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对《随机波动模型的贝叶斯分析》的评论AI 解读

This article contains comments on “Bayesian Analysis of Stochastic Volatility Models,” by Jacquier, Poison, and Rossi. The Markov-chain Monte Carlo (MCMC) method proposed is compared empirically with a simulated maximum likelihood (SML) method. The MCMC and SML estimators yield very similar results, both when applied to actual data and in a Monte Carlo experiment.

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随机波动模型的贝叶斯分析AI 解读

New techniques for the analysis of stochastic volatility models in which the logarithm of conditional variance follows an autoregressive model are developed. A cyclic Metropolis algorithm is used to construct a Markov-chain simulation tool. Simulations from this Markov chain converge in distribution to draws from the posterior distribution enabling exact finite-sample inference. The exact solution to the filtering/smoothing problem of inferring about the unobserved variance…

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灵活函数形式的曲率约束：Minflex Laurent近乎理想需求系统的西班牙应用AI 解读

Curvature Restrictions on Flexible Functional Forms: An Application of the Minflex Laurent Almost Ideal Demand System to the Pattern of Spanish Demand, 1954-1987, Journal of Business & Economic Statistics, Vol. 12, No. 4 (Oct., 1994), pp. 431-436

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《随机波动模型的贝叶斯分析》评论AI 解读

This article contains comments on 'Bayesian Analysis of Stochastic Volatility Models,' by Jacquier, Polson, and Rossi. The Markov-chain Monte Carlo (MCMC) method proposed is compared empirically with a simulated maximum likelihood (SML) method. The MCMC and SML estimators yield very similar results, both when applied to actual data and in a Monte Carlo experiment.

基于数据预检验选模的时间序列单位根检验AI 解读

In this article we examine the impact of data-based lag-length estimation on the behavior of the augmented Dickey–Fuller (ADF) test for a unit root. We derive conditions under which the ADF test converges to the distribution tabulated by Dickey and Fuller and verify that these conditions are satisfied by several commonly employed lag-selection strategies. Simulation evidence indicates that the performance of the ADF test is considerably improved when the lag length is…

灵活函数形式的曲率约束：Minflex Laurent 几乎理想需求系统的西班牙应用AI 解读

This article introduces a new demand model labeled Minflex Laurent almost ideal demand system, which has been achieved by combining the flexible functional Minflex Laurent form with the price-independent generalized logarithm expenditures structure introduced by Muellbauer. The model has been applied to analyze the aggregate demand behavior of final consumer goods in the Spanish economy from 1954 to 1987. When the flexible functional form has been empirically tested, the…

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灵活函数形式下的贝叶斯效率分析：AIM 成本函数AI 解读

In this article, the authors describe the use of Gibbs sampling methods for drawing posterior inferences in a cost frontier model with an asymptotically ideal price aggregator, nonconstant returns to scale, and composed error. An empirical example illustrates the sensitivity of efficiency measures to assumptions made about the functional form of the frontier. The authors also examine the consequences of imposing regularity through parametric restrictions alone.

机制转换 ARCH 的马尔可夫模型AI 解读

In this article I present a new approach to model more realistically the variability of financial time series. I develop a Markov-ARCH model that incorporates the features of both Hamilton's switching-regime model and Engle's autoregressive conditional heteroscedasticity (ARCH) model to examine the issue of volatility persistence in the monthly excess returns of the three-month treasury bill. The issue can be resolved by taking into account occasional shifts in the…

商业周期的周期性结构AI 解读

This article tests whether an economic recovery is equally likely to occur in any month of the year. I test this hypothesis with a homogeneous Markov switching-regime model and use the turning-point dates for business cycles marked by the National Bureau of Economic Research and Romer. I tend to find equal probabilities to switch from recession to expansions. In particular, the spring and the month of December appear to have higher incidence of economic recovery. My results…

将潜在产出作为潜变量进行估计AI 解读

This article proposes a new method for estimating potential output in which potential real gross domestic product (GDP) is modeled as an unobserved stochastic trend and deviations of GDP from potential affect inflation through an aggregate supply relationship. The output and inflation equations together form a bivariate unobserved-components model that is estimated via maximum likelihood through the use of the Kalman-filter algorithm. The procedure yields a measure of…

应用于面板数据的随机系数 Logit 品牌选择模型AI 解读

A random-coefficients logit model that allows for unobserved heterogeneity in brand preferences and in the responses to marketing variables is empirically investigated using household-level panel data. The unknown underlying distribution of unobserved heterogeneity is approximated by a discrete distribution. The results reveal that there is significant unobserved heterogeneity across households and that ignoring its effects results in a downward bias in the parameter…

线性二次模型中的协整检验AI 解读

This article evaluates the finite-sample performance of various tests for cointegration by Monte Carlo methods. The evaluation takes place within the linear quadratic model. The results indicate sharp differences in the ability of the tests to detect cointegrating relations, especially when the cost-of-adjustment term and the number of regressors are large. Although no single test dominates for all the parameter settings considered, overall the augmented Dickey-Fuller,…