the class of exponential family regression models, which includes logit, probit, Poisson, geometric, gamma, and exponential. This R-squared is defined as the proportionate reduction in uncertainty, measured by Kullback-Leibler divergence, due…

作为降秩回归的套利定价理论模型AI 解读

Integrating the two steps of an arbitrage pricing theory (APT) model leads to a reduced rank regression (RRR) model. So the results on RRR can be used to estimate APT models, making estimation very simple. The authors give a succinct derivation of estimation of RRR, derive the asymptotic variance of RRR estimators for a general cause, and discuss how undersized samples (more assets than time periods) can be dealt with.

含趋势 AR(1) 模型中 Bootstrap t 检验的水平与功效AI 解读

This paper considers a first-order autoregressive model which may include an intercept and trend where the innovations are independently and identically distributed. The innovation distribution is assumed unknown. The autoregressive parameter is tested using the conventional t statistic. The paper presents Monte Carlo estimates of the rejection probability of the test with bootstrap-based critical values. The results show that the test with the bootstrap-based critical value…

周期性自回归条件异方差AI 解读

Most high frequency asset returns exhibit seasonal volatility patterns. This paper proposes a new class of periodic ARCH, or P-ARCH, models explicitly designed to capture the repetitive variation in the second order moments. The importance of the informational loss associated with the implicit relation between P-GARCH structures and the corresponding time-invariant seasonal weak GARCH processes are quantified through the use of Monte Carlo simulation methods. Two empirical…

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阶梯形 VARMA 模型的设定AI 解读

The echelon form of a vector autoregressive moving average (VARMA) model is considered. Its advantages over other identified VARMA representations are discussed. Furthermore, a general strategy for specifying echelon form VARMA models from data is presented. Specifically, procedures for choosing the Kronecker indices that characterize an echelon form are reviewed. The feasibility of the method is demonstrated by analyzing a well-known set of flour price time series and the…