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差分模型估计中的陷阱AI 解读

This article assesses the potential magnitude of the loss of estimation efficiency caused by the adoption of a differenced model when the disturbances of the original (levels) linear regression model follow either a stable (autoregressive) AR(1) process or a fixed start-up random-walk process (hence no filtering is necessary from the standpoint of estimation). The magnitude of the loss, which can be quite large, is found to be affected by both the form of the original model…

操作性主观统计方法在理性预期中的应用AI 解读

This article presents a sequential scoring analysis of six econometric forecast distributions for the main components of the annual U.S. gross national product (GNP) accounts—nominal GNP, real GNP, and the implicit price deflator. Analysis of sequential forecasts is presented in terms of proper scoring rules. Computations relevant to the calibration and refinement properties of the forecast distributions are discussed. Annual data are studied for the period 1952–1982. The…

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基础设施服务经济收益的度量AI 解读

1. Introduction.- 2. A Simple Producer Benef it Measure.- 3. Willingness to Pav Functions and Marginal Cost Functions.- 4. Approximate Benefit Measures.- 5. Problems with the Producer Benefit Measure.- 5.1. Static versus Dynamic Benefit Measures.- 5.2. The Problem of Endogenous Prices for Local Goods.- 5.3. The Neglect of Consumer Benefits.- 6. Alternative Approaches to Benefit Measurement.- 6.1. The Questionnaire or Sample Survey Approach.- 6.2. Ex Post Accounting…

操作性主观统计方法在理性预期中的应用：答复AI 解读

Gail Blattenberger, Frank Lad, [An Application of Operational-Subjective Statistical Methods to Rational Expectations]: Reply, Journal of Business & Economic Statistics, Vol. 6, No. 4 (Oct., 1988), pp. 475-477

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预测平方和作为回归诊断的一般指标AI 解读

Statistics that usually accompany the regression model do not provide insight into the quality of the data or the potential influence of the individual observations on the estimates. In this study, the Q2 statistic is used as a criterion for detecting influential observations or outliers. The statistic is derived from the jackknifed residuals, the squared sum of which is generally known as the prediction sum of squares or PRESS. This article compares R 2 with Q2 and suggests…

结合稳健方法与传统最小二乘：批判性评估AI 解读

The combination of robust and least squares procedures has frequently been recommended as a useful strategy for constructing models. The application of this strategy to a real-world data set resulted in a model with an incorrect functional form. Additional in-depth investigations into the nature of the application, combined with data-error corrections, made possible the construction of a satisfactory model. The results of the modeling activity were evaluated in terms of…

两阶段预算与精确加总AI 解读

This paper presents an econometric model of demand for energy based on two-stage budgeting. The model provides own-price and cross-price elasticities of demand for energy and nonenergy commodities for the United States. These elasticities are estimated separately for households classified by family size, age of head, region, race, and urban versus rural residence. Price elasticities are presented conditional on total energy expenditure and total expenditure on all…

消费者需求函数的规范化二次系统AI 解读

Empirically estimated demand systems frequently fail to satisfy the appropriate theoretical curvature conditions. We propose and estimate two demand systems for which these conditions can be imposed globally; the first is derived from a normalized quadratic reciprocal indirect utility function and the second is derived from a normalized quadratic expenditure function. The former is flexible if there are no restrictions on its free parameters, but loses flexibility if the…

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住房折旧与消费者价格指数中的老化偏差AI 解读

I use hedonic regression methods to estimate average rental housing physical depreciation for areas of the United States. I estimate downward quality bias of the U.S. consumer price index (CPI) caused by rental-housing physical depreciation, and I develop methods to correct the CPI for such aging bias. My physical depreciation estimates imply that recent percentage changes in the U.S. CPI shelter-cost indexes are downward biased by .3 to .4 annually. Such bias is…

利用随机系数生产函数分析美国制造业生产率AI 解读

In this article, we show that the production, aggregation, and estimation theories that lead to a stochastic-coefficients production function are more general than those leading to a fixed-coefficients production function. Estimates of productivity changes implied by these two types of Cobb–Douglas production functions are compared for several U.S. manufacturing sectors for the period 1955–1982. All of the estimates of the stochastic-coefficients Cobb–Douglas function have…

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异质条件 Logit 选择模型AI 解读

Aggregate forecasts using McFadden's conditional logit model of discrete choice harbor the unrealistic implicit assumption of a random-utility distribution that is homogeneous across both alternatives and individuals. This article relaxes that assumption. A choice model is developed that describes the random-utility component as a probability-mixture model. Some numerical results illustrate that the derived model is not constrained by the…