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日度股票收益非线性的证据AI 解读

This article applies a newly developed statistical technique to time series of daily rates of return of 15 common stocks. The technique involves estimating the bispectrum of the observed time series. The bispectrum is defined as the double Fourier transform of the third-order cumulant function. If the process generating rates of return is linear with independent innovations, then the skewness of the bispectrum will be constant. The article describes a test that can detect…

比较公立与私立学校：选择性偏误的令人困惑作用AI 解读

Recent articles using the same data and variants of the same estimation technique report conflicting estimates of the relative quality of education provided by public and Catholic schools. This article explains the reasons for the conflict. In so doing, the article clarifies the assumptions underlying the increasingly popular two-step methods for controlling selectivity bias and highlights the hazards of using these methods when the assumptions are not satisfied. The article…

基于模型的季节调整程序的变异性度量AI 解读

An algorithm is derived that develops measures of variability for the estimates of the nonseasonal component computed from a model-based seasonal adjustment procedure. The measures of variability are developed from signal extraction theory. Properties of components of the variance are developed, and the behavior of the variance is investigated for one popular time series model. The results are illustrated by using real data.

简约式三项 Probit：不施加先验限制的离散响应模型AI 解读

This article develops the direct trivariate extension of the binary probit model. Similar to the binary probit specification, the trivariate model involves an admissible reduction of the nonidentified structural parameters. The reduced-form model is distinguished from other trinomial specifications in that it allows for nonzero covariances among the utility variates that characterize individuals' valuations of the choice alternatives. The independence of irrelevant…

检验产出与通胀权衡中的卢卡斯假说AI 解读

A Bayesian highest-posterior interval test that accounts for heteroscedasticity and for two regimes of autocorrelation is derived to test the Lucas variance hypothesis on output-inflation trade-offs. Japanese and U.S. data show that heteroscedasticity and autocorrelation tend to influence the test results. A Bayesian procedure and Akaike's information criterion are used to determine the order or autoregressive schemes, and a join point to partition the sample is estimated by…

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评 Bell 与 Hillmer《经济时间序列季节调整涉及的问题》AI 解读

Christopher A. Sims, Comment on "Issues Involved with the Seasonal Adjustment of Economic Time Series" by William R. Bell and Steven C. Hillmer, Journal of Business & Economic Statistics, Vol. 3, No. 1 (Jan., 1985), pp. 92-94

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流通中硬币流失的统计分析AI 解读

The loss rate of coins in the Israeli pound (IL) series issued in Israel in 1960–1979 is estimated, and the connection between it and the characteristics of the coins is examined. A lifetime model with time-dependent hazard rate and an estimation procedure for the model parameters are presented. The estimates are then used to forecast the number of coins surviving in circulation and the median lifetime of different denominations. The data are random samples drawn from the…

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回归问题中 Bootstrap 的若干注记AI 解读

Editor's Note: A new Short Communications section has been added to JBES. This section will include short papers and notes on topics of interest to readers, including measurement problems, revisions of major business and economic time series, forecasting experiments, computer programs, experience with applications of new methods, and comments on previously published papers. To submit papers to be considered for Short Communications, send four copies prepared in accord with…

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具有时变方差的状态依赖模型使用札记AI 解读

This research presents an extension of the state-dependent models (SDM) developed by Priestley. For some series, improvement in SDM performance may be achieved by permitting the residual variance to vary through time according to a moving-average scheme.

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相对剥夺曲线及其应用AI 解读

This article introduces the relative deprivation curve to represent the size distribution of income and wealth. The curve has many useful applications in the measurement of poverty and inequality, which are explored. The methodology developed is then applied to the data obtained from the Australian Household Expenditure Survey, 1975–1976.

季节调整滤波器的不可观测成分模型AI 解读

Time series models are presented, for which the seasonal-component estimates delivered by linear least squares signal extraction closely approximate those of the standard option of the widely-used Census X-11 program. Earlier work is extended by consideration of a broader class of models and by examination of asymmetric filters, in addition to the symmetric filter implicit in the adjustment of historical data. Various criteria that guide the specification of unobserved-…

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