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组合预测：统一方法与最优性的再考察AI 解读

This article shows when the theoretical Lagrange multiplier solution for combining forecasts has a regression representation. This solution is not optimal in general because it imposes a restriction on an otherwise more general linear form. The optimal linear predictor based on N forecasts is presented. This predictor is or is not a regression function depending on whether the latter function is linear. I also show that the Lagrange multiplier solution may often be nearly…

通货膨胀的测度：随机方法AI 解读

The stochastic approach to index number theory views each commodity price change as an independent observation on the underlying rate of inflation so that inflation can be estimated by averaging over all the prices. This article extends the approach by (a) allowing for sustained changes in relative prices, (b) showing the link with Divisia index numbers, and (c) deriving standard errors for the inflation estimates. The results are illustrated with Australian data.

学习曲线的新模型：移位自回归模型（DARM）AI 解读

This article introduces a new model for learning curves, a displaced autoregressive model (DARM). The model has theoretical and practical advantages over both the traditional exponential learning-curve model and the exponential leaming-curve model augmented by an autoregressive disturbance process. The DARM parameters can be related to the characteristics of the learning process and are easy to estimate. DARM appears to fit the data better than the alternative models,…

利用强单峰分布生成有序洛伦兹曲线族AI 解读

From any strongly unimodal density on the real line, it is possible to generate a one-parameter family of Lorenz curves. The resulting families of Lorenz curves are Lorenz ordered with respect to the indexing parameter. Symmetry of the unimodal density results in the generation of symmetric Lorenz curves. A related characterization of the normal distribution is presented.

样本划分与应用计量经济建模AI 解读

Often in applied econometric work, the sample of observations is split so that within each subsample the observations can reasonably be assumed to have the same parameter values. In this article I present a procedure for sample splitting that uses cluster analysis techniques. The procedure is illustrated with data from a cross-section of households obtaining subsamples with homogeneous demand parameters. The groups turn out to be determined, primarily, by occupation of the…

自相关与随机性的 Durbin–Watson 及广义 Durbin–Watson 检验AI 解读

The Durbin–Watson (DW) test for lag 1 autocorrelation has been generalized (DWG) to test for autocorrelations at higher lags. This includes the Wallis test for lag 4 autocorrelation. These tests are also applicable to test for the important hypothesis of randomness. It is found that for small sample sizes a normal distribution or a scaled beta distribution by matching the first two moments approximates well the null distribution of the DW and DWG statistics. The…

早期 GNP 估计的预测误差、测量误差与良好性质检验AI 解读

Revisions of the early GNP estimates may contain elements of measurement errors as well as forecast errors. These types of error behave differently but need to satisfy a common set of criteria for well-behavedness. This article tests these criteria for U.S. GNP revisions. The tests are similar to tests of rationality and are based on the generalized method of moments estimator. The flash, 15-day, and 45-day estimates are found to be ill behaved, but the 75-day estimate…

面向第二阶段最佳表现优化的子集选择AI 解读

In the search for the best of n candidates, two-stage procedures of the following type are in common use. In a first stage, weak candidates are removed, and the subset of promising candidates is then further examined. At a second stage, the best of the candidates in the subset is selected. In this article, optimization is not aimed at the parameter with largest value but rather at the best performance of the selected candidates at Stage 2. Under a normal model, a new…

周期性抽样调查中的无应答AI 解读

A parametric model is developed for analyzing the updated historical (ratio of identicals) imputation strategy in a periodic survey. A test is then developed for comparing alternative formulations of the historical values. The benefits of exponentially smoothing in this context are demonstrated using monthly gasoline sales data.

多项 Logit 模型的诊断检验AI 解读

I propose a Lagrange multiplier test for the multinomial logit model against the dogit model (Gaudry and Dagenais 1979) as the alternative hypothesis. In view of the well-known drawback of the restrictive property of independence from irrelevant alternatives implied by the multinomial logit model, a specification test has much to recommend it. Finite sample properties of the test are studied using a Monte Carlo experiment, and the test's power against the nested multinomial…

生产前沿与面板数据：美国一级铁路公司的应用AI 解读

In this article, the appropriateness of inefficiency measures obtained directly from the production function as in Schmidt and Sickles (1984) is examined relative to those provided by (a) the cost function aproach, (b) Klein's approach, and (c) the iterative SUR technique. Efficiency rankings yielded by different methods are also compared and tested.

