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多元杂志阅读接触次数分布的马尔可夫链模型AI 解读

A multivariate magazine-exposure model that generalizes Danaher's univariate model is developed. Let S i be the number of issues of magazine i a person reads (Si = 0, 1, …, ki , i = 1, …, m). My Markov-chain model considers both within- and between-magazine correlation with the result that S1,…., S m are conditionally independent given the reading outcome for the first issue of each magazine. I am ultimately interested in modeling S T = σ m i=1 Si , the total number of…

不可观测成分时间序列模型的诊断检验AI 解读

Diagnostic checking of time-series models is normally carried out using the innovations, that is the one-step ahead prediction errors. In an unobserved components model, other sets of residuals are available. These auxiliary residuals are estimators of the disturbances associated.with the unobserved components. The article shows how the properties of the auxiliary residuals may be obtained, how they are related to each other and to the innovations, and how they can be used…

摘要暂缺

预测表现的简单非参数检验AI 解读

This paper derives a distribution free procedure for testing the accuracy of forecasts when the focus of the analysis is on the correct prediction of the direction of change in the variable under consideration. The test applies to a general m x n contingency table and it is shown that the standard null hypothesis of independence in a contingency table implies the null hypothesis of the proposed test of predictive failure but not vice versa. As a test of predictive…

利润导向损失函数下的估计AI 解读

Consider the problem of estimating a price-sensitivity parameter in a demand model. Depending on the context in which the estimate will be used, traditional squared-error loss may be inappropriate. The authors consider the situation in which the estimate will be used by a manufacturer to set the price. Effectively, the manufacturer's goal of profit maximization induces a loss function that turns out to be asymmetric. Estimates that perform well with respect to such loss…

利用 NAPM 数据比较定性调查回答的不同量化方法AI 解读

This article examines the effectiveness of a subjective probability approach to quantify three-category qualitative responses from expectations surveys. Since one cannot make a judgment on the validity of estimated expectations by comparing them with ex post outcomes, the authors use the National Association of Purchasing Managers survey data on materials buying prices and compare them with the Producer Price Index for intermediate materials and components for manufacturing.…

《多元时间序列分析中的典型相关及一年与多年期宏观预测应用》评论回复AI 解读

Pieter W. Otter, [Comments on "Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting," by P. W. Otter]: Reply, Journal of Business & Economic Statistics, Vol. 10, No. 4 (Oct., 1992), pp. 471-472

对《多元时间序列分析中的典型相关及其在一年期与多年期宏观预测中的应用》的评论AI 解读

Arnold Zellner, Chansik Hong, Comments on "Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting," by P. W. Otter, Journal of Business & Economic Statistics, Vol. 10, No. 4 (Oct., 1992), pp. 470-471

均值变化时间序列的单位根检验：修正与扩展AI 解读

This note provides a correction to the treatment of the asymptotic distribution of tests for a unit root for the additive outlier model presented in Perron (1990). It is shown that the tests, as stated for that case, have asymptotic distributions that depend on the correlation structure of the data even if the appropriate order of the autoregression is selected. The authors present a simple modification that yields statistics with the same asymptotic distributions (free of…

预测组合的混合模型方法AI 解读

A multiprocess mixture-model approach to combining forecasts from alternative sources is proposed. This approach extends the Granger-Ramanathan method by allowing the weights used in producing the combination forecast to vary over time. In addition, the procedure discounts outlying data points that arise during time periods when all of the competing forecasts miss the mark. An empirical comparison with traditional and more recently proposed.combination methods demonstrates…

将元分析结果用于贝叶斯更新：空单元格问题AI 解读

Bayesian estimation incorporating prior information has been a popular approach to gaining estimation efficiency. Although prior information can take a variety of forms, generalizations derived from meta-analyses have been suggested as being useful. This article shows that these priors can be problematic in light of the many empty cells observed in meta-analysis designs. Design reduction, which gives rise to an unbiased prior, is found to be the preferred solution.

