金融计量经济学:成就和挑战

本文通过对近 2 0年来金融计量经济学主要发展成就的回顾 ,介绍了计量经济学研究的热点领域和有待解决的问题。本文认为 ,ARCH模型以及在此基础上发展起来的其他异方差模型、GMM以及与之相关的参数估计方法的出现以及在金融经济学中成功的运用 ,是金融计量经济学最重要最基本的成就 ;数据及处理方法的独特性使金融计量经济学相对独立于传统计量经济学而发展。     

Strategic uncertainty and equilibrium selection in stable matching mechanisms: experimental evidence

Experimental Economics - We present experimental evidence on the interplay between strategic uncertainty and equilibrium selection in stable matching mechanisms. In particular, we apply a version...     

Presidential Address: Mathematics in economics and econometrics

Abstract The paper discusses the choices of mathematical approaches in economics and econometrics, in particular, approaches that either (a) aim for a sharp result or (b) use the least restrictive assumptions. It is argued that, while the choice (a) often necessitates strong mathematical assumptions, choice (b) may lead to only partial identification and may require using less familiar mathematical techniques. This is discussed in the context of the problem of defining a probability density: existence may fail in function spaces; even after imposing assumptions that ensure existence, the problem is not well posed. A density function may not exist for economic variables as a consequence of institutional rigidity such as an income supplement. The apparatus of generalized functions provides the general solution to identification and well‐posedness of density, but at the cost of less sharp results and greater mathematical complexity.     

Forecast accuracy of small and large scale dynamic factor models in developing economies

Developing economies usually present limitations in the availability of economic data. This constraint may affect the capacity of dynamic factor models to summarize large amounts of information into latent factors that reflect macroeconomic performance. This paper addresses this issue by comparing the accuracy of two kinds of dynamic factor models at GDP forecasting for six Latin American countries. Each model is based on a dataset of different dimensions: a large dataset composed of series belonging to several macroeconomic categories (large scale dynamic factor model) and a small dataset with a few prescreened variables considered as the most representative ones (small scale dynamic factor model). Short‐term pseudo real time out‐of‐sample forecast of GDP growth is carried out with both models reproducing the real time situation of data accessibility derived from the publication lags of the series in each country. Results (i) confirm the important role of the inclusion of latest released data in the forecast accuracy of both models, (ii) show better precision of predictions based on factors with respect to autoregressive models and (iii) identify the most adequate model for each country according to availability of the observed data.     

The practice of econometrics: A feminist critique

This paper defines feminist research methods and econometrics and then constructs a feminist critique of traditional methods of econometrics, notably regression and time series analysis. The role of academe and economics programs in maintaining masculinist econometric practices is also addressed. A list of remedies to be followed includes multimethod and interdisciplinary research, as well as increased reliance on inductive rather than deductive methods.     

On the use of robust regression in econometrics

A particular robust regression estimator has gained popularity among applied econometricians. We show that this estimator is inconsistent for the parameters of the conditional mean when the errors are skewed and heteroskedastic, and conclude that therefore its use cannot be generally recommended.     

Identification, weak instruments, and statistical inference in econometrics

Abstract.  We discuss statistical inference problems associated with identification and testability in econometrics. We consider inference in non-parametric models and weakly identified structural models (weak instruments). We point out that many ill‐defined statistical problems, such as non‐testable hypotheses, occur in these areas and are typically associated with asymptotic approximations. In non‐parametric models, such problems include testing moments and inference under heteroscedasticity or serial dependence of unknown form. For weakly identified structural models, difficulties are typically associated with improper pivots, and we review recent developments aimed at proposing more reliable procedures, including alternative proposed statistics, bounds, projection, split‐sampling, conditioning, Monte Carlo tests. JEL classification: C1, C12, C14, C15, C3, C5     

Transforming structural econometrics: substantive vs. statistical premises of inference

How could one transform structural econometrics with a view to deliver empirical models that generate reliable inferences and trustworthy evidence for or against theories or claims, as well as provide trustable guidance for economic policy makers? Nell and Errouaki, in Rational Econometric Man: Transforming Structural Econometrics, put forward their proposal on how to achieve that, by discussing the effectiveness of alternative proposals in the literature. There is a lot to agree with in this book, but the primary aim of this note is to initiate the dialogue on issues where opinions differ on how to transform structural econometrics. The discussion focuses on what I consider a crucial aspect of empirical modeling—statistical adequacy—but the authors question its practical usefulness for empirical modeling. I will attempt to make a case that ‘methodological institutionalism’ cannot be properly implemented without employing the notion of statistical adequacy.     

