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金融企业的货币服务生产：广义对称 Barnett 可变利润函数方法AI 解读

A financial firms' production model is employed to investigate monetary aggregation. Financial firms are conceived to produce monetary services as outputs through financial intermediation. A new method for testing the existence of consistent monetary output aggregates in financial firms' production technology is developed in terms of the variable profit function and the method does not require homotheticity of the aggregator function. The authors utilize a generalized…

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截断偏差与收入不平等的序数评价AI 解读

Lorenz dominance analysis is used to examine the effect of top-coding on the ordinal evaluation of U.S. income inequality across time. Current Population Survey microdata are adjusted for truncation bias, and statistical inference procedures are used to examine biennial changes in unadjusted and adjusted Lorenz curves. Beginning in 1985, the truncation bias has a significant effect on ordinal rankings of income inequality.

企业调查中税务记录的两阶段抽样AI 解读

A two-phase design used to sample tax records of businesses to obtain annual estimates of Canadian economic production is described. Classification information obtained from units in the first-phase sample is used during stratification for selection of the second-phase sample. Bernoulli sampling is employed. Given multiple precision constraints, optimal allocation requires solution of a convex programming problem. An approximate method is described and compared to the…

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提高数据收集效率：经济调查的通用受访者追访策略AI 解读

A major thrust of some large statistical agencies with regard to their survey operations over the past few years has been to reduce respondent burden, increase the efficiency of their production process, improve the quality of end products, and respond to new information needs. To meet these objectives, a rethinking of some production processes has been necessary. This article describes an overall strategy for respondent follow-up in economic surveys. The results of a trial…

评论AI 解读

I show that the Engle–Kozicki formulation of common features—applied to international business cycles—has some surprising, counterintuitive, and, I argue, undesirable implications. Such implications can be derived only on a case-by-case basis, however, and are necessarily specific to each application. Therefore, some attention to those possibilities might usefully accompany each application of the general common-features principle.

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《共同特征检验》评论AI 解读

I show that the Engle-Kozicki formulation of common features--applied to international business cycles--has some surprising, counterintuitive, and, I argue, undesirable implications. Such implications can be derived only on a case-by-case basis, however, and are necessarily specific to each application. Therefore, some attention to those possibilities might usefully accompany each application of the general common-features principle.

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共同特征检验AI 解读

This article introduces a class of statistical tests for the hypothesis that some feature that is present in each of several variables is common to them. Features are data properties such as serial correlation, trends, seasonality, heteroscedasticity, autoregressive conditional heteroscedasticity, and excess kurtosis. A feature is detected by a hypothesis test taking no feature as the null, and a common feature is detected by a test that finds linear combinations of…

欧洲货币体系周度汇率的信息：均值回归、条件异方差与跳跃AI 解读

Weekly rates of the European Monetary System (EMS) vis-a-vis the Deutsche mark from April 1979 to March 1991 are modeled as a combined MA (1)-GARCH (1, 1)-jump process. The moving average (MA) part accounts for mean reversion required for the rates to stay inside the target zone. The generalized autoregressive conditional heteroscedasticity (GARCH) part accounts for changing volatility, whereas the jump process models parity changes and other erratic movements. Using an…

基于马尔可夫转换模型的经济周期分析AI 解读

This article explores the Hamilton Markov-switching model through an analysis of the business cycles of eight developed market economies. Forecasting and specification tests suggest only marginal improvements over linear autoregressive models. Yet filtered and smoothed conditional probabilities indicate turning points in business cycles that closely correlate with turning points from traditional methods. Tests regarding the asymmetry of business cycles reject the null of…

移动平均参数估计：经典估计的堆积现象与贝叶斯后验AI 解读

The authors analyze posterior distributions of the moving average parameter in the first-order case and sampling distributions of the corresponding maximum likelihood estimator. Sampling distributions 'pile up' at unity when the true parameter is near unity; hence, if one were to difference such a process, estimates of the moving average component of the resulting series would spuriously tend to indicate that the process was overdifferenced. Flat-prior posterior…

利用后验赔率检测多个方差变点AI 解读

This article uses a Bayesian procedure based on obtaining posterior odds to assess the evidence about the existence of multiple changes of variance in a time series. The approach is developed for sequences of independent observations. An extension to consider autoregressive models is also discussed. The information on the data about the location of the change points and the magnitude of the variances at the different pieces of the series is summarized through posterior…

作为不可观测成分的远期外汇溢价：札记AI 解读

We reconsider the signal-extraction approach to measuring premia in the pricing of forward foreign exchange, put forward by Wolff, in which the difference between the forward rate and the associated future spot rate is modeled as an autoregressive moving average (ARMA) model for the risk premium buried in a white-noise forecast error. We point out that an ARMA model for the risk premium is not always identifiable from information on the difference between the forward rate…

多产出确定性非参数前沿模型中的异常值检测AI 解读

This article provides a statistical methodology for identifying outliers in production data with multiple inputs and outputs used in deterministic nonparametric frontier models. The methodology is useful in identifying observations that may contain some form of measurement error and, thus, merit closer scrutiny. When data checking is costly, the methodology may be used to rank observations in terms of their dissimilarity to other observations in the data, suggesting a…