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灵活的多元GARCH建模及其在国际股票市场中的应用AI 解读

This paper offers a new approach to estimating time-varying covariance matrices in the framework of the diagonal-vech version of the multivariate GARCH(1,1) model. Our method is numerically feasible for large-scale problems, produces positive semidefinite conditional covariance matrices, and does not impose unrealistic a priori restrictions. We provide an empirical application in the context of international stock markets, comparing the new estimator with a number of…

动态模型参数化条件分布的检验AI 解读

This paper proposes a nonparametric test for parametric conditional distributions of dynamic models. The test is of the Kolmogorov type coupled with Khmaladze's martingale transformation. It is asymptotically distribution-free and has nontrivial power against root-n local alternatives. The method is applicable for various dynamic models, including autoregressive and moving average models, generalized autoregressive conditional heteroskedasticity (GARCH), integrated GARCH,…

发展中国家的实际汇率不确定性与私人投资AI 解读

This paper examines empirically the link between real-exchange-rate uncertainty and private investment in developing countries, using a large cross-country time series data set. The paper builds a GARCH-based measure of real-exchange-rate volatility and finds that it has a strong negative effect on investment, after controlling for other standard investment determinants and taking into account their potential endogeneity. The effect of uncertainty is not uniform, however.…

半参数弱工具变量回归及其风险—收益权衡应用AI 解读

We extend the local-to-zero analysis of models with weak instruments to models with estimated instruments and regressors and with higher-order dependence between instruments and disturbances. This framework is applicable to linear models with expectation variables that are estimated nonparametrically, such as the risk-return tradeoff in finance and the effect of inflation uncertainty on real economic activity. Our simulation evidence suggests that Lagrange multiplier…

远期汇率无偏性检验：水平回归与收益率回归AI 解读

Several recent empirical studies have been forced to reject exact 1:1 cointegration between spot and forward exchange rates. Theoretically, this is shown to provide a possible explanation for the puzzling negative estimates reported from spot-return-forward-premium regressions. In particular, the coefficient in this regression has a unit root component in its limit distribution that imparts a bias and skewness to the estimator. Simulations are used to demonstrate how even…

发展中国家的实际汇率不确定性与私人投资AI 解读

This paper examines empirically the link between real-exchange-rate uncertainty and private investment in developing countries, using a large cross-country time series data set. The paper builds a GARCH-based measure of real-exchange-rate volatility and finds that it has a strong negative effect on investment, after controlling for other standard investment determinants and taking into account their potential endogeneity. The effect of uncertainty is not uniform, however.…

收入转移与低收入家庭的资产积累AI 解读

Contrary to the predictions of the standard life-cycle model, many low-lifetime-income households accumulate little wealth relative to their incomes compared to households with high lifetime income. I use data from the Panel Study of Income Dynamics and a correlated random-effects generalized-method-of-moments estimator to decompose the rich-poor gaps in wealth-to-permanent-income ratio into the portions attributable to differences in characteristics such as labor market…

产品差异化寡头市场中的竞争结果AI 解读

This paper analyzes the effect of market concentration and product differentiation on the observed outcomes of competition among oligopolists. The empirical framework is designed to examine whether competition is less intense in markets with equal levels of concentration but more differentiation among the products offered. A two-stage estimation procedure is proposed to address the endogeneity problem inherent in comparing outcomes across different market structures. I…

美国青年劳动力市场：频繁换工作还是保持稳定AI 解读

The need for school-to-work programs or other means of increasing early job market stability is predicated on the view that the "chaotic" nature of youth labor markets in the United States is costly because workers drift from one job to another without developing skills, behavior, or other characteristics that in turn lead to higher adult earnings. However, there is also ample evidence that workers receive positive returns to job shopping. This paper asks whether youths in…

资产收益的多重分形：理论与证据AI 解读

This paper investigates the multifractal model of asset returns (MMAR), a class of continuous-time processes that incorporate the thick tails and volatility persistence exhibited by many financial time series. The simplest version of the MMAR compounds a Brownian motion with a multifractal time-deformation. Prices follow a semi-martingale, which precludes arbitrage in a standard two-asset economy. Volatility has long memory, and the highest finite moments of returns can take…

This paper considers causal inference and sample selection bias in nonexperimental settings in which (i) few units in the nonexperimental comparison group are comparable to the treatment units, and (ii) selecting a subset of comparison units similar to the treatment units is difficult because units must be compared across a high-dimensional set of pretreatment characteristics. We discuss the use of propensity score-matching methods, and implement them using data from the…

第二次世界大战与经济收敛AI 解读

Proxies that measure the effect of World War II on a country's capital stock are used as instruments for estimating standard cross-country growth regressions. The war's destruction should offer a natural experiment that allows us to consistently estimate the speed at which productivity growth converges to its long-run path. This paper presents evidence that convergence rates are approximately 4% to 6% per annum, substantially larger than conventional wisdom. © 2002 by the…

