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在宏观经济模型中更灵活地使用预期调查数据AI 解读

A flexible procedure is proposed whereby both the random and systematic errors in measurement of survey data on inflation expectations can be appropriately handled when these surveys are used in the estimation of macroeconomic models. During the period 1952–1980, Livingston's two expectations series and the SRC series systematically underestimated inflation expectations by nearly 25%. The ASA–NBER survey, however, does not exhibit such underestimation. Thus, the use of the…

无谓损失：理论大小关系与测量精度AI 解读

In this article we examine the size relation of several deadweight loss measures and derive variance calculations for a numerical methods estimator of deadweight loss. Two examples are given to demonstrate the importance of these results.

不可观测成分模型中噪声的最小均方误差估计AI 解读

In model-based estimation of unobserved components, the minimum mean squared error estimator of the noise component is different from white noise. In this article, some of the differences are analyzed. It is seen how the variance of the component is always underestimated, and the smaller the noise variance, the larger the underestimation. Estimators of small-variance noise components will also have large autocorrelations. Finally, in the context of an application, the sample…

季节振幅变化下的时间序列季节调整方法AI 解读

The official seasonally adjusted figures of the unemployment series in the Netherlands proved to be unsatisfactory in the years 1976 until 1980 because of the occurrence of a residual seasonal pattern in the adjusted series. There is indication that this failure is due to the presence of variations in the seasonal amplitude of the unemployment series. To improve this unsatisfactory state of affairs further research on methods of seasonal adjustment was undertaken at the…

初步数据误差及其对联立方程模型预测误差的影响AI 解读

Econometric models, especially when designed for forecasting purposes, tend to use updated economic series, the last figures(s) of which embed first-published or preliminary data errors. This article identifies and assesses the contribution of errors in preliminary data to the forecast error and to the forecast error variance of linear dynamic simultaneous equation models. The effect of preliminary data errors is shown to be pervasive, although not necessarily weighty. The…

抽样未来：单变量时间序列模型预测的贝叶斯方法AI 解读

The Box–Jenkins methodology for modeling and forecasting from univariate time series models has long been considered a standard to which other forecasting techniques have been compared. To a Bayesian statistician, however, the method lacks an important facet—a provision for modeling uncertainty about parameter estimates. We present a technique called sampling the future for including this feature in both the estimation and forecasting stages. Although it is relatively easy…

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利用金融市场数据估计结构参数的广义矩估计量的统计性质AI 解读

The article examines the properties of generalized method of moments GMM estimators of utility function parameters. The research strategy is to apply the GMM procedure to generated data on asset returns from stochastic exchange economies; discrete methods and Markov chain models are used to approximate the solutions to the integral equations for the asset prices. The findings are as follows: (a) There is variance/bias trade-off regarding the number of lags used to form…

联立方程模型的两阶段有界影响估计量AI 解读

This article presents a class of estimators for linear structural models that are robust to heavytailed disturbance distributions, gross errors in either the endogenous or exogenous variables, and certain other model failures. The class of estimators modifies ordinary two-stage least squares by replacing each least squares regression by a bounded-influence regression. Conditions under which the estimators are qualitatively robust, consistent, and asymptotically normal are…

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季节振幅变化下的时间序列季节调整方法AI 解读

H. van der Hoeven, A. J. Hundepool, A Method for Seasonally Adjusting Time Series with Variation in the Seasonal Amplitude, Journal of Business & Economic Statistics, Vol. 4, No. 4 (Oct., 1986), pp. 455-471

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《基于金融市场数据的结构参数广义矩估计量的统计性质》评论（Hansen）AI 解读

Lars Peter Hansen, [Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data]: Comment, Journal of Business & Economic Statistics, Vol. 4, No. 4 (Oct., 1986), pp. 418-421

《基于金融市场数据的结构参数广义矩估计量的统计性质》评论（Delong）AI 解读

David M. Delong, [Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data]: Comment, Journal of Business & Economic Statistics, Vol. 4, No. 4 (Oct., 1986), pp. 417-418

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基于金融市场数据估计结构参数的广义矩估计量之统计性质——答复AI 解读

George Tauchen, [Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data]: Reply, Journal of Business & Economic Statistics, Vol. 4, No. 4 (Oct., 1986), pp. 423-425

季节差分指数平滑的一则注记AI 解读

Filtering economic time series can be justified if variations within a certain frequency interval are relevant for the problem at hand. It is shown here that exponential smoothing of seasonal differences provides a simple means of damping short oscillations, including seasonal ones.

使用单边滤波器进行时间序列季节调整AI 解读

This article presents a model-based signal extraction seasonal adjustment procedure to extract estimates of the independent unobserved seasonal and nonseasonal components from an observed time series. The decomposition yields a one-sided filter that is optimal for adjusting the most recent observation under the assumption of using only the past observed series. Some advantages of this procedure are that no forecasts are required for implementation and there are no problems…

三阶超越对数效用函数AI 解读

This article examines the advantages of estimating a third-order rather than a second-order translog utility function in a theoretical and empirical context. It is demonstrated that the rigor of tests for appropriate functional form is increased by increasing the order of approximation. An empirical example demonstrates that a second-order approximation can lead to inconsistent parameter estimates, whereas the third-order translog allows for better modeling of the preference…

误差具有序列相关的交叉滞后面板模型AI 解读

Cross-lagged panel studies are studies in which two or more variables are measured for a large number of subjects at each of several points in time. The variables divide naturally into two sets, and the purpose of the analysis is to estimate and test the cross-effects between the two sets. One approach to this analysis is to treat the cross-effects as parameters in regression equations. This study contributes to this approach by extending the regression model to a…

实验面板数据中的样本流失与劳动供给反应AI 解读

Sample attrition is a potentially serious problem for analysis of panel data, particularly experimental panel data. In this article, a variety of estimation procedures are used to assess the importance of attrition bias in labor supply response to the Seattle and Denver Income Maintenance Experiments (SIME/DIME). Data from Social Security Administration earnings records and the SIME/DIME public use file are used to test various hypotheses concerning attrition bias. The study…

铁路运价监管中成本核算系统组成部分的计量分析AI 解读

In response to Congressional directive, the Interstate Commerce Commission (ICC) has created a railroad costing system that includes as key components ratios designed to estimate variable costs associated with freight transportation. The estimated variability ratios are used to determine freight surcharges, jurisdictional threshold rates, and basic rail rates in administrative law and federal court proceedings. In this article we assess the quality and reliability of the…