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用 Bootstrap 确定选址决策规则的应用AI 解读

This article provides a general methodology for determining and evaluating a decision rule for hotel site location. Given (1) an indicator of hotel success, (2) an ideal decision rule based on this indicator if it were known without error, and (3) a model for predicting the value of the success indicator at a proposed site, we propose a procedure for finding the optimal model-based decision rule for any specified optimality criterion and for evaluating the worth of the rule.…

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透过新古典宏观视角看名义货币与实际产出的贝叶斯分析：评论AI 解读

Bruce M. Hill, [A Bayesian View of Nominal Money and Real Output through a New Classical Macroeconomic Window]: Comment, Journal of Business & Economic Statistics, Vol. 9, No. 2 (Apr., 1991), pp. 149-150

正值 Poisson 回归模型中过度离散的检测检验AI 解读

This article derives score tests for extra-Poisson variation in the positive or truncated-at-zero Poisson regression model against truncated-at-zero negative binomial family alternatives. It also develops size-corrected tests of overdispersion that are expected to improve their small-sample properties. Further, small-sample performance of the tests is investigated by means of Monte Carlo experiments. As an illustration, the proposed tests are applied to a model of strikes in…

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Testable implications are derived in a present-value borrowing-constraint model for the U.S. federal government. Critical values for unit-root and cointegration tests are calculated with Monte Carlo studies. Cointegration techniques are employed to determine whether the government has been involved in perpetual debt financing in recent years. The data reject this assertion.

It is shown that selecting regressors based on the prediction error sum of squares is asymptotically related to hypothesis testing with White's (1980) heteroscedasticity-consistent covariance matrix. A simulation experiment suggest that this asymptotic relation may be useful. Illustrative examples are also given.

Parametric testing of the relationship between research and development (R&D) and firm size is limited by the hypothesized functional form, predominantly assumed to be linear in the logarithms of both variables. With a transformation of variables, the null hypothesis of constant returns to scale can be tested employing the multiple-rank F-test procedure. The findings of this analytical approach suggest that R&D intensity varies with firm size in some industries but not in…

Regression models that account for main state effects and nested county effects are considered for the assessment of farmland values. Empirical predictors obtained by replacing the unknown variances in the formula of the optimal predictors by maximum likelihood estimates are presented. The computations are carried out by simple iterations between two SAS procedures. Estimators for the prediction variances are derived, and a modification to secure the robustness of the…

Several test criteria are available for testing the hypothesis that the autoregressive polynomial of an autoregressive moving average process has a single unit root. Schwert (1989), using a Monte Carlo study, investigated the performance of some of the available test criteria. He concluded that the actual levels of the test criteria considered in his study are far from the specified levels when the moving average polynomial also has a root close to 1. This article studies…

正态混合分布参数估计的拟贝叶斯方法AI 解读

This article proposes a very tractable approach to estimating parameters for mixtures of normal distributions. The analyst proceeds as if, in addition to the data, he or she had observed some pseudo data points drawn from each distribution whose values reflect his or her priors. The approach eliminates the singularities associated with maximum likelihood estimation and offer guidance for choosing among alternative local maximum likelihood estimates. Monte Carlo analysis…

不存在聚合偏误：聚合 Logit 模型为何有效AI 解读

In this article, we examine the aggregation properties of (nested) logit models to understand their exceptional macro-level performance. The problem of aggregating micro logit models involves integrating nonlinear functions of model parameters over a distribution of consumer heterogeneity. The aggregation problem is analyzed using a mixture of analytic and simulation techniques, with the simulation experiments using actual panel data to calibrate the distribution of…

消费者需求中的偏好变化检验：间接可分的半参数模型AI 解读

This article considers the hypothesis that preference changes may partly explain observed consumption patterns. A model is developed based on indirect weak separability. The kernel estimator of the regression function models the unknown shape of demad functions, and a parametric structure models seasonality, dynamics, and preference change. This semiparametric specification is applied to U.S. meat demand. The results support the notion that changes in consumer preferences,…

