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1.
Y.K. Tse 《Economics Letters》1984,14(4):333-337
This paper considers the problem of testing linear and log-linear models with autocorrelated errors. Test of functional form as well as functional form and autocorrelation simultaneously are obtained using the Lagrange multiplier approach.  相似文献   

2.
We propose a simple procedure, based on an artificial linear regression, for consistently estimating the covariance matrix of the parameter estimates for linear regression models with serially correlated errors and lagged dependent variables.  相似文献   

3.
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   

4.
In this paper we analyse the influence of the presence of exogenous variables on the asymptotic bias of the OLS estimator in a dynamic model with autocorrelated errors. We show that E. Malinvaud's (1978) result on this point can be questioned as soon as the specification problem is taken into account.  相似文献   

5.
This study analyzes the testing of cross-equation restrictions within a set of regression equations. Through Monte Carlo experiments we examine the actual size of various asymptotic procedures for testing the poolability hypothesis, i.e., equal slope vectors across individual equations. Regression models with both lagged dependent variable regressors and nonspherical disturbances are considered. In these models we find that the performance in finite samples of classical asymptotic test procedures using critical values from either or 2 approximations is often rather poor. However, employing the original test statistics with bootstrapped critical values leads to much more accurate inference in finite samples. In an empirical analysis of panel data on GDP growth and unemployment rates in OECD countries it is shown that classical asymptotic tests and bootstrap procedures may lead to conflicting test outcomes. I am indebted to Peter Boswijk, Jan Kiviet, Peter Vlaar, the associate editor and 2 anonymous referees for their constructive comments. I want to thank Geoffrey Garrett for kindly making available his data.  相似文献   

6.
《Economics Letters》1987,23(1):53-57
We present an approach to the estimation of disequilibrium models in the presence of serially dependent residuals that has several advantages and can be applied also to limited dependent variable and other models.  相似文献   

7.
Theil and Finke (1983) used the distance from the equator as an instrumental variable (IV) in the estimation of a cross-country demand system. Here we obtain standard errors of the IV estimates using Efron's (1979) bootstrap technique.  相似文献   

8.
This paper considers a macroeconomic model with rational expectations in which prices are incompletely flexible. Markets therefore fall to clear. In such a model monetary policy is not neutral. The variance of real and nominal quantities and interest rates is sensitive to the parameters of the feedback rule that determines the money supply. The monetary policy that achieves the goal of minimizing the steady-state variance of real output is characterized. We also examine monetary policies that are restricted in their generality and derive ‘second-best’ variance-minimizing feedback rules.  相似文献   

9.
The dynamic CUSUM test for structural change proposed by Kr?mer, Ploberger and Alt (1988) is investigated when the errors are serially correlated in a linear dynamic model. We show that the dynamic CUSUM test can be modified to allow for serial correlation in the disturbance using the same procedure as in Kao and Ross (1995), and that the modified dynamic CUSUM test retains its asymptotic significance levels. Monte Carlo results suggest that the empirical size of the dynamic CUSUM test is highly distorted while the empirical size of the modified dynamic CUSUM test is fairly robust to the change on the degree of autocorrelation. We also find that the power of the modified test essentially depends on the angle between the mean regressors and the structural shift. First version received: April 1997/Final version received: January 1998  相似文献   

10.
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12.
We compare the sensitivity analysis of cross-country growth regressions based on extreme bounds analysis to a more direct specification testing approach using non-nested hypotheses tests. The results suggest that those specifications that are adequate are also those that include two of the only few conditioning variables that are found to be robust, namely the standard deviation of inflation and the standard deviation of domestic credit. First Version Received: November 2000/Final Version Received: May 2001  相似文献   

13.
We use time-varying regression to model the relationship between returns in the Shanghai and New York stock markets, with possible inclusion of lagged returns. The parameters of the regressions reveal that the effect of current stock return of New York on Shanghai steadily increases after the 1997 Asian financial crisis and turns significantly and persistently positive after 2002 when China entered WTO. The effect of current return of Shanghai on New York also becomes significantly positive and increasing after 2002. The upward trend has been interrupted during the recent global financial crisis, but reaches the level of about 0.4–0.5 in 2010 for both markets. Our results show that China’s stock market has become more and more integrated to the world market in the past twenty years with interruptions occurring during the recent global economic downturn.  相似文献   

