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再就业概率与多次失业经历：偏似然方法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…

反向回归、共线性与就业歧视AI 解读

Apparently contradictory results between direct and reverse regression in employment-discrimination data analysis are a manifestation of collinearity in the data. An easily implemented guideline that alerts the analyst to the presence of contaminating collinearity is illustrated with employment data from Title VII litigation.

拉氏价格指数的一类乘法估计量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…

分块弱可分性检验的蒙特卡洛研究AI 解读

Separability assumptions on functional structure have received a great deal of attention from econometricians and economic theorists because (1) separability provides the fundamental linkage between aggregation over goods and the maximization principles in economic theory, (2) separability provides the theoretical basis for partitioning the economy's structure into sectors and (3) separability provides a theoretical hypothesis, which can produce parameter restrictions,…

预测组合的基准化方法AI 解读

This article is concerned with the development of a statistical model-based approach to optimally combine forecasts derived from an extrapolative model, such as an autoregressive integrated moving average (ARIMA) time series model, with forecasts of a particular characteristic of the same series obtained from independent sources. The methods derived combine the strengths of all forecasting approaches considered in the combinational scheme. The implications of the general…

向量自回归移动平均模型的简约参数化AI 解读

It is not uncommon to hear the complaint that there are many difficulties in building vector autoregressive moving average (ARMA) models, such as too many parameters in a model. In this article, I show that the complaint can be avoided if a proper method is used at the model-specification stage to obtain the detailed structure of the vector process under study. Two such methods, one from the engineering literature and the other from the statistical literature, are discussed.…

This article compares statistically three popular public-good price definitions. The bias of parameter estimates under the wrong definition is derived and calculated. One definition is found to be clearly inferior, whereas bias estimates indicate little difference between the two remaining definitions. Public-good demand elasticities and their variances are calculated to demonstrate the importance of choosing the “right” price definition.

The job-matching hypothesis implies that the disturbance of the standard-wage equation is correlated with one of the regressors, tenure, causing an overestimation of the effect of tenure on wages. This hypothesis is tested and consistent estimates of wage-equation parameters obtained using the methods of Hausman (1978). The approach treats job-match quality as a component of the disturbance term, and an error-components estimator is compared to a modified fixed-effects…

Statistical agencies that provide microdata for public use strive to keep the risk of disclosure of confidential information negligible. Assessing the magnitude of the risk of disclosure is not easy, however. Whether a data user or intruder attempts to obtain confidential information from a public-use file depends on the perceived costs of identifying a record, the perceived probability of success, and the information expected to be gained. In this article, a…

For each of the five Dutch coinage denominations, a transfer-function model is estimated. The output variables are monthly observations of coins in circulation. Two input variables represent transaction flows; all other inputs are step functions, representing the occurrence of interventions. Using the method of cross-correlating the residuals of the individual equations, a multivariate transfer-function model is constructed and estimated. Next Monte Carlo simulation is…

Recent work by Said and Dickey (1984, 1985), Phillips (1987), and Phillips and Perron (1988) examines tests for unit roots in the autoregressive part of mixed autoregressive integrated moving average models (tests for stationarity). Monte Carlo experiments show that these unit-root tests have different finite-sample distributions from the unit-root tests developed by Fuller (1976) and Dickey and Fuller (1979, 1981) for autoregressive processes. In particular, the tests…

精确加总理论的检验AI 解读

This article analyzes the importance of exact aggregation restrictions and the modeling of demographic effects in Jorgenson, Lau, and Stoker's (1982) model of aggregate consumer behavior. These issues are examined at the household level, using Canadian cross-sectional microdata. Exact aggregation restrictions and some implicit restrictions on household demographic effects are strongly rejected by our data. These results do not preclude pooling aggregate time series data with…

城市人口密度梯度的估计与解释AI 解读

The negative-exponential varying-parameter, density-gradient model is generalized by introducing the Box–Cox transformation in conjunction with truncated and heteroscedastic errors. An interpretation of this density-gradient model is presented, based directly on the magnitude and response of the expected value of population density to changes in the model's conditioning variables. Previous studies interpreted the gradient parameters purely as descriptive statistics of…