交叉分类过度离散多项数据的层级模型AI 解读

When a vector of sample proportions is not obtained through a simple random sampling, the covariance matrix for the sample vector can differ substantially from the one corresponding to the multinomial model (Wilson 1989). For example, clustering effects of subject effects in repeated-measure experiments can cause the variance of the observed proportions to be much larger than variances under the multinomial model. The phenomenon is generally referred to as overdispersion.…

理性预期模型中的两步及相关估计量：小样本性质分析AI 解读

This article examine the performance of ordinary least squares, generalized least squares, and Pagan's (1986) double-length estimator (DLE) in several rational-expectations models The three approaches are equivalent in the simplest of models but may differ appreciably in models typically encountered in applied work. Small-sample properties of the estimators are examined in several contemporary macroeconomic models. The following conclusions are reached: (1) All estimators…

含选择性模型中替代估计量的蒙特卡洛分析AI 解读

In a simultaneous-equation model involving selectivity, Monte Carlo and response-surface techniques are used to assess the performance of five estimators commonly applied to a behavioral equation conditioned on an endogenous binary selectivity decision. The estimators include least squares with an exogenous dummy variable for the selectivity decision, three two-stage estimators that employ the estimated probability of the selectivity decision, and full information maximum…

使用 PRESS 与 White t 统计量选择预测回归变量AI 解读

It is shown that selecting regressors based on the prediction error sum of squares is asymptotically related to hypothesis testing with White's (1980) heteroscedasticity-consistent covariance matrix. A simulation experiment suggest that this asymptotic relation may be useful. Illustrative examples are also given.

产能利用与规模经济测度札记AI 解读

This article investigates the measurement of returns to scale (RTS) via a cost function in the presence of quasi-fixed inputs. Caves, Christensen, and Swanson (CCS) proposed estimation of a variable-cost function and derived a formula for computing RTS from it. This article extends the CCS results by (a) investigating the bias that would result from erroneously using a total-cost function for measuring RTS, (b) indicating that the CCS procedure for measuring scale economies…

Sometimes it is suggested that end users can improve forecasts by some kind of corrections. At least implicitly, the idea is to use such corrections if the forecasts appear too inaccurate by some criteria. Alternative forecasts can be defined based on whether a preliminary test of forecast usefulness and a subsequent correction has been made. The mean squared errors of some such forecasts are studied using some recent results on inequality pretesting. Uncorrected forecasts…

A simple one-period-ahead and multiperiod-ahead prediction procedure for multivariate time series is suggested, based on the canonical correlation technique. The prediction procedure is direct in the sense that no lag orders and parameters have to be estimated first, as in the usual ARMAX or VAR parameterizations of multivariate stationary stochastic processes. A best (in the mean squared error sense) predictor can be obtained directly using singular-value decompositions of…

A ratio-correlation (multiple regression) approach for estimating key economic statistics for small areas is proposed and compared with several synthetic estimation methods using various measures of performance. Using published data that are easily accessible, the methods provide a means of estimating statics not currently published with a reasonable amount of error.

阿根廷 1978—1987 年货币需求：奥斯特拉尔计划前后AI 解读

In this study, a monthly money-demand function for Argentina is estimated for a period that ends one month before the austral program (May 1985). The performance of the traditional econometric approach is compared with the new cointegration approach to time series econometrics. The comparison is carried out by a postsample forecast of the demand for money for a period of two years after the stabilization (until July 1987). The cointegration approach is found superior to the…

We compare the forecast accuracy of autoregressive integrated moving average (ARIMA) models based on data observed with high and low frequency, respectively. We discuss how, for instance, a quarterly model can be used or predict one quarter ahead even if only annual data are available, and we compare the variance of the prediction error in this case with the variance if quarterly observations were indeed available. Results on the expected information gain are presented for a…