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基于期权的即时波动率估计之偏差缩减AI 解读

We consider the problem of nonparametric spot volatility estimation from options that is robust to time-variation in volatility and presence of jumps in the underlying asset price. Using a higher-order expansion of the characteristic function of the underlying price increment over shrinking time intervals and option-based estimates of the latter over two distinct horizons, we achieve asymptotic bias-reduction in spot volatility estimation, relative to existing methods, that…

存在内生性的随机前沿模型之极大似然估计AI 解读

We propose and study a maximum likelihood estimator of stochastic frontier models with endogeneity in cross-section data when the composite error term may be correlated with inputs and environmental variables. Our framework is a generalization of the normal half-normal stochastic frontier model with endogeneity. We derive the likelihood function in closed form using three fundamental assumptions: the existence of control functions that fully capture the dependence between…

通过幂后验与重要性抽样改进边际似然估计AI 解读

Power posteriors have become popular in estimating the marginal likelihood of a Bayesian model. A power posterior is referred to as the posterior distribution that is proportional to the likelihood raised to a power b∈[0,1]. Important power-posterior-based algorithms include thermodynamic integration (TI) of Friel and Pettitt (2008) and steppingstone sampling (SS) of Xie et al. (2011). In this paper, it is shown that the Bernstein–von Mises (BvM) theorem holds for power…

非线性时间序列回归的状态域变点检测AI 解读

Change point detection in time series has attracted substantial interest, but most of the existing results have been focused on detecting change points in the time domain. This paper considers the situation where nonlinear time series have potential change points in the state domain. We apply a density-weighted anti-symmetric kernel function to the state domain and therefore propose a nonparametric procedure to test the existence of change points. When the existence of…

经营单位年龄与工资AI 解读

This paper investigates the relationship between establishment age and wages. A key challenge is that new establishments differ from mature establishments along many dimensions due to non-random survival of establishments. Furthermore, worker composition changes as establishments age. To get around this, the paper uses linked employer–employee data from Germany and estimates the establishment age–wage relationship controlling for establishment and worker fixed effects and…

招聘来源、企业异质性与工资：来自哪里与就职何处的比较AI 解读

Sequential auction models of labor market competition predict that the wages required to successfully poach a worker from a rival employer will depend on the productivities of both the poached and poaching firms. We develop a theoretically grounded extension of the two-way fixed effects model of Abowd et al. (1999) in which log hiring wages are comprised of a worker fixed effect, a fixed effect for the “destination” firm hiring the worker, and a fixed effect for the “origin”…

企业效应会漂移吗？来自华盛顿州行政数据的证据AI 解读

We study the time-series properties of firm effects in the two-way fixed effects model popularized by Abowd et al. (1999) (AKM) using two approaches. The first—the rolling AKM approach (R-AKM)—estimates AKM models separately for successive two-year intervals. The second—the time-varying AKM approach (TV-AKM)—is an extension of the original AKM model that allows for unrestricted interactions of year and firm indicators. We apply to both approaches the leave-out methodology of…

扭转需求曲线：数字化与年长劳动力AI 解读

Software represents a major and fast-growing share of firms’ capital investment, impacting demand for labor and what workers do on their jobs. Using U.S. Census Bureau panel data that link firms and workers, this paper estimates the effect of firm software capital on the earnings of workers by age group. We extend the AKM framework to include job-spell fixed effects that account for potential correlation between the worker–firm match and employee age, as well as including…

工资的持续性AI 解读

This paper documents the extent to which wage persistence can be explained by permanent worker, employer, and match heterogeneity. Standard methods used to perform such decompositions for industry or racial wage gaps are inappropriate for decomposing wage persistence in dynamic panel data models because of the incidental parameter problem. When we apply these methods without bias correction, we find that the majority, 59.3 percent, of wage persistence is explained by worker…

工会会员密度与工资：劳动者、企业和职位异质性的作用AI 解读

We examine the association between union density and wages in Portugal where just 10 percent of all workers are union members but nine-tenths of them are covered by collective agreements. Using a unique dataset on workers, firms, and collective bargaining agreements, we examine the union density wage gap in total monthly wages and its sources – namely, worker, firm, and job-title or ‘occupational’ heterogeneity – using the Gelbach decomposition. The most important source of…

利用匹配数据或纵向网络数据估计溢出效应AI 解读

Social interactions often play a key role in determining the impact of policies, but measuring the magnitude of spillover effects empirically is notoriously challenging because, in most applications, a person’s relationships are likely to reflect her own characteristics (homophily), and people who are connected are likely to be affected by the same shocks (common factors). In addition, a significant share of social interactions is likely to occur through variables that are…

雇主政策与移民和本地人的收入差距AI 解读

We use longitudinal data from the income tax system to study the impacts of firms’ employment and wage-setting policies on the level and change in immigrant–native wage differences in Canada. We focus on immigrants who arrived in the early 2000s, distinguishing between those with and without a college degree from two broad groups of countries – the U.S., the U.K. and Northern Europe, and the rest of the world. Consistent with a growing literature based on the two-way fixed…

重印：广义自回归条件异方差AI 解读

A natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in Engle (1982) to allow for past conditional variances in the current conditional variance equation is proposed. Stationarity conditions and autocorrelation structure for this new class of parametric models are derived. Maximum likelihood estimation and testing are also considered. Finally an empirical example relating to the uncertainty of the inflation rate is presented.

重印：随机前沿生产函数模型的设定与估计AI 解读

Previous studies of the so-called frontier production function have not utilized an adequate characterization of the disturbance term for such a model. In this paper we provide an appropriate specification, by defining the disturbance term as the sum of symmetric normal and (negative) half-normal random variables. Various aspects of maximum-likelihood estimation for the coefficients of a production function with an additive disturbance term of this sort are then considered.

重印：异质面板中的单位根检验AI 解读

This paper proposes unit root tests for dynamic heterogeneous panels based on the mean of individual unit root statistics. In particular it proposes a standardized t-bar test statistic based on the (augmented) Dickey–Fuller statistics averaged across the groups. Under a general setting this statistic is shown to converge in probability to a standard normal variate sequentially with T (the time series dimension) →∞, followed by N (the cross sectional dimension) →∞. A diagonal…

重印：方差分解的网络拓扑与金融企业关联度测量AI 解读

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness. We also show that variance decompositions define weighted, directed networks, so that our connectedness measures are intimately related to key measures of connectedness used in the network literature. Building on these insights, we track daily time-varying connectedness of major U.S. financial institutions’…

重印：动态面板模型的初始条件与矩限制AI 解读

Estimation of the dynamic error components model is considered using two alternative linear estimators that are designed to improve the properties of the standard first-differenced GMM estimator. Both estimators require restrictions on the initial conditions process. Asymptotic efficiency comparisons and Monte Carlo simulations for the simple AR(1) model demonstrate the dramatic improvement in performance of the proposed estimators compared to the usual first-differenced GMM…

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初始条件与 Blundell–Bond 估计量AI 解读

We place the Blundell–Bond paper in the context of the early development of panel data estimators that accounted for unobserved heterogeneity, dynamics and persistent economic series. The initial work focused on appropriate econometric methods to estimate dynamic models using unbalanced panel data with many firms and/or individuals but covering a small number of time periods. Eliminating the unobserved firm-specific ‘fixed’ effects by taking first-differences and using as…

GARCH 的故事：一段个人探索历程AI 解读

I provide a brief history of the origins of the GARCH model and my 1986 paper published in the Journal , along with a discussion of how the GARCH model and applications thereof have flourished since then. I also briefly highlight connections to the more recent realized volatility literature.