跨期劳动供给模型工具变量估计的有限样本偏误：跨期替代弹性真的很小吗？AI 解读

The empirical literature on intertemporal labor supply behavior documents that the intertemporal elasticity of substitution of labor supply is very low, with a plausible range of zero to 0.2. Drawing upon the literature on the distribution of instrumental variables (IV) estimators, this paper demonstrates that this conventional wisdom is erroneous because it does not take into account the severe finite sample bias in these estimates that arise from weak instruments. This…

This paper employs recently developed techniques for testing hypotheses in cointegrated panels to test the strong version of purchasing power parity for a panel of post Bretton Woods data. We compare results using fully modified and dynamic OLS approaches, and strongly reject the hypothesis. We also introduce a new between-dimension dynamic OLS estimator and find that the between-dimension FMOLS and DOLS estimates of the long-run deviation from purchasing power parity are…

转型期的生产组织与效率：东德农业的实证分析AI 解读

Enterprise restructuring is expected to improve efficiency in transition economies. With data from former East Germany, we compare the efficiency of family farms and partnerships with large-scale successor organizations of the collective and state farms (LSOs). Using parametric and nonparametric techniques, we show that LSOs display lower technical efficiency than do family farms and partnerships but that this difference is small and declining during transition, mainly as a…

汇率存在长期可预测性吗？AI 解读

Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction equations. We show by means of a simulation study that, in small to medium samples, inference from this regression procedure depends on the null hypothesis that is used to generate empirical critical values. The standard assumption of a stationary error-correction term between exchange rates and fundamentals biases the results in favor of…

用间接推断解决初始条件问题AI 解读

In this paper, we study the initial-conditions problem, a complication associated with left-censored or interrupted spells in the econometric analysis of labor market transitions. In the presence of unobserved individual-specific heterogeneity, no consistent estimators have been previously constructed. This paper proposes such an estimator using indirect inference (II). The II procedure simulates the structural model and "matches" the simulated data with the actual data via…

This paper proposes a factor model with infinite dynamics and nonorthogonal idiosyncratic components. The model, which we call the generalized dynamic-factor model, is novel to the literature and generalizes the static approximate factor model of Chamberlain and Rothschild (1983), as well as the exact factor model à la Sargent and Sims (1977). We provide identification conditions, propose an estimator of the common components, prove convergence as both time and…

This paper reexamines the benefits of pooling and, in addition, contrasts the performance of newly proposed heterogeneous estimators. The analysis utilizes a panel data set from 46 American states over the period 1963 to 1992 and a dynamic demand specification for cigarettes. Also, the forecast performance of the various estimators is compared.

利用日内极差校准波动率扩散并提取远期积分方差AI 解读

A common model for security price dynamics is the continuous-time stochastic volatility model. For this model, Hull and White (1987) show that the price of a derivative claim is the conditional expectation of the Black-Scholes price with the forward integrated variance replacing the Black-Scholes variance. Implementing the Hull and White characterization requires both estimates of the price dynamics and the conditional distribution of the forward integrated variance given…

网格Bootstrap与自回归模型AI 解读

A "grid" bootstrap method is proposed for confidence-interval construction, which has improved performance over conventional bootstrap methods when the sampling distribution depends upon the parameter of interest. The basic idea is to calculate the bootstrap distribution over a grid of values of the parameter of interest and form the confidence interval by the no-rejection principle. Our primary motivation is given by autoregressive models, where it is known that…

参数非线性函数的自助法方差估计：长期能源需求弹性应用AI 解读

In many practical applications, one is interested in obtaining confidence intervals for nonlinear functions of the parameters. This paper considers the following different methods: Fieller's method, Taylor's series expansion, and bootstrap methods. Compared to some of the earlier results in the empirical studies that are against the application of bootstrap, our results suggest a different conclusion in favor of the bootstrap methods. © 2000 by the President and Fellows of…

随机永久突变AI 解读

This paper bridges the gap between processes where shocks are permanent and those with transitory shocks by formulating a process in which the long-run impact of each innovation is time-varying and stochastic. In the stochastic permanent breaks (STOPBREAK) process, frequent transitory shocks are supplemented by occasional permanent shifts. Consistency and asymptotic normality of quasi-maximum-likelihood estimates is established, and locally best hypothesis tests of the null…

脉冲响应百分位与百分位t自助置信区间的有限样本性质AI 解读

A Monte Carlo analysis of the coverage accuracy and average length of alternative bootstrap confidence intervals for impulse-response estimators shows that the accuracy of equal-tailed and symmetric percentile- t intervals can be poor and erratic in small samples (both in models with large roots and in models without roots near the unit circle). In contrast, some percentile bootstrap intervals may be both shorter and more accurate. The accuracy of percentile-t intervals…