日期精度：到日 997 篇 · 到月 1360 篇 · 到年 24 篇
经济时间序列中测量误差的度量
A spectral decomposition method is described for obtaining an upper bound on the amount of measurement error in a time series. The method is applied to generated data and to M1b, real GNP, and the CPI. The bounds provide insight into both the amount of measurement error in these series and the stochastic specification of the errors.
利用调整权重与多重插补的文件拼接进行统计匹配
Statistically matched files are created in an attempt to solve the practical problem that exists when no single file has the full set of variables needed for drawing important inferences. Previous methods of file matching are reviewed, and the method of file concatenation with adjusted weights and multiple imputations is described and illustrated on an artificial example. A major benefit of this approach is the ability to display sensitivity of inference to untestable…
定义型变量的单变量 ARIMA 预测
Many important variables in business and economics are neither measured nor measurable but are simply defined in terms of other measured variables. For instance, the real interest rate is defined as the difference between the nominal interest rate and the inflation rate. There are two ways to forecast a defined variable: one can directly forecast the variable itself, or one can derive the forecast of the defined variable indirectly from the forecasts of the constituent…
经济预测的组合
A method for combining forecasts may or may not account for dependence and differing precision among forecasts. In this article we test a variety of such methods in the context of combining forecasts of GNP from four major econometric models. The methods include one in which forecasting errors are jointly normally distributed and several variants of this model as well as some simpler procedures and a Bayesian approach with a prior distribution based on exchangeability of…
不同技术的预测准确性：美国宏观经济预测比较——Spivey 评论
W. Allen Spivey, [Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts]: Comment, Journal of Business & Economic Statistics, Vol. 4, No. 1 (Jan., 1986), pp. 19-22
不同技术的预测准确性：美国宏观经济预测比较——Litterman 评论
Robert B. Litterman, [Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts]: Comment, Journal of Business & Economic Statistics, Vol. 4, No. 1 (Jan., 1986), pp. 17-19
不同技术的预测准确性：美国宏观经济预测比较——Granger 评论
C. W. J. Granger, [Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts]: Comment, Journal of Business & Economic Statistics, Vol. 4, No. 1 (Jan., 1986), pp. 16-17
使用贝叶斯向量自回归进行预测：五年经验
The results obtained in five years of forecasting with Bayesian vector autoregressions (BVAR's) demonstrate that this inexpensive, reproducible statistical technique is as accurate, on average, as those used by the best known commercial forecasting services. This article considers the problem of economic forecasting, the justification for the Bayesian approach, its implementation, and the performance of one small BVAR model over the past five years.
向量时间序列技术在宏观经济预测中的应用
A wide variety of time series techniques are now used for generating forecasts of economic variables, with each technique attempting to summarize and exploit whatever regularities exist in a given data set. It appears that many researchers arbitrarily choose one of these techniques. The purpose of this article is to provide an example for which the choice of time series technique appears important; merely choosing arbitrarily among available techniques may lead to suboptimal…
经济预测的统计方法
A recently developed statistical model, called Bayesian vector autoregression, has proven to be a useful tool for economic forecasting. Such a model today forecasts a strong resurgence of growth in the second half of 1985 and in 1986.
短评：评 Vinod《黑人与白人经济距离的测量》
Vinod ( 1 985) recently noted that there was room for additional measures to compare two distribution funcLl [F(,x-) G(x)] day tions and introduced a new concept-economic advantage-that could be defined over either a small range of the income curve or the whole range (the + 1 G ) ) 1 F ) ] d (2) overall economic advantage; OEA). He then developed a statistical methodology for estimating these measures which from ParZen (1960, p. 21 1) is and applied them to U.S. income data.…
两步计量经济模型的估计与推断
A commonly used procedure in a wide class of empirical applications is to impute unobserved regressors, such as expectations, from an auxiliary econometric model. This two-step (T-S) procedure fails to account for the fact that imputed regressors are measured with sampling error, so hypothesis tests based on the estimated covariance matrix of the second-step estimator are biased, even in large samples. We present a simple yet general method of calculating asymptotically…
去趋势对格兰杰因果检验的影响
Nonstationary time series are frequently detrended in empirical investigations by regressing the series on time or a function of time. The effects of the detrending on the tests for causal relationships in the sense of Granger are investigated using quarterly U.S. data. The causal relationships between nominal or real GNP and M1, inferred from the Granger–Sims tests, are shown to depend very much on, among other factors, whether or not series are detrended. Detrending tends…
理性预期与宏观经济预测
The article presents extensive results from testing for bias and serially correlated errors in a collection of time series of quarterly multiperiod forecasts for six variables including real GNP growth, inflation, and unemployment. The analysis covers responses by 79 frequent participants in economic outlook surveys conducted regularly since 1968. It shows much greater incidence of apparently systematic errors for inflation than for the other variables. Also, the tests are…
季节性时间序列与传递函数建模
A simple modification is suggested for the construction of transfer function models relating an output variable Yt to an input variable Xt when the model for Xt contains operators that cancel out. In addition, the evaluation of transfer function models is discussed by comparing the forecasts with the actual observations.
消费者价格指数的无应答评估
A household budget survey often suffers from a high nonresponse rate and a selective response. The bias that may be introduced in the estimation of budget shares because of this nonresponse can affect the estimate of a consumer price index, which is a weighted sum of partial price index numbers (weighted with the estimated budget shares). The bias is especially important when related to the standard error of the estimate. Because of the impossibility of subsampling…
偏好变化下的真实生活成本指数
This article investigates the theoretical and empirical properties of a true cost-of-living index under conditions of changing preferences. A family of true indexes is defined based on the notion of the current utility function. A particular index, based on the previous period's utility level, is then defined. Given this definition, a true cost-of-living index is computed based on a quadratic expenditure system estimated with quarterly data from 1960–1981. For empirical…
需求方程系统中的价格聚合偏差及其影响
This article illustrates the importance of maintaining consistent levels of aggregation between prices and quantities when estimating consumer demand functions. The impact of violating this condition is quantified by using summary performance measures and estimates of demand elasticity biases. Results derived from an application of 1972–1973 Consumer Expenditure Survey data and supported with a quasi-Monte Carlo experiment consistently indicate that the point estimates of…