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This article adapts to the regional level a multicountry technique recently used by Garcia-Ferrer, Highfield, Palm, and Zellner (1987) and extended by Zellner and Hong (1987) to forecast the growth rates in gross national product across nine countries. This forecasting methodology is applied to the regional level by modeling payroll formation in seven Ohio metropolitan areas. We compare the forecasting performance of these procedures with that of a ridge estimator and find…

利用总量时间序列估计跨期替代模型AI 解读

In conducting empirical investigations of the permanent income model of consumption and the consumption-based intertemporal asset pricing model, various authors have imposed restrictions on the nature of the substitutability of consumption across goods and over time.In this paper we suggest a method for testing some of these restrictions and present empirical results using this approach.Our empirical analyses focuses on three questions: (1) Can the services from durable and…

非位似偏好下经济货币总量的界限AI 解读

We construct nonparametric bounds on true-quantity indexes for the realistic case of nonhomothetic preferences. These bounds do not require assumptions about the form of the underlying aggregator function. We construct these bounds using monetary assets that meet necessary conditions for the existence of an aggregate. We find that a Tornqvist index of these monetary assets falls within the nonparametric bounds on true-quantity indexes almost all of the time, whereas a simple…

随机水平突变时间序列模型、ARIMA 近似与水平突变检测AI 解读

The main purpose of this article is to assess the performance of autoregressive integrated moving average (ARIMA) models when occasional level shifts occur in the time series under study. A random level-shift time series model that allows the level of the process to change occasionally is introduced. Between two consecutive changes, the process behaves like the usual autoregressive moving average (ARMA) process. In practice, a series generated from a random level-shift ARMA…

似不相关时间序列方程与同质性检验AI 解读

A multivariate structural time series model made up of unobserved components such as trends and seasonals is formulated. A homogeneous system, in which any linear combination of the observations follows the same time series process, is shown to correspond to a multivariate structural model in which the covariance matrices of the disturbances are proportional. A homogeneous model is considerably easier to estimate than the more general model and a score test of homogeneity…

商品相对价格与协整AI 解读

The Prebisch-Singer hypothesis of a secular decline in the relative price of primary commodities is reassessed, on the basis of recently available time series data, for 1900-86. Special attention is given to adequate dynnamic modeling of price fluctuations. Primary and manufactured-goods prices are found to be cointegrated. The hypothesis of stationarity for the long-run relative-price movements cannot be rejected. The empirical evidence does not support the Prebisch-Singer…

关于指数编制随机方法的一则说明AI 解读

In a recent article, Clements and Izan (1987) used the stochastic approach to index-number theory to estimate the rate of inflation and its standard error. Selvanathan (1988) extended their approach to the prices of groups of goods and to prices within groups. In this note, I apply the within-group results to the U.K. alcohol data. Simulation results show that the estimates are unbiased, but the asymptotic standard errors understate the true sampling variability of the…

Beginning with January of 1987, the consumer price indexes (CPIs) have been seasonally adjusted by the X-11 autoregressive integrated moving average (ARIMA) procedure. This modification of the X-11 procedure was introduced following an empirical investigation into three aspects of seasonal adjustment methodology as applied to several CPI series--the choice of ARIMA models to fit and forecast those series, the improvements made by the ARIMA modification in terms of revision…

家庭面板数据质量评估：以收入动态面板研究为例AI 解读

Evidence from a number of methodological studies are used to assess the overall quality of data from the Panel Study of Income Dynamics (PSID). Despite substantial cumulative non-response over the nearly two decades spanned by the study, the sample is found to maintain its representation of the nonimmigrant population of the United States. The most important reasons for this result are that the study's following rules insure that the sample replaces itself in the same manner…

The main econometric issue in testing the Lucas (1973) hypothesis in a time series context is estimation of the forecast-error variance conditional on past information. The conditional variance may vary through time as monetary policy evolves and agents are obliged to infer its present state. Under the assumption that a monetary policy regime is continuously changing, a time-varying-parameter model is proposed for the monetary-growth function. Based on Kalman-filtering…