总量消费者行为与家庭等价尺度AI 解读

This article presents estimates of household equivalence scales, broken down by demographic characteristics, of U.S. households. Separate estimates are given by family size, age of head, region, race, and urban versus rural residence. Commodity-specific scales are presented for five separate commodity groups—energy, food, consumer goods, capital services, and other services. The estimates are obtained from an econometric model of aggregate consumer behavior. The parameters…

移动平均季节调整方法中趋势—周期估计量的修订AI 解读

One of the main purposes of the seasonal adjustment of economic time series is to provide information on current economic conditions, particularly to determine the state of the cycle at which the economy stands. Since seasonal adjustment means removing seasonal variations, thus leaving a seasonally adjusted series consisting of trend cycle together with the irregular fluctuations, it is often very difficult to detect cyclical turning points for series strongly contaminated…

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回归分析中的组效应诊断AI 解读

The diagnostic tools examined in this article are applicable to regressions estimated with panel data or cross-sectional data drawn from a population with grouped structure. The diagnostic tools considered include (a) tests for the existence of group effects under both fixed and random effects models, (b) checks for outlying groups, and (c) specification tests for comparing the fixed and random effects models. A group-specific counterpart to the studentized residual is…

分段线性预算约束的计量经济学AI 解读

This article presents a Monte Carlo evaluation of some alternative estimators for a demand model when the budget constraint is piecewise-linear and the budget set is convex. We examine the performance of two maximum likelihood (ML) estimators and an ordinary least squares (OLS) estimator under varying sample sizes and error variances. A simple log-linear demand function, with income and price as the explanatory variables, is specified. Although I find that the OLS bias…

弹性的标准误：Bootstrap 与渐近标准误的比较AI 解读

This article compares two methods of deriving standard errors for elasticities in a linear expenditure demand system with first-order autoregressive errors. The first is the ordinary Taylor series method and the second is Efron's bootstrap. In an example problem, these two methods yielded similar values for the standard errors, with the exception of the income elasticity standard errors, for which the asymptotic standard errors were apparently too large by a factor of two.

汇率每日偏差的条件方差模型AI 解读

A model for the distribution of daily deviations of an exchange rate is suggested. The distribution is Gaussian with a variance that depends on previous deviations. The model is applied to the exchange rate of the U.S. dollar to special drawing rights.

西班牙汽车事故指标分析：多重时间序列方法AI 解读

The main objective of this article is to specify and estimate a model for the car accident rates in Spain to improve input for the decision-making process for insurance companies and provide useful information for traffic authorities. The prediction performance of the model is also analyzed in an attempt to verify the improvement in prediction that takes place when more elaborate models are used.

收入获得者群体之间相对经济富裕程度的测量AI 解读

This article introduces and discusses a new measure of the relative economic affluence (REA) between income distributions with different means. The REA measure D is applied to the U.S. white and black household income distributions of 1967 and 1979. The measure D shows that the REA of the white households with respect to the black households decreased from 1967 to 1979. This conclusion contrasts with those obtained by applications of distance or quasi-distance functions. It…

时变参数与结构汇率模型的样本外预测表现AI 解读

Varying-parameter estimation techniques based on recursive application of the Kalman filter are used to improve the predictive performance of a class of monetary exchange rate models. I find that allowing estimated parameters to vary over time enhances the models' forecasting performance for the dollar–pound, dollar–mark, and dollar–yen exchange rates. Contrary to earlier results in the literature, ex-post forecasts for the dollar-mark rate compare favorably with those…

稳定季节模式下的贝叶斯预测AI 解读

A multiplicative seasonal forecasting model for cumulative events in which, conditional on end- of-season totals being given and seasonal shape being known, it is shown that events occurring within the season are multinomially distributed is presented. The model uses the information contained in the arrival of new events to obtain a posterior distribution for end-of-season totals. Bayesian forecasts are obtained recursively in two stages: first, by predicting the expected…