George Shackle and uncertainty: a revolution still awaited

It is argued that Keynes consciously sought incomes policy, first, in 1925, and, secondly, during the second world war. The first occasion concerned the need to keep costs down in the wake of the revaluation of sterling. The second instance concerned the difficulties of financing the war effort that would arise from a chronic excess demand for labour leading to greatly increased wages. Keynes came to recognize that cost push wage inflation was a serious potential threat to the maintenance of full employment. However despite his specific proposals then it is uncertain what he would have advocated for contemporary circumstances, as he increasingly came to view this as a ‘political’ rather than an ‘economic’ problem.     

Persistence of economic uncertainty: a comprehensive analysis

One of the most heavily researched and cited issue in applied economics is the relationship of uncertainty indices with the financial and macroeconomic variables. While the statistical features of financial and macroeconomic variables have been thoroughly examined, virtually nothing has been done to examine uncertainty indices under the statistical perspective. In this paper, we focus on two primary characteristics of uncertainty indices: persistence and chaotic behaviour. In order to evaluate the persistence and the chaotic behaviour we analyse 72 popular uncertainty indices constructed by forecasting models, text mining from news articles and data mining from monetary variables to measure the Hurst and Lyapunov exponents in rolling windows. The examination in rolling windows provides a dynamic evaluation of the specific characteristics revealing significant variations of persistence and chaotic dynamics with time. More specifically, we find that almost all uncertainty indices are persistent, while the chaotic dynamics are detected only sporadically and for certain indices during recessions of economic turbulence. Thus, we suggest that the examination of persistence and chaos should be a prerequisite step before using uncertainty indices in economic policy models.     

Determinants and Forecast of Price Level in India: a VAR Framework

The theoretical association of money supply and exchange rates with prices has been empirically established and shown to be dominant in explaining changes in price levels in India. However, post liberalisation, studies have shown price levels to be impacted by several other factors as also, weakened influence of the traditional factors established by theories. This study aims to find the determinants of price level for the period 1994–2008 using a Vector Autoregression model and test the predictive ability of the model. Our results show shorter and smaller impact of change in money supply and nominal effective exchange rate on price levels. Both money supply and nominal effective exchange rates are found to Granger-cause Consumer Price Index. But, impulse response functions show that the impact of shocks from money supply and nominal effective exchange rates on consumer prices peaks after two lags and is short-lived. Forecast error variance decomposition shows that these demand side factors contribute only 6 % of the forecast error variation in Consumer Price Index.

     

Protection and employment under uncertainty: a real option approach

The paper explores the effect of protection lobbying by solving a firm's dynamic optimization problem where there is uncertainty about future demand, the success of lobbying and non-zero entry/exit costs. It is found that firms in declining industries tend to lobby to prevent shutting down factories during economic turndowns. In contrast, firms in growing industries tend to lobby to prevent other firms from entering the market. The degree of this effect depends on the ratio of exit costs to entry costs. It is shown that the higher the ratio, the stronger the effect.     

Macroeconomic uncertainty,growth and inflation in the Eurozone: a causal approach

In this article, we evaluate the causal relationship between macroeconomic uncertainty indices, inflation and growth rate for 17 Eurozone countries on a county-level examination. In performing a series of linear and nonlinear causality tests, we find little evidence of a causal relationship between uncertainty and macroeconomic variables. Thus, macroeconomic analysis based on uncertainty indices should be treated with caution.     

Optimal consumption under income uncertainty: An example and a conjecture

This paper demonstrates that, under certain circumstances, the optimal consumption strategy of an individual with constant absolute risk-aversion, facing income uncertainty, is linear in wealth. Comparative static results are derived, and the paper concludes with a conjecture about other classes of utility functions.     

Precautionary savings under income uncertainty: a cross-sectional analysis

The first part of this paper derives a closed fro solution for present consumption as a function of current and expected economic variables, which contains a precautionary component that is directly affected by future income risk. An estimating equation forthe structural relationship between savings and their determinants is discussed and tested using cross-sectional data from the 1984 UK Family Expenditure Survey.     

A survey of recent theoretical developments in the econometrics of panel data

This paper surveys some recent developments in panel data analysis. In particular, it focuses on the error component model which is popular in panel data applications, and discusses recent advances in its estimation under heteroscedasticity, serial correlation, and a general variance