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To explain the interactive and causal relationships between gold and silver price movements, time series procedures are used to identify reduced-form parameters corresponding to a general arbitrage model. Enveloped in a framework of expectations about capital gains, current price changes are conjectured to be functions of lagged and present values of the substitute precious metal prices and the interest rate, plus lagged values of its own price. To determine the appropriate…

This article attempts to establish the nature of the relationship between monetary assets by estimating a sequence of four nested demand systems: the generalized translog, the basic translog, the linear translog, and the homothetic translog. The principal attraction of the empirical work is that I am able to test separately for both homothetic and quasi-homothetic preferences over monetary assets. The tests reject both homotheticity and quasi-homotheticity and thus…

By replacing the unknown random factors of factor analysis with observed macroeconomic variables, the arbitrage pricing theory (APT) is recast as a multivariate nonlinear regression model with across-equation restrictions. An explicit theoretical justification for the inclusion of an arbitrary, well-diversified market index is given. Using monthly returns on 70 stocks, iterated nonlinear seemingly unrelated regression techniques are employed to obtain joint estimates of…

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The article by Conway and Reinganum demonstrates that cross-validation is a necessary part of any goodness-of-fit evaluation of multifactor asset-pricing models. The use of this procedure guards against overfitting, which is a common occurrence in large samples. It is illustrated here that if cross-validation cannot be used, two alternative goodness-of-fit measures that include a penalty based on parameters fitted can be used to assist in model selection. The two alternative…

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Recent papers in financial research focus on identifying a stable factor structure for security returns. The likelihood ratio test typically is used to determine the number of factors from exploratory factor analysis models. In this article, we consider the use of cross-validation to identify a stable factor structure in security returns. When applied to actual stock-return data, cross-validation identifies a smaller number of stable factors than the likelihood ratio test.…

美国太平洋西北地区季节性能源需求与节能的工程—计量分析AI 解读

This article estimates a new model of residential electricity demand. It differs from previous work in two ways. First, we use individual monthly billing data in a pooled time-series/cross- section framework. Second, we use an engineering/thermal-load technique to model the household space-heating technology. We estimate the model using data from the Pacific Northwest and use the results to analyze three conservation measures: a price increase, a reduction in thermostat…

质量决定的潜变量模型AI 解读

Because of data difficulties, there has been little empirical work analyzing the determination of the quality of a firm's output. This article constructs a latent variable model for this problem that uses easily obtainable data. The model is developed from the relationship between the firm's input demand functions and reduced-form output functions, and it has a novel multiple indicator multiple cause (MIMIC) interpretation. The model also allows identification of an…

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对《时间序列回归中分离需求与供给的一种被忽视方法》评论的回复AI 解读

Stephen E. Haynes, Joe A. Stone, [Comment on "A Neglected Method of Separating Demand and Supply in Time Series Regression," by Stephen E. Haynes and Joe A. Stone]: Reply, Journal of Business & Economic Statistics, Vol. 6, No. 1 (Jan., 1988), pp. 138-140

作为受约束非线性多元回归模型的套利定价理论：迭代非线性似不相关回归估计AI 解读

Marjorie B. McElroy, Edwin Burmeister, Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model: Iterated Nonlinear Seemingly Unrelated Regression Estimates, Journal of Business & Economic Statistics, Vol. 6, No. 1 (Jan., 1988), pp. 29-42

关于《时间序列回归中分离需求与供给的一种被忽视的方法》的评论AI 解读

Kan H. Young, Comment on "A Neglected Method of Separating Demand and Supply in Time Series Regression," by Stephen E. Haynes and Joe A. Stone, Journal of Business & Economic Statistics, Vol. 6, No. 1 (Jan., 1988), pp. 135-138

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贵金属价格变动的互动与因果关系：黄金和白银市场分析AI 解读

M. W. Luke Chan, C. Mountain, The Interactive and Causal Relationships Involving Precious Metal Price Movements: An Analysis of the Gold and Silver Markets, Journal of Business & Economic Statistics, Vol. 6, No. 1 (Jan., 1988), pp. 69-77

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事件依赖证券收益的风险测度AI 解读

Financial economists often test security pricing models for the destabilizing effects of informational uncertainty. In particular, Bar-Yosef and Brown (1977) examined the market model and concluded that systematic risk is concave during stock-split event periods. Unsystematic risk, however, was assumed constant. Further steps are taken in this article. A generalization of the random coefficients model of Hildreth and Houck (1968) is conducted, and case-by-case testing for…

The efficient handling of provisional economic time series data is considered. Procedures are justified in terms of a testable hypothesis regarding the nature of data revisions. The hypothesis leads to explicit and practical variance expressions for measurement errors. Testing and estimation issues are dealt with. An efficient dual filter is developed for recursive signal estimation. Techniques are applied to the Canadian index of production data.

Methods are developed for combining data collected by satellite with data collected in an area survey to estimate crop acreages. The basic procedure is that of survey regression estimation. Two methods of transforming the satellite information prior to regression estimation are compared.

自回归过程差分阶数的确定AI 解读

One way of handling nonstationarity in time series is to compute first differences and fit a model to the differenced series unless the differenced series also looks nonstationary. In that case, second- or higher-order differencing is done. To decide if the current degree of differencing is sufficient, one can look at the autocorrelation function for slow decay. A formal statistical test for the need to difference further is available if one is willing to assume that at most…

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