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通过变量增广检验工具变量估计动态模型中的序列相关AI 解读

Instrumental variable tests for serial correlation can be carried out by adding lagged residuals from initial estimation to the regressors of the model under scrutiny and then checking their joint significance. It is shown that asymptotically valid tests are obtained if the lagged residuals are also added to the initial instrument set. Monte Carlo evidence suggests that useful improvements in finite sample behavior under null and alternative hypotheses can be produced when…

使用面板数据估计犯罪经济模型AI 解读

Previous attempts at estimating the economic model of crime with aggregate data relied heavily on cross-section econometric techniques and, therefore, do not control for unobserved heterogeneity. This is even true of studies that estimated simultaneous equations models. Using a new panel data set of North Carolina counties, the authors exploit both single and simultaneous equations panel data estimators to address two sources of endogeneity: unobserved heterogeneity and…

存在线性趋势时协整秩似然比检验的有限样本性质AI 解读

This paper investigates the finite sample properties of likelihood ratio tests for 'stochastic cointegration' that have recently been proposed by S. Johansen and P. Perron and J. Y. Campbell. The author transforms the model into a canonical form and conducts a comprehensive simulation study. He finds that the test performance is very sensitive to the value of the stationary root(s) of the process and to the correlation between the innovations that drive the stationary and…

变换模型预测能力的简单规格检验AI 解读

A specification test is proposed to test the adequacy of the implicit conditional mean specification in a transformation model. Regardless of the transformation under the null, the statistic is computable from ordinary least squares output via auxiliary ordinary least squares regressions. Further, the test presumes no particular form for the conditional variance of the transformed and untransformed regressands. A simple goodness-of-fit measure that can be used to compare…

小样本偏误与调整成本AI 解读

The response of most stock variables (e.g., capital, housing, consumer durables, and prices) to exogenous impulses involves a dynamic-or 'short-run' - reaction, and a target - or 'long-run' - reaction. The difference between these two is typically attributed to some form of adjustment cost. In this paper I argue that the small sample problems of cointegrating procedures used to estimate the ' long'-run component are particularly severe when adjustment costs are important.…

贫困测度中的统计推断AI 解读

Several poverty indices have been suggested to measure the intensity of poverty suffered by those below the poverty line. Because the indices are estimated on the basis of sample observations, we need to test whether the observed differences in their values are statistically significant. This paper provides distribution-free asymptotic confidence intervals and statistical inference for additive poverty indices. The methodology developed in the paper is applied to analyze…

结构突变与异常值下时变参数及多过程混合模型的蒙特卡洛比较AI 解读

This Monte Carlo study compares the performance of a recently proposed multiprocess mixture model and a more traditional random walk time-varying parameter model in the face of structural shifts and outliers. The mixture model performs well and the latter model performs poorly. This finding is of general interest since investigators often adopt random-walk time-varying parameter models to accommodate potential regime shifts in regression relationships. The findings suggest…

费雪效应与利率期限结构：协整检验AI 解读

The literature on the Fisher effect has ignored the potential relationship between inflation and long-term interest rates. Using an expectations model of the term structure of interest rates, the authors establish the conditions under which innovations in short-term inflation will be transmitted to long-term as well as short-term interest rates. Cointegration tests find support for both the Fisher effect and the expectations theory of the term structure. Copyright 1993 by…

多变量协整分析与购买力平价的长期有效性AI 解读

This paper tests the long-run validity of PPP using Johansen's multivariate cointegration methodology on exchange rates and domestic and foreign price levels. Monthly data covering the recent flexible exchange rate period of the DM vis a vis 15 currencies le ad to the following conclusion: PPP seems to hold in the long run for s ix European currencies: the Pound, Lira, Norwegian Krone, Schilling, Escudo, and Peseta. However, PPP has to be rejected.for the United States and…

出口导向增长假说适用于工业化国家吗？AI 解读

This paper tries to establish whether a causal link between exports and productivity exists for four developed market economies based on cointegration and Granger-causality techniques. These techniques allow serious problems encountered in previous attempts to examine this relationship to be overcome, while recent trade theory suggests that the relationship between trade and productivity is fundamentally ambiguous. The findings of the econometric analysis suggest that an…

线性去趋势向量自回归中的伪推断札记AI 解读

A simulation study is designed to evaluate the sensitivity of inference in a Vector Autoregression in which the variables of interest (GNP, the money stock, the price level, and a short-term interest rate) are treated as trend stationary processes. Using the normal asymptotic theory, the authors find that an artificially generated random walk Granger-causes the genuine variables in the model as often as 60% of the time for a 5% level test. They also observe substantial bias…

约束最小二乘估计量：一则教学札记AI 解读

The authors obtain expressions for the restricted least squares estimator and its covariance matrix in the classical regression model when the matrix of regressors is not necessarily of full rank. The standard expressions for the restricted least squares estimator are not usable in the short rank case because they rely on the unrestricted estimator. But, in the presence of restrictions, the restricted least squares estimator may be computable even if the unrestricted…

