日期精度：到日 997 篇 · 到月 1360 篇 · 到年 24 篇
单变量 GARCH 模型中的不等式约束
To keep the conditional variances generated by the generalized autoregressive conditional heteroscedastic (p, q) model nonnegative, T. Bollerslev imposed nonnegativity constraints on the parameters of the process. The authors show that these constraints can be substantially weakened and so should not be imposed in estimation. They also provide empirical examples illustrating the importance of relaxing these constraints.
异方差下的 Chow 型检验
Inference for structural parameters that are common to several regressions is a frequent problem of statistical practice. In the unlikely case that the residual error variances are equal for all regressions, the inference problem usually has a closed-form solution within the standard regression framework. In the case of unequal and unknown residual error variances, the problem falls into the category of Behrens-Fisher problems. This article describes a comprehensive solution…
用自助法辅助选择向量时间序列的近似表示
In this article, a procedure is presented to use the bootstrap in choosing the best approximation in terms of forecasting performance for the equivalent state-space representation of a vector autoregressive model. It is found that the proposed procedure, which uses each approximator's forecasting performance, can enhance considerably an approach based simply on the estimated Hankel singular values.
季节性时间序列建模与预测的另一种方法
This article proposes an alternative methodology for modeling and forecasting seasonal series. The approach is in the Bayesian autoregression tradition pioneered by Doan, Litterman, and Sims and builds seasonality directly into the prior of the coefficients of the model by means of a set of uncertain linear restrictions. As an illustration, the method is applied to 10 U.S. quarterly macroeconomic series. For each series, the author compares the forecasting performance of a…
实际国民生产总值的条件非对称性：半非参数方法
Two critical assumptions are often made in empirical research regarding the relationship between economic variables and economic disturbances--linearity and Gaussianity. Together, these two assumptions place strong restrictions on the time series behavior of a model. Most important, these restrictions imply conditional symmetry. Using seminonparametric (SNP) techniques, this article presents evidence that real gross national product growth displays conditional asymmetry.…
东欧汇率的尾部估计
In the literature, a consensus exists that distributions of exchange-rate returns are fat tailed. The authors use a nonparametric tail-index estimator based on extreme-value theory to shed light on some of the characteristics of the empirical distribution of black-market exchange-rate returns for seven East European currencies between 1955 and 1990, focusing on the information in the tails of the distribution. They modify an existing tail-index estimator to take into account…
非实验数据下独立性公理的后验概率
This article addresses the issues associated with the construction of posterior probabilities for violation of the independence axiom of expected utility from nonexperimental data. To illustrate the methodology of analyzing nonexperimental evidence, the authors consider seat-belt-usage-data. They find a posterior probability close to one of an Allais-type paradox in these data. In addition, the evidence is not inconsistent with Machina's Hypothesis II but is inconsistent…
工具变量非严格外生时序列相关面板模型的估计
In recent years, researchers in many disciplines, including economics, accounting, finance, and marketing, have increasingly relied on panel data to model the behavior of individuals and firms. They have done so because panel data allow them to control for temporally persistent unobserved differences among individuals or firms that in many instances may bias estimates obtained from cross-sections.
《非实验数据下独立性公理的后验概率（或：系紧安全带并扇形展开）》评论
Steven Garber, Mark Kamlet, [Posterior Probabilities of the Independence Axiom with Nonexperimental Data (Or Buckle up and Fan out)]: Comment, Journal of Business & Economic Statistics, Vol. 10, No. 1 (Jan., 1992), pp. 44-48
《工具变量非严格外生且存在序列相关时的面板数据模型估计》评论
Thomas MaCurdy, [On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous]: Comment, Journal of Business & Economic Statistics, Vol. 10, No. 1 (Jan., 1992), pp. 17-19
《工具变量非严格外生且存在序列相关时的面板数据模型估计》评论
Fumio Hayashi, [On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous]: Comment, Journal of Business & Economic Statistics, Vol. 10, No. 1 (Jan., 1992), pp. 15-17
工具变量并非严格外生时含序列相关的面板模型估计：评论
Peter Schmidt, Seung C. Ahn, Donald Wyhowski, [On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous]: Comment, Journal of Business & Economic Statistics, Vol. 10, No. 1 (Jan., 1992), pp. 10-14
Geary–Khamis 平价与国际价格标准误的计算：随机方法
D. S. Prasada Rao, E. A. Selvanathan, Computation of Standard Errors for Geary-Khamis Parities and International Prices: A Stochastic Approach, Journal of Business & Economic Statistics, Vol. 10, No. 1 (Jan., 1992), pp. 109-115
对《非实验数据下独立性公理的后验概率》的回复
Robert C. Marshall, Jean-Francois Richard, Gary A. Zarkin, [Posterior Probabilities of the Independence Axiom with Nonexperimental Data (Or Buckle up and Fan out)]: Reply, Journal of Business & Economic Statistics, Vol. 10, No. 1 (Jan., 1992), pp. 48-49
对《工具变量非严格外生时含序列相关的面板数据模型估计》的回复
Michael P. Keane, David E. Runkle, [On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous]: Reply, Journal of Business & Economic Statistics, Vol. 10, No. 1 (Jan., 1992), pp. 26-29
Geary–Khamis 购买力平价与国际价格标准误的计算：随机方法
One of the areas receiving little attention in the past in index-number theory is providing standard errors for the index number estimates. Recently, Clements and Izan and Selvanathan used the stochastic approach to index numbers to derive standard errors for the rate of inflation and Laspeyres and Paasche index numbers. In this article, we use this approach to compute standard errors associated with purchasing power parities computed using Geary-Khamis aggregation procedure…
美国与日本制造业的加价：短期计量分析
In this study a production theory model of firms' markup behavior is constructed based on variants of generalized Leontief cost and expenditure functions with adjustment costs and scale economies. Results from empirical implementation of this model for U.S. and Japanese manufacturing from 1960 through 1981 suggest that markups for both countries have increased over time, but their cyclicality varies due primarily to differential investment behavior. In addition, capacity…
The authors propose some Stein-rule combination forecasting methods that are designed to ameliorate the estimation of risk inherent in making operational the variance-covariance method for constructing combination weights. By Monte Carlo simulation, it is shown that this amelioration can be substantial in many cases. Moreover, generalized Stein-rule combinations are proposed that offer the user the opportunity to enhance combination forecasting performance when shrinking the…