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1.
This paper presents the test statistics for the Maximum Likelihood Ratio, the Lagrange Multiplier and the Wald tests for regressions that involve a lagged dependent variable, autocorrelated errors and the Box–Cox transformation. A computational procedure is suggested.  相似文献   

2.
This study investigates the spurious regression phenomenon for two independent stationary and non-stationary processes and illustrates, using a Monte Carlo analysis, that estimation of the spurious regression in first differences or with a lagged dependent variable eliminates the spurious regression problem. Moreover, the results also apply in eliminating the problem of serially correlated errors as well as the problem of ARCH(1) errors.  相似文献   

3.
We demonstrate that t ratios (the F statistic) for I(1) regressors in a model with an I(0) dependent variable will generally be oversized. This indicates that spurious significance occurs in a situation where it was not previously identified. We also compare the asymptotic rejection rates of t ratios for various combinations of I(1) and I(0) variables in the two-variable linear regression model. These rejection rates systematically increase with the degree of autocorrelation, yielding spurious significance, when both variables are either positively or negatively autocorrelated. In contrast, when one variable is negatively autocorrelated and the other is positively autocorrelated the rejection rates systematically fall and are undersized.  相似文献   

4.
In this article, we focus on the estimation of outpatient expenditures with panel data. We model the logarithm of expenditures and consider five different models. The first two are two-part and sample selection cross-section models. Two-part panel data models turn out to be inappropriate for dealing with expenditures. We thus estimate sample selection models with panel data: one without a lagged dependent variable and two with a lagged dependent variable. These two latter models differ in their assumptions on the variance of the residuals. Modelling heteroscedasticity may indeed be important to avoid the bias due to the retransformation problem. We show that lagged dependent variables are important factors for heteroscedasticity. For the models with state dependence, we provide a new solution to the initial conditions problem by controlling for generalised residuals. We establish that panel data models highly improve the correlation explained by the model in the time-series dimension without damaging the fit in the cross-section dimension. For all indicators of fit, the model with state dependence and heteroscedasticity seems to dominate the others.  相似文献   

5.
We give a simple sufficient condition for consistency of the standard OLS-based estimate of the disturbance variance in the linear regression model with autocorrelated disturbances.Research supported by Deutsche Forschungsgemeinschaft (DFG). We are grateful to B. M. Poetscher for a generous supply of counterexamples.  相似文献   

6.
A common procedure in economics is to estimate long-run effects from models with lagged dependent variables. For example, macro panel studies frequently are concerned with estimating the long-run impacts of fiscal policy, international aid, or foreign investment.Our analysis points out the hazards of this practice. We use Monte Carlo experiments to demonstrate that estimating long-run impacts from dynamic models produces unreliable results.Biases can be substantial, sample ranges very wide, and hypothesis tests can be rendered useless in realistic data environments. There are three reasons for this poor performance. First, OLS estimates of the coefficient of a lagged dependent variable are downwardly biased in finite samples. Second, small biases in the estimate of the lagged, dependent variable coefficient are magnified in the calculation of long-run effects. And third, and perhaps most importantly, the statistical distribution associated with estimates of the LRP is complicated, heavy-tailed, and difficult to use for hypothesis testing. While many of the underlying problems have been long-known in the literature, the continued widespread use of the associated empirical procedures suggests that researchers are unaware of the extent and severity of the estimation problems. This study aims to illustrate their practical importance for applied research.  相似文献   

7.
基金业绩与资金流量:我国基金市场存在“赎回异象”吗?   总被引:3,自引:0,他引:3  
近年来,国内学者普遍使用基金短期(季度)回报率作为解释变量,基于平衡面板数据样本对我国基金"业绩—资金流量关系"进行实证检验,得出我国基金市场存在"赎回异象"的结论。本文分别以基金中长期(年度)的原始回报率、市场模型及Fama-French三因子模型调整后的回报率作为解释变量,运用固定效应的非平衡面板数据回归模型,实证发现:基金滞后年度回报率对资金净流量产生显著的正面影响,投资者总体上"追逐业绩"而非"反向选择","赎回异象"不过是一种假象。与此相关,本文还发现,与海外研究结论明显不同,我国明星基金不能获得超额的资金流入,投资者并不热衷于"追星"。最后,本文运用"委托—代理"理论对实证结果进行了理论分析,并提出了完善我国基金市场业绩激励机制的建议。  相似文献   

8.
This study proposes a full Bayesian nonparametric procedure to investigate the predictive power of exchange rates in relation to commodity prices for three commodity-exporting countries: Canada, Australia, and New Zealand. We propose a new time-dependent infinite mixture of a normal linear regression model of the conditional distribution of the commodity price index. The mixing weights follow a set of Probit stick-breaking priors that are time-varying. We find that exchange rates have a positive predictive effect in general, but accounting for time variation does not improve forecasting performance. By contrast, the intercept in the regression and the lagged dependent variable show signs of parameter change over time in most cases, which is important in forecasting both the mean and the density of commodity prices one period ahead. The results also suggest that the variance is a large source of the time variation in the conditional distribution of commodity prices.  相似文献   

9.
In 2009, in the midst of a global recession, Sweden’s Riksbank approached a lower bound on nominal interest rates. This encounter with the lower bound provides a natural experiment for investigating the causes of monetary policy inertia. To exploit this experiment, we estimate Taylor rules with Tobit specifications that permit both interest rate smoothing and persistent shocks (serial correlation) as explanations for inertia. The interest rate smoothing hypothesis leads to a specification in which lagged actual values of the dependent variable appear on the right-hand side of the Taylor rule, while the persistent shocks hypothesis leads to a specification in which lagged values of an unobserved latent dependent variable appear on the right-hand side of the Taylor rule. The divergence of actual and latent dependent variables that occurs at the lower bound provides leverage in distinguishing the two hypotheses. For a conventional Taylor rule, we find evidence of both sources of inertia. For a modified Taylor rule that includes a measure of financial stress, our evidence suggests that interest rate smoothing is the principal source of monetary policy inertia.  相似文献   

10.
We examine the cumulative impact of early schooling investments on later schooling outcomes using enrollment status and relative grade attainment as short-run and long-run measures of schooling. Using a child-level longitudinal data set from rural Ethiopia, we estimate a dynamic conditional schooling demand function where the coefficient estimate on the lagged dependent variable captures the impact of all previous period schooling inputs and resources. We find that a child who is enrolled in the prior period is 33 percentage points more likely to be enrolled currently. These lagged effects are stronger for girls and for children from higher income households.  相似文献   

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