评估利率期限结构的预期假说：协整向量分析AI 解读

The author tests cointegration restrictions that are consistent with the expectations hypothesis of the term structure by employing the full-information maximum likelihood methods developed by S. Johansen. Yield curves appear to be the result of cointegration among interest rates. The cointegration vectors that best describe the long-term impact of interest-rate levels on interest-rate changes can often be written as linear combinations of interest-rate spreads. There is,…

非平稳性与水平突变：购买力平价应用AI 解读

The authors consider testing for a unit root in a time series with a structural change in mean occurring at an unknown date. They derive and tabulate the asymptotic distributions of the minimal t-statistic over all possible break points (and other related statistics) in the appropriate regressions. However, emphasis is given to the tabulation of finite sample critical values with particular attention given to the effect of various procedures to select the order of the…

趋势变化的直接检验AI 解读

The authors consider tests for changing trend that do not require prior knowledge about the location of the changepoint. The limiting distribution is derived from the functional central limit theorem and the critical value from the hitting probability of a Brownian bridge. Applying a test sensitive to the alternative of trend stationarity with structural breaks, they find that for real gross national product, real per capita gross national product, and real wages before…

单位根与趋势突变假说的递归和序贯检验：理论与国际证据AI 解读

This paper investigates the possibility, raised by P. Perron (1989, 1990) and P. Rappoport and L. Reichlin (1989), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike those authors, the authors treat the break date as unknown a priori. Asymptotic distributions are developed for recursive, rolling, and sequential tests for unit roots and/or changing coefficients in time series regressions. When applied to data on real…

含 I(1) 过程回归中的参数不稳定性检验AI 解读

This article derives the large-sample distributions of Lagrange multiplier (LM) tests for parameter instability against several alternatives of interest in the context of cointegrated regression models. The fully modified estimator of Phillips and Hansen is extended to cover general models with stochastic and deterministic trends. The test statistics considered include the SupF test of Quandt, as well as the LM tests of Nyblom and of Nabeya and Tanaka. It is found that the…

大萧条、石油价格冲击与单位根假说的进一步证据AI 解读

Perron (1989) has carried out tests of the unit root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil price shock. Here a variation of Perron's test is considered in which the break point is estimated rather than fixed. The asymptotic distribution of the "estimated break point" test statistic is determined and the data considered by Perron are reanalyzed. The authors find…

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隐私保护自助法AI 解读

Methods for privacy protection of microdata include grouping and publication of data perturbed with random noise. The authors suggest a variant of the latter in which the noise is generated by bootstrapping from the original empirical distribution. The published data distribution then essentially consists of a convolution of a distribution with itself and the distribution can be recovered, although the individual observations remain protected. The authors explore the…

寻找 GNP 的趋势断点AI 解读

It has been suggested that existing estimates of the long-run impact of a surprise move in income may have a substantial upward bias due to the presence of a trend break in postwar U.S. gross national product data. This article shows that the statistical evidence does not warrant abandoning the no-trend-break null hypothesis. A key part of the argument is that conventionally computed p values overstate the likelihood of the trend-break alternative hypothesis. This is because…

自相关与条件异方差的相互作用：随机系数方法AI 解读

In applied econometrics, the authors tend to tackle specification problems one at a time rather than considering them jointly. This has serious consequences for statistical inference. One example of this is considering autocorrelation and autoregressive conditional heteroscedasticity separately. In this article, the authors consider a linear regression model with random coefficient autoregressive disturbances that provides a convenient framework to analyze autocorrelation…

利用倾向建模从初步数据推算：收入与税收统计应用AI 解读

This article proposes and evaluates two new methods of reweighting preliminary data to obtain estimates more closely approximating those derived from the final data set. In our motivating example, the preliminary data are an early sample of tax returns, and the final data set is the sample after all tax returns have been processed. The new methods estimate a predicted propensity for late filing for each return in the advance sample and then poststratify based on these…

关于多项 Probit 模型识别的一则札记AI 解读

Although formal conditions for identification in the multinational probit model are now clearly established, little is known about how various estimable multinational probit specifications perform in practice. This article shows that parameter identification in the multinational probit model is extremely tenuous in the absence of exclusion restrictions. This previously unnoticed fact is important because formal identification of multinational probit models does not require…

推断预期行为随时间的变化：非线性时变参数估计的应用AI 解读

This article develops a new method for inferring the structure of agents' expectations from macroeconomic time series. Two versions of a somewhat stylized macroeconomic model are examined. Expectations of money growth are a central driving variable, assumed to be formed as a time-varying weighted average of alternative money-growth models. The weights are estimated as time-varying parameters jointly with the structural parameters for the model, using a nonlinear time-varying…