Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts

An efficient systems approach is used to estimate and test two alternative models regarding the pricing of Australian dollar futures contracts traded on the International Monetary Market of the Chicago Mercantile Exchange. Cointegrating relationships among the Australian dollar spot and futures prices, and the US and Australian risk-free rates of interest, suggest alternative error-correction representations for the cost-of-carry model which, with appropriate zero restrictions, yields the unbiased expectations hypothesis. A structural break in the futures price series permits estimation of appropriate models for the full sample in the presence of the break, for the full sample without explicitly modelling the break, and for two separate sub-samples created by the structural break. The restricted and unrestricted cost-of-carry formulations are estimated for all sample sets, the models obtained are found to be statistically adequate, and the qualitative results are reasonably robust across different sample sets for both models. On the basis of the tests of zero restrictions, the cost-of-carry model is found to be empirically superior to the unbiased expectations hypothesis for the four sample sets considered, regardless of the number of cointegrating relations.     

The Effect of Protest Votes on the Estimates of WTP for Use Values of Recreational Sites

Contingent valuation studies are often characterized by a considerable number of protest responses, which may cause selectivity bias on the final estimates for WTP. Sample selection models can detect and – if necessary – correct selectivity bias. In economic applications where the relevant dependent variable is continuous, sample selection models are generally estimated using Heckman's 2-step method rather than the FIML estimator. Either method has its own drawback: computational complexity for the FIML method, susceptibility to collinearity problems for the 2-step method. Using data on valuation of forest resources for recreational use, we analyse the performance of the two estimators. In this application, given the presence of some collinearity, the FIML is preferred to the 2-step method. A procedure is outlined to deal with selectivity problems in similar settings.     

Models of Labour Services and Estimates of Australian Productivity

This paper examines the manner in which labour services are modelled in the aggregate production function, concentrating on the specification of the relationship between the number of persons employed and average hours worked. We argue that, given the presence of quasi-fixed costs of employment, hours of work and the number of employees cannot be perfect substitutes. We then show that estimates using total hours worked as the measure of labour input implicitly assumes that they are perfect substitutes and this false assumption results, inter alia, in biased estimates of the rate of labour and multifactor productivity growth in Australia.     

Taste Variation in Discrete Choice Models

This paper develops an extension of the classical multinomial logit model which approximates a class of models obtained when there is uncontrolled taste variation across agents and choices in addition to the stochastic noise inherent in the logit model. Unlike semiparametric and parametric alternatives, the extended logit model is easy to estimate even when there are many potential choices. Unlike parametric alternatives, it does not require the specification of a distribution of varying tastes. The extended logit model can give a quick indication of the impact of taste variation on estimates and it generates estimates of the covariances of the taste shifters. It can be used as an exploratory device en route to the construction of a model incorporating a particular form of random taste variation and it can be used to determine whether such effort is required at all. When the amount of taste variation is not excessive the approximate model can be adequate itself. The model nests the conventional logit model which leads to a misspecification diagnostic. A method for estimating the model using conventional logit model software is proposed, asymptotic properties of estimators are derived and an application is presented.     

Bootstrap Testing in Nonlinear Models

Bootstrap testing of nonlinear models normally requires at least one nonlinear estimation for every bootstrap sample. We show how to reduce computational costs by performing only a fixed, small number of Newton or quasi-Newton steps for each bootstrap sample. The number of steps is smaller for likelihood ratio tests than for other types of classical tests and smaller for Newton's method than for quasi-Newton methods. The suggested procedures are applied to tests of slope coefficients in the tobit model and to tests of common factor restrictions. In both cases, bootstrap tests work well, and very few steps are needed.     

市场结构范式的比较与选择

传统经济学中过多强调了竞争的优势和垄断的不足,但这些论断已明显偏离了新经济时代现实经济系统的客观实际。寡头垄断具有极强的适应性和有效性,文章主要对寡头垄断的有效性进行了分析,阐述了市场结构由垄断竞争范式向寡头垄断范式转变的客观必然性,并就寡头垄断范式的经济学障碍消除等问题进行了分析。     

Passthrough Estimates and the Choice of an Exchange Rate Index*

We examine exchange rate passthrough into US import prices for 29 manufacturing industries using eight exchange rate indexes. These indexes vary by the number of currencies included; whether the weight on each currency is based on total trade with the United States or solely imports; and, whether the weights vary by industry. Our results indicate that passthrough is generally incomplete but varies across industries. Moreover, passthrough is sensitive to the exchange rate index. Using bootstrapped J‐tests we show that major currency indexes perform better than their broad currency counterparts. When using a major currency index, industry‐specific exchange rate indexes are preferred to aggregate indexes.     

重庆市企业技术创新模式的选择——基于企业问卷调查的实证分析

企业技术创新是区域创新过程中不可分割的一部分,其创新能力的强弱直接决定了区域经济的可持续发展。以对重庆市企业的调查问卷为样本,分析了重庆市企业技术创新的行为环境、创新模式和创新的障碍,提出了重庆市企业未来技术创新的基本模式。     

区域主导产业选择与培育模型

运用系统理论和方法,构建了区域主导产业的理论模型,系统地分析了区域政府在发展主导产业过程中的四个阶段——分析阶段、选择阶段、培育阶段、评价与调整阶段的具体内容,对区域政府的产业规划工作具有实际的指导意义。     

Estimation of Discrete Choice Dynamic Programming Models

This study reviews estimation methods for the infinite horizon discrete choice dynamic programming models and conducts Monte Carlo experiments. We consider: the maximum likelihood estimator (MLE), the two‐step conditional choice probabilities estimator, sequential estimators based on policy iterations mapping under finite dependence, and sequential estimators based on value iteration mappings. Our simulation result shows that the estimation performance of the sequential estimators based on policy iterations and value iteration mappings is largely comparable to the MLE, while they achieve substantial computation gains over the MLE by a factor of 100 for a model with a moderately large state space.     

