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通胀预测中的信息差异化解读AI 解读

We test the hypothesis associated with a standard assumption in the theoretical literature on learning: that economic agents interpret information identically. We use a data set based on a survey of Israeli business executives forecasting future inflation. One of the main advantages of using this data is that a major change in the inflation regime in 1985 can be treated as a natural experiment in new beliefs formation. We develop a methodology for testing this hypothesis and…

This paper examines the roles played by innovations identified from a simple four-variable VAR characterized by cointegration. Using knowledge of cointegration rank and “textbook” relations that link macroeconomic aggregates, we identify distinct “real” and “nominal” innovations that dictate the long-run behavior of the model. We also examine the explanatory power of transitory innovations that are orthogonal to these permanent shocks. One of the permanent shocks displays…

可计算一般均衡模型的统计推断：摩洛哥经济模型应用AI 解读

We study the problem of measuring the uncertainty of computable general equilibrium (CGE) (or RBC)-type model simulations associated with parameter uncertainty. We describe two approaches for building confidence sets on model endogenous variables. The first uses a standard Wald-type statistic. The second approach assumes that a confidence set (sampling or Baycsian) is available for the free parameters, from which confidence sets are derived by a projection technique. The…

协整系统检验的尺寸与功效AI 解读

System tests for cointegration proposed by Stock and Watson (1988), Johansen (1988), and Bewley and Yang (1995) are compared using Monte Carlo experiments that include overspecification of the lag length and data-generating processes with moving average disturbances. Both AIC and SIC are used to select the lag length of the approximating vector autoregressions. The three tests considered are found to have very different characteristics, and each dominates in some portion of…

Many panel data sets encountered in macroeconomics, international economics, regional science, and finance are characterized by cross-sectional or "spatial" dependence. Standard techniques that fail to account for this dependence will result in inconsistently estimated standard errors. In this paper we present conditions under which a simple extension of common nonparametric covariance matrix estimation techniques yields standard error estimates that are robust to very…

参数空间不稳定区域边界附近的模拟估计目标函数AI 解读

The paper examines the role of stability constraints in estimation by dynamic simulation. In particular, it analyzes the behavior of the objective function on either side of the boundary of the stability region of the parameter space. The main finding is that stability constraints may be ignored because the simulation-based objective function contains a built-in penalty to enforce stability. A key caveat, however, is that the dynamic stability of the auxiliary model that…

分数协整的极大似然估计：美国与加拿大债券利率的应用AI 解读

We estimate a multivariate ARFIMA model to illustrate a cointegration testing methodology based on joint estimates of the fractional orders of integration of a cointegrating vector and its parent series. Previous cointegration tests relied on a two-step testing procedure and maintained the assumption in the second step that the parent series were known to have a unit root. In our empirical example of fractional cointegration, we illustrate how uncertainty regarding the order…

季节周期、单位根与均值变化AI 解读

The interpretation of seasonality in terms of economic behavior depends on the form of the econometric time-series model that allows for a description of seasonality. Popular models often assume either approximate deterministic seasonality (cf. Miron (1996)) or stochastic trend seasonality (cf. Hylleberg (1994)). Inference from an inappropriate model can be shown to be invalid. Since much graphical evidence clearly suggests that seasonal fluctuations are not constant over…

流动性效应的结构模型AI 解读

In this paper we examine a number of recent studies that claim to have obtained a well-defined liquidity effect using structural VAR models based on broad measures of money. These studies can be distinguished in terms of the identifying restrictions, sample periods, and frequency of data used. We show that estimation of the structural coefficients of all these models can be achieved by instrumental-variable methods, where the instruments are predetermined variables and the…

商业周期转折点、新同步指数与持续期依赖：状态转换动态因子模型AI 解读

The synthesis of the dynamic factor model of Stock and Watson (1989) and the regime-switching model of Hamilton (1989) proposed by Diebold and Rudebusch (1996) potentially encompasses both features of the business cycle identified by Burns and Mitchell (1946): (1) comovement among economic variables through the cycle and (2) nonlinearity in its evolution. However, maximum-likelihood estimation has required approximation. Recent advances in multimove Gibbs sampling…

脉冲响应函数的小样本置信区间AI 解读

Bias-corrected bootstrap confidence intervals explicitly account for the bias and skewness of the small-sample distribution of the impulse response estimator, while retaining asymptotic validity in stationary autoregressions. Monte Carlo simulations for a wide range of bivariate models show that in small samples bias-corrected bootstrap intervals tend to be more accurate than delta method intervals, standard bootstrap intervals, and Monte Carlo integration intervals. This…

社会项目评估中如何处理项目退出者AI 解读

This paper explores issues that arise in the evaluation of social programs using experimental data in the frequently encountered case where some of the experimental treatment group members drop out of the program prior to receiving treatment. We begin with the standard estimator for this case and the identifying assumption upon which it rests. We then examine the behavior of the estimator when the dropouts receive a partial "dose" of the program treatment prior to dropping…