福利测度的置信区间：截断计数问题的应用AI 解读

Demand for deer hunting trips was estimated using statistical models based on the normal, Poisson, and negative binomial probability laws. Some of the models accounted for existing sampling truncation. Estimates of Marshallian and Hicksian welfare measures are presented, accompanied by 90 percent confidence intervals based on Krinsky and Robb's procedure. For each of the statistical models, the Hicksian measures are found to be very close to the Marshallian measures, with…

需求方程系统最大似然估计量的可靠性：来自OECD国家的证据AI 解读

In large demand systems, when the unknown error covariance matrix is approximated by its usual maximum likelihood estimator, the coefficient estimates are known to suffer from two problems: (1) the asymptotic standard errors severely understate the sampling variability of the estimates and (2) the efficiency of the maximum likelihood coefficient estimates is greatly impaired. In this paper, the author proposes an alternative estimator for the covariance matrix and evaluates…

通过比较调查与支出数据检验官僚对地方学校支出的影响AI 解读

Previous empirical studies of bureaucratic power have employed testing procedures that are sensitive only to complete bureaucratic power in which the bureaucrat is able to force an all or nothing choice on his legislative sponsor. This paper suggests a test for incomplete bureaucratic power in which micro-based, survey estimates of the cost elasticity of demand and marginal propensity to spend out of lump-sum aid are compared with estimates of these same parameters taken…

商业周期的持续期依赖：参数方法AI 解读

This paper reexamines duration dependence in U.S. business cycles using parametric hazard models. Positive duration dependence would indicate that expansions or contractions are more likely to end as they become "older." This paper provides statistically significant evidence of positive duration dependence for expansions before World War II and contractions after World War II. The evidence is stronger than in earlier research utilizing nonparametric techniques, because…

删失回归模型两阶段估计量的比较AI 解读

This paper presents a Monte Carlo comparison of the small-sample performance of subsample ordinary least squares, the Heckman-Lee two-stage estimator, and the robust estimator of Lee. Each estimator is considered under bivariate normal, t, and chi-square error structures. The estimates indicate that the Heckman-Lee and Lee estimators do not provide an unequivocal mean square error improvement upon subsample ordinary least squares in small samples. While effectively…

用自助法构造置信区间：多产品成本函数的应用AI 解读

A multi-product cost function system is estimated for 387 banks in states that allow branch banking. The bootstrap resampling method is used to construct confidence intervals for marginal costs, output-cost elasticities, economies of scale and scope, and Allen elasticities of substitution. Confidence intervals for these measures are usually constructed using a first-order variance approximation under a normality assumption, but such confidence intervals are inexact if the…

从前测到后测的数据流失：一个样本选择问题AI 解读

When estimating regression models of educational achievement with pre- and posttest data, researchers have overlooked a sample selection bias that may occur even where initial assignment to the control and experimental groups is random. The bias arises because students who take the pretest but do not take the posttest are excluded from the regression analysis. Using data from a nationally normed test of high school student knowledge of economics, adjustment for this bias is…

向量自回归模型中脉冲响应函数与预测误差方差分解的渐近分布AI 解读

In recent years, vector autoregressive models have become standard tools for economic analyses. Impulse response functions and forecast error variance decompositions are usually computed from these models in order to investigate the interrelationships within the system. However, sometimes no measures of estimation uncertainty are provided by authors. One reason may be that the relevant asymptotic distribution theory is distributed over various publications. In this article,…

广义洛伦兹曲线的渐近分布无关统计推断AI 解读

This paper provides asymtotically distribution-free statistical inference procedures for generalized Lorenz curves. Given appropriate measures of income and the income recipient unit are chosen appropriately, the tests allow consensually valid statements regarding social welfare to be made from sample data on the basis of sound inferential procedures. More generally, the results presented here can be applied to test for second degree stochastic dominance. Copyright 1989 by…

股票市场国际化与英国外汇管制的取消AI 解读

This paper aims to assess the impact of the abolition of U.K. exchange control on the degre of integration of U.K. and overseas stock markets. Using cointegration techniques, we find that although there is no significant increase in the correlation of short-run stock market returns for the United Kingdom and certain overseas markets post 1979, there does appear to be a marked increase in the degree to which these markets move together in the long run after this date--there…

消费者态度与公用事业自愿费率方案选择AI 解读

Attitudes enter as latent explanatory variables in a model of consumers' choice among optional rate schedules offered by a public utility. A consistent estimator of the choice model is described that utilizes the distribution of the latent attitude variables conditional on manifest indicator variables. The model is applied to households' choice between time-of-use and non-time-differentiated rates for electricity to determine the impact of attitudes about energy…

超越对数模型中弹性估计量的置信区间AI 解读

This paper examines the distribution fu nctions of elasticity estimators in translog demand models. The authors consider the normaland ratio-of-normals distributions and present confidence intervals for the elasticity estimators. The results suggest that only elasticity estimato rs based on the means of the actual cost shares are likely to follow either the normal or ratio-of-normals distribution function. Examination of three published empirical studies demonstrates that…