Testing Equilibrium Models of Regional Disparities

The large and persistent regional disparities of most European economies have been explained as a disequilibrium phenomenon; convergence between backward and successful regions is slow because the equilibrating forces are weak. Recently, two models have emerged where regional disparities are seen as an equilibrium phenomenon; the amenity model, which assumes that high unemployment and low wages reflect favourable living conditions, and the matching model, which views high unemployment as the result of labour market congestion in declining regions. The paper derives some key empirical implications of the models and examines whether the regional pattern of migration, unemployment and wages in Norway conforms with these implications. The results are supportive of the matching model but not of the amenity model.     

Testing Commitment Models of Monetary Policy in China

In the past decade Chinese inflation was not high on average, but it was quite volatile. Back in the 1980s and 1990s, high inflation was a very real problem. What explains the inflationary dynamics in China? In particular, does monetary policy account for the substantial run-ups of inflation, followed by the equally substantial dis-inflation? In the absence of commitment technologies, the monetary authorities may create surprise inflation to achieve higher growth, while private agents would anticipate that and adjust their decisions accordingly, leading to accelerated inflation without a real impact. Do these types of simple time-inconsistency models of monetary policy explain the dynamic pattern of inflation in China? I show that the long-run and short-run restrictions imposed by discretionary policy, when the time-inconsistent policymaker has a desire to push output above potential, are largely rejected by the data. The estimates of the inflation bias under discretion when the policymaker is asymmetrically averse to recessions are not statistically significant either. The analysis contributes to the understanding of Chinese monetary policy and its inflationary implications and also points to the need of further investigation of inflationary behavior during the economic transition.     

Efficient Estimation of Additive Partially Linear Models

I consider the problem of estimating an additive partially linear model using general series estimation methods with polynomial and splines as two leading cases. I show that the finite-dimensional parameter is identified under weak conditions. I establish the root-n-normality result for the finite-dimensional parameter in the linear part of the model and show that it is asymptotically more efficient than a semiparametric estimator that ignores the additive structure. When the error is conditional homoskedastic, my finite-dimensional parameter estimator reaches the semiparametric efficiency bound. Efficient estimation when the error is conditional heteroskedastic is also discussed.     

跨国公司市场进入模式选择:所有权安排及合约形式

以独资公司还是合资公司的形式进入东道国市场,是跨国公司对外投资时面临的重要选择之一。文章以内部化理论为基础,构建了一个跨国公司的进入决策模型,不仅对影响跨国公司所有权安排的因素进行了拓展性的分析,而且讨论了组建合资公司时可能的合约形式,并对不同所有权安排和合约形式的福利效应及东道国的政策选择进行了分析。     

Hurdle and Latent Class Approaches to Serial Non-Participation in Choice Models

In repeated choice modelling studies, it is often the case that individuals always select the status quo option. Although this pattern may reflect considered choices, they may also be the result of alternative decisions about whether to participate in the choice process at all. Alternative methods of dealing with this behaviour, each with associated implications for estimates of economic values, are presented. In particular we consider the alternative strategies of excluding such individuals from the data, using hurdle models to explicitly model this group, and propose the use of latent class models to endogenously allow for different preference structures. An advantage of the latent class approach is that the form of the non-participation need not be defined in advance. These approaches are considered using UK choice experiment data on food choices where the attributes include genetic modification of food. The latent class approach reveals the presence of two forms of non-participation in the data. This paper draws work commissioned by UK Department of Environment Food and Rural Affairs (DEFRA). The views presented in this paper are those of the authors alone and should not be regarded as those of DEFRA or of individuals within DEFRA.     

我国军工企业自主创新模式及选择研究

文章首先分析了军工企业的特点和其提高自主创新能力的必要性,并针对军工企业的特殊性以技术创新诱因为标准,归纳出适合军工企业实现自主创新的五种模式,最后在这个基础上提出军工企业选择自主创新模式考虑的因素和原则。     

An Experimental Testing of Anchoring Effects in Discrete Choice Questions

This paper re-examines the openended/dichotomous choice question in the lab. It hasearlier been suggested that the dichotomous choiceformat suffers from anchoring and yea-saying.Comparing actual economic commitments for a privategood with a significant market value, we cannot rejectthe null hypothesis of equal WTP for the two formats.We conclude that problems with DC might be due toissues of how the survey is framed, not the DCquestion itself.     

我国个人征信体系建设的模式选择

我国的个人征信体系建设刚刚起步,明确其运行模式有利于个人征信业的长期稳定发展。文章分析了美国和欧洲各国所选择的个人征信模式及其背景,并以此为借鉴,同时结合本国实际国情,探讨了我国个人征信体系建设的模式选择。     

Sensitivity of Willingness to Pay Estimates to the Level of Attributes in Discrete Choice Experiments

This paper considers issues raised in the application of discrete choice experiments (DCEs) to estimating willingness to pay (WTP). The main issue addressed is the sensitivity of WTP estimates to the level of attributes. A DCE, concerned with preferences for alternative cervical screening programmes, was carried out with women in the Tayside area of Scotland. A split sample design was employed in which respondents were divided into two groups. Each group received a discrete choice questionnaire that varied with respect to the levels of three of the six attributes. The price attribute was one of the attributes that varied across questionnaires. Whilst estimated coefficients were not significantly different across five of the six attributes included in the experiment, mean WTP estimates were significantly different for four of the five welfare estimates. However, from a policy point of view, such a difference may not be important. Consideration is also given to other general methodological and policy issues that are raised when using DCEs to estimate WTP. The findings suggest the need for further research into the design and application of DCEs as a method for estimating WTP.