14.
We use a genetic algorithm to simulate the evolution of error-prone finite automata in the repeated Prisoner’s Dilemma game. In particular, the automata are subjected to implementation and perception errors. The computational experiments examine whether and how the distribution of outcomes and genotypes of the coevolved automata change with different levels of errors. We find that the complexity of the automata is decreasing in the probability of errors. Furthermore, the prevailing structures tend to exhibit low reciprocal cooperation and low tolerance to defections as the probability of errors increases. In addition, by varying the error level, the study identifies a threshold. Below the threshold, the prevailing structures are closed-loop (history-dependent) and diverse, which impedes any inferential projections on the superiority of a particular automaton. However, at and above the threshold, the prevailing structures converge to the open-loop (history-independent) automaton Always-Defect (ALLD). Finally, we find that perception errors are more detrimental than implementation errors to the fitness of the automata. These resultsshow that the evolution of cooperative automata is considerably weaker than expected.  相似文献   

15.
The paper discusses the issues of heterogeneity and stability of cross-country growth regressions that have been used to study the problem of convergence. Almost all studies use pooled regressions. The paper considers the issue of pooling under heterogeneity using a hierarchical Bayesian method and estimates growth regressions for different panels studied in earlier papers, and different regimes. The conclusion is that the convergence rates are higher than those obtained from pooled regressions under the assumption of homogeneity and that there is instability over time in the relationships.  相似文献   

16.
In this paper, we estimate the effect of different macro and micro variables on the distribution of unemployment duration in West Germany using censored quantile regressions. We analyze unemployment periods of more than 91,000 observations from the years 1981 to 1997 drawn from the IAB employment subsample. The latter is an administrative data set that is representative with respect to the socially insured workforce. Surprisingly, we find that the educational degree and variables indicating the macroeconomic environment such as the unemployment rate have a weak effect only. On the other hand, variables reflecting the (un-)employment history of an individual such as the length of tenure, recall to the same employer in the past, recent unemployment, and the position in the population income distribution before unemployment have the strongest effects on unemployment duration. We conclude that work history variables are the ones most suitable in characterizing the unemployment duration of an individual. From a methodological point of view, it is interesting that some regression coefficients have a different sign depending on the quantiles of the unemployment duration distribution. This clearly is a violation of the classical proportional hazard assumption which is very common in unemployment duration analysis.  相似文献   

17.
We study the problem of testing an expert whose theory has a learnable and predictive parametric representation, as do standard processes used in statistics. We design a test in which the expert is required to submit a date T by which he will have learned enough to deliver a sharp, testable prediction about future frequencies. We show that this test passes an expert who knows the data-generating process and cannot be manipulated by a uninformed one. Such a test is not possible if the theory is unrestricted.  相似文献   

18.
The purpose of this paper are twofold:first, to apply a Box–Cox model to the UK money demand relationship within an open economy framework in order to empirically investigate the proper functional form supported by the data in this general setting. Secondly, to test for the porper scale variable in the UK money demand function within the open economy Box–Cox specification. These improvements enhance the accuracy of our measures of monetary and fiscal policy effects and our understanding of the interdependence between different economies. The empirical results derived here reject the restrictive linear and log specifications in favour of the general Box–Cox model under both income and consumption-based money demand specifications. The traditional income-based model, however,escaps unharmed from the challenge put forward by Mankiw and Summers (1986).  相似文献   

19.
A new frame work to measure the impact of an increase in government expenditure and/or money supply on unemployment is provided. The model and procedures introduced are used to estimate a long-run aggregate demand function for the US economy.  相似文献   

20.
Summary A real business cycle economy is studied in which some capital is idle each period and the fraction of capital left idle varies in response to technology shocks. Previous equilibrium business cycle models have the characteristic that the entire stock of capital is used for production in each period. Our objective is to determine whether incorporating idle resources, something regularly observed in actual economies, significantly affects the cyclical properties of the model and hence changes our views about the importance of technology shocks for aggregate fluctuations. In our analysis we do not assume an aggregate production function, but instead model production as taking place at individual plants that are subject to idiosyncratic technology shocks. Each period the plant manager must choose whether to operate the plant or to let the plant remain idle. We find that the cyclical properties of this model are surprisingly similar to those of a standard real business cycle economy. One difference is that the model displays variation in factor shares while the standard models does not.The authors acknowledge support from the National Science Foundation.  相似文献   

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