通胀指数的经验测量：多指标分布滞后方法AI 解读

Zellner (1970) considered an interesting model containing an unobservable variable that was treated as a linear combination of many observable variables. Goldberger (1972a,b, 1974) extended Zellner's model to the case of several dependent variables in the multiple causes model (MCM) and the multiple indicator multiple cause model. This article presents a dynamic extension of the MCM that allows for a geometrically distributed lag in the unobservable variable. The maximum…

审计中筛式抽样的效率AI 解读

Dollar-unit sampling is a popular method for sampling accounts by auditors. In this article, we analyze and compare two methods of obtaining dollar-unit samples, simple random sampling and sieve sampling. Two methods of assigning errors to the dollar units in the population are considered. For a variety of study populations based on actual accounting populations, it is found that sieve sampling, with either error assignment method, produces a more precise point estimator…

线性因子模型检验中的实验设计AI 解读

For various reasons, cross-sectional tests of linear factor models have employed the returns on portfolios of assets (as opposed to individual securities). There is a good deal of flexibility in how one goes about choosing which portfolios to examine (the experimental design). This article points out that some choices can lead to collinearity among factor loadings with potentially harmful consequences for power. A diagnostic procedure for detecting collinearity is discussed,…

作为误差分量的工作匹配质量与工资—任职年限曲线：不同估计量的比较与检验AI 解读

John E. Garen, Job-Match Quality as an Error Component and the Wage-Tenure Profile: A Comparison and Test of Alternative Estimators, Journal of Business & Economic Statistics, Vol. 7, No. 2 (Apr., 1989), pp. 245-252

荷兰硬币流通的多变量干预模型：估计与蒙特卡洛模拟AI 解读

Han S. van der Knoop, Frans C. Hooijmans, A Multivariate Intervention Model for the Dutch Mint Circulation: Estimation and Monte Carlo Simulation, Journal of Business & Economic Statistics, Vol. 7, No. 2 (Apr., 1989), pp. 179-189

摘要暂缺

动态模型预测中初步数据的最优利用AI 解读

Timely economic forecasts by means of dynamic models rely on updated time series, the last figure(s) of which are provisional and will be typically subjected to a number of revisions. A general approach to the efficient use of provisional observations in dynamic models is presented, based on the state-space methodology and the Kalman filter. Suitable adaptations are introduced, chiefly involving the measurement equations. Some applications are carried out for Italy,…

利用灵活函数形式与面板数据估计技术效率AI 解读

This article presents an econometric model capable of accommodating a nonradial measure of input-specific technical inefficiency and suggests an estimation technique that reduces dependency on distributional assumptions on inefficiency. It also makes use of the demand system derived from a flexible cost function and imposes concavity restrictions as required by economic theory. Panel data on 12 Finnish foundry plants are used to estimate technical efficiency of labor and…

利用横截面的第一与第二选择数据估计市场弹性AI 解读

This article develops a method for using first-choice/second-choice information to estimate the ratio of cross-elasticities to own-elasticities. I then use Bayesian techniques to couple this information with prior knowledge of the elasticities. This leads to elasticity estimates reflecting the decision maker's prior knowledge as well as existing data on customer first-choice/second-choice preferences.

自回归条件异方差的非参数检验：马尔可夫链方法AI 解读

In this article we propose a nonparametric test for autoregressive conditional heteroscedasticity based on finite-state Markov chains. A simple Monte Carlo experiment suggests that in finite samples it performs comparably to the Lagrange multiplier test under conditional normality and is superior for the t, lognormal, and exponential distributions. As an illustration, we apply both tests to Canadian/U.S. forward foreign exchange data.

稳定分布参数估计：比较研究AI 解读

The stable distribution has many desirable properties and is applicable in many areas of scientific pursuit (e.g., the study of stock-return behavior). Despite this, little is known about the properties of the various extant estimation techniques for the parameters of the stable laws. This article compares the iterative regression technique with the latest version of the fractile technique, using both simulated and actual data.