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结构时间序列模型与成分的刻画AI 解读

This article analyzes certain properties of a class of recently proposed structural time series models in which particular structures are imposed upon the unobserved components of an observed time series. It is shown how the overall model can be expected to fit series, such as those for which the X-11 or Airline models are appropriate. As for the components, identification of the model is achieved by assigning a certain amount of white noise variation to the trend and…

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关于基于模型的分层方法的一则札记AI 解读

A slight improvement on the stratification methodology in Godfrey et al. (1984) is proposed and an example is advanced to demonstrate its usefulness.

劳动力状态间总转移流量的估计AI 解读

We present and apply an adjustment procedure for the Bureau of the Census and Bureau of Labor Statistics gross labor-force flows data that addresses two major defects in the data. First, an adjustment procedure is developed to take account of individuals with missing labor-force classifications who are not missing at random. Second, we provide a procedure for adjustment for individuals with spurious labor-force transitions arising because of classification errors in either…

时间序列回归中一种被忽视的供需分离方法AI 解读

This article argues that in many markets, quantity is demand determined in the short run but price is supply determined, and that the dynamic restrictions between price and quantity implied by the model have been widely neglected in empirical research. Two examples illustrate our point—the demand and supply relationships between inflation and unemployment and between the terms of trade and the trade balance. In both, specifying quantity as a function of lagged prices in…

宏观经济时间序列中的趋势与周期AI 解读

Two structural time series models for annual observations are constructed in terms of trend, cycle, and irregular components. The models are then estimated via the Kalman filter using data on five U.S. macroeconomic time series. The results provide some interesting insights into the dynamic structure of the series, particularly with respect to cyclical behavior. At the same time, they illustrate the development of a model selection strategy for structural time series models.

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动态回归（分布滞后）模型的识别AI 解读

Dynamic regression models (also known as distributed lag models) are widely used in engineering for quality control and in economics for forecasting. In this article I propose a procedure for specifying such models in practice. The proposed procedure requires no prewhitening and can directly handle the nonstationary series. Furthermore, the procedure cross-validates prior beliefs about causal relationships between variables with empirical findings to ensure the suitability…

对《相对剥夺曲线及其应用》的评论AI 解读

The article by Kakwani (1984) introduced a measure of inequality that is weighted to take account of a sense of deprivation an individual may feel on seeing others who are better off. In the second part of the article, Kakwani presented estimates of deprivation using Australian data. I would like, first, to comment on the welfare implications of the measure of relative deprivation proposed in the article and, second, to point out some crucial assumptions underlying the use…

外汇汇率动态：基于最大熵谱分析的实证研究AI 解读

This study examines whether foreign-exchange rates evolve as a random walk by directly comparing the predictive ability of autoregressive (AR) models of spot rates with that of the random walk. To reduce the influence of model specifications on test results, we neither specify the order of the AR process a priori nor assume that the order is necessarily the same over the entire sample period. For each subperiod, the AR model is estimated by maximum entropy spectral analysis,…

时变参数回归建模框架AI 解读

A framework for time varying parameter regression models is developed and employed in modeling and forecasting price expectations, using the Livingston data. Alternative model formulations, which include various choices for both the stochastic processes generating the varying parameters and the sets of explanatory variables, are examined and compared by using this framework. These models, some of which have appeared elsewhere and some of which are new, are estimated and used…

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医院利用空间分布的多项 Logit 模型AI 解读

Effective planning and management of multi-institutional health care systems require models to explain and predict hospital utilization in a region. In this study, a multinomial logit model has been formulated and estimated for inpatient hospital utilization in a region. Various measures and indexes that account for the relative attractiveness of hospitals are used in the specification of the model. A data base of more than 130,000 patient records is used to estimate the…

投资回报倍数服从对数正态分布时的多期预期收益率估计AI 解读

This article extends Blume's (1974) work on the estimation of multiperiod expected rates of return to the interesting case in which investment relatives are lognormally distributed. We derive the minimum variance unbiased estimator for the expected multiperiod investment relative and its variance. We also develop five other estimators, including an approximate minimum mean squared error estimator. Two empirical studies are made, one based on portfolios of New York Stock…

集体诉讼中的损害金额估计AI 解读

In a class action litigation, actual damages are not known exactly and must be estimated. Various estimators are proposed and assessed by using a model that identifies possible sources of error. Estimators that have been used in practice are shown to be seriously biased. An empirical Bayes estimator and an empirical minimal mean squared error estimator are found to be more satisfactory methods for estimating damages.

解释变量的次优预测如何得到最优利用AI 解读

Ashley (1983) gave a simple condition for determining when a forecast of an explanatory variable (Xt ) is sufficiently inaccurate that direct replacement of Xt by the forecast yields worse forecasts of the dependent variable than does respecification of the equation to omit Xt . Many available macroeconomic forecasts were shown to be of limited usefulness in direct replacement. Direct replacement, however, is not optimal if the forecast's distribution is known. Here optimal…

失业会持续多久？使用 CPS 数据的错觉与偏差AI 解读

Most data used to study the durations of unemployment spells come from the Current Population Survey, which is a point-in-time survey and gives an incomplete picture of the underlying duration distribution.We introduce a new sample of completed unemployment spells obtained from panel data and apply CPS sampling and reporting techniques to replicate the type of data used by other researchers.Predicted duration distributions derived from this CPS-like data are then compared to…

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黑人与白人之间经济差距的测度AI 解读

This article proposes new distribution-free methods for estimating the economic distance (advantage) between one group and another, especially for interval-to-interval comparisons, which can be more informative than a single aggregative measure. Novel techniques for computing projected quantiles, smoothing of empirical cumulative distribution functions, maximum entropy methods for finding the upper bound of the richest income interval, and statistical confidence intervals…