摘要暂缺

the value of a that gave the smallest average value of the Brier score within the sample of 21 observations. The result was a = .01, which implies little or no serial dependence in the data. To further check the lack of serial dependence I performed a runs test on all 52 observations (probably a good thing to do first). The (approximate) standard normal test statistic was .2, confirming that the data were approximately serially independent. I then calculated successive…

In this article, I suggest two approaches for assessing the accuracy of the Harvey-Fernandes model forecasts. First, I suggest using measures of forecast accuracy that were originally developed to assess and compare the accuracy of weather forecasters. Second, I suggest using a simple nonparametric forecasting model, originally developed for use with computerized inventory-control algorithms, as a benchmark against which to gauge the amount of improvement afforded by the…

Time series sometimes consist of count data in which the number of events occurring in a given time interval is recorded. Such data are necessarily nonnegative integers, and an assumption of a Poisson or negative binomial distribution is often appropriate. This article sets ups a model in which the level of the process generating the observations changes over time. A recursion analogous to the Kalman filter is used to construct the likelihood function and to make predictions…

贫困测度：一个与 Theil 不平等度量相关的指数AI 解读

A major problem that arises in measuring poverty is the adequate expression, in a poverty index, of the information from the incomes of individuals below the poverty line. This article evaluates several poverty indexes on the basis of their ability to satisfy five properties desirable for a poverty index. The only index that satisfies all five properties is one related to a Theil measure of inequality. Simulations show that this index and an index related to the coefficient…

摘要暂缺

商品相对价格与协整AI 解读

The Prebisch-Singer hypothesis of a secular decline in the relative price of primary commodities is reassessed, on the basis of recently available time series data, for 1900-86. Special attention is given to adequate dynnamic modeling of price fluctuations. Primary and manufactured-goods prices are found to be cointegrated. The hypothesis of stationarity for the long-run relative-price movements cannot be rejected. The empirical evidence does not support the Prebisch-Singer…

摘要暂缺

摘要暂缺

This article estimates autoregressive conditionally heteroscedastic (ARCH) and generalized ARCH (GARCH) models for five foreign currencies, using 10 years of daily data, a variety of ARCH and GARCH specifications, a number of nonnormal error densities, and a comprehensive set of diagnostic checks. It finds that ARCH and GARCH models can usually remove all heteroscedasticity in price changes in all five currencies. Goodness-of-fit diagnostics indicate that exponential GARCH…

每日汇率中的信息：一个条件方差的解释AI 解读

Formal testing procedures confirm the presence of a unit root in the autoregressive polynomial of the univariate time series representation of daily exchange-rate data. The first differences of the logarithms of daily spot rates are approximately uncorrelated through time, and a generalized autoregressive conditional heteroscedasticity model with daily dummy variables and conditionally t-distributed errors is found to provide a good representation to the leptokurtosis and…

再就业概率与多次失业经历：部分似然方法AI 解读

An extended version of the mixed-proportional-hazards model is used to study the determinants of the conditional probability of reemployment of long-term unemployed young persons sampled in the first stage of the Australian National Longitudinal Survey. The survey data facilitate an econometric comparison between the effect of different factors on the conditional reemployment probability of those in their first unemployment spell with those who have experienced multiple…

市场非均衡模型中的序列相关检验与其他设定分析AI 解读

The assumption of serial independence of disturbances is the starting point of most of the work done on analyzing market disequilibrium models. We derive tests for serial dependence given normality and homoscedasticity using the Lagrange multiplier (LM) test principle. Although the likelihood function under serial dependence is very complicated and involves multiple integrals of dimensions equal to the sample size, the test statistic we obtain through the LM principle is…

一类拉氏价格指数的乘法估计量AI 解读

Publication of indexes measuring changes in prices of retail, wholesale, export, and import items is an important part of many governmental statistics programs. One form of price index that is often used is the fixed-base Laspeyres, in which a fixed market basket of goods is priced over time. This article introduces a new class of multiplicative estimators of Laspeyres indexes. The optimum within the class is derived for long-term price change and compared with two other…