不确定性下的矩估计与生产决策AI 解读

The purpose of this paper is to examine production decisions under output price uncertainty. Using a nonparametric estimation technique to estimate the first four moments of the unknown price distribution and applying duality, we provide a simple empirical framework for the analysis of supply and demand decisions under price uncertainty. The model is used to examine the importance of higher moments in the firm's production decisions and to investigate underlying attitudes…

计数数据模型的工具变量估计：吸烟行为模型的应用AI 解读

As with most analyses involving microdata, applications of count data models must somehow account for unobserved heterogeneity. The count model literature has generally assumed that unobservables and observed covariates are statistically independent. Yet for many applications this independence assumption is clearly tenuous. When the unobservables are omitted variables correlated with included regressors, standard estimation methods will generally be inconsistent. Though…

This note examines the asymptotic properties of the Wald statistic in vector autoregressions (VAR) that may have unit roots. Within this framework we extend the theoretical results to nonlinear restrictions. As an example we study constraints derived from linear(ized) rational expectations models focusing on the expectations hypothesis using U.S. term structure data. For such cross-equation restrictions the statistic has a nonstandard distribution because the restrictions…

This note estimates the long-run demand for skilled and unskilled labor using panel data for Colombian manufacturing plants. Unobserved heterogeneity and measurement error problems that commonly arise in microdata production estimates are examined. Output measurement errors cause OLS estimators to underestimate the output and wage response of employment demand. Time-difference estimators exaggerate the measurement error biases. Instrumental-variable estimates of the output…

方程两侧均含支出测量误差时的需求估计AI 解读

Let x be total consumption expenditures. Measurement errors in consumer budget allocation models cause unusual problems because errors in the dependent variables, consumption on individual goods, contribute to errors in the regressor x. Empirically adequate budget share models, like the AIDS, translog, and quadratic AIDS, are linear or quadratic in log x. It is shown that, for these specifications, two stage least squares fails to correct for the measurement error. A simple…

This paper discusses how randomized social experiments operate as an instrumental variable. For two types of randomization schemes, the fundamental experimental estimation equations are derived from the principle that experiments equate bias in control and experimental samples. Using conventional econometric representations, we derive the orthogonality conditions for the fundamental estimation equations. Randomization is a multiple instrumental variable in the sense that one…

美国对外直接投资的计量分析AI 解读

This paper constructs a theoretical model of foreign direct investment and examines the extent to which the model can explain the level of outward direct investment by U.S. companies over the last two decades. The authors find that market size and factor costs, both labor and capital, are important factors in the investment decision. Instrumental variable estimation is used to demonstrate that the expectation of short-run fluctuations in the dollar also influences the timing…

用加权双重自助矩方法检验调查预期的理性AI 解读

Conventional tests for rationality of survey data on expectations are not valid in the presence of measurement errors. However, if two or more survey measures of expectations are available on the true unobserved expectational variables, we can devise the appropriate FIML estimation methods and Wald tests for rationality. This paper uses this method for survey data on expectations for the 90-day Treasury bill rates. However, the Wald tests would be based on inaccurate…

跨行业与跨国生产率：时间序列理论与证据AI 解读

The authors examine whether convergence in aggregate productivity is also occurring at the industry level in fourteen OECD countries from 1970 to 1987. Using both cross-section and time-series methods, they find convergence in some sectors, such as services. However, surprisingly, the authors find that convergence does not hold for the manufacturing sector. Decomposing aggregate convergence into industry productivity gains and changing sectoral shares of output, they find…

利用不等式约束估计量改进特征价格估计AI 解读

Economists commonly estimate the value of characteristics not traded in explicit markets by hedonic pricing. Unfortunately, these nonexplicitly traded characteristics often display a lack of independent variation or multicollinearity. Often some prior information on the value of these characteristics is available from submarkets. This paper utilizes this type of prior information to circumvent multicollinearity problems in hedonic pricing models using an inequality…

周期协整：表示与推断AI 解读

This paper considers a new approach to the analysis of stable relationships between nonstationary seasonal time series. The basis of this approach is an error correction model in which both long-run effects and adjustment parameters are allowed to vary per season. First, we discuss theoretical arguments for such a periodic error correction model. We define periodic cointegration and compare this to the concept of seasonal cointegration. Next, we analyze statistical inference…

模拟估计AI 解读

The authors extend Daniel McFadden's (1989) method of simulated moments to approximating efficient estimators in general estimation problems. The general approach applies a simulated bias correction to an approximation of the efficient score. They discuss a general trade-off in estimator inefficiency between bias correction and moment approximation. Copyright 1994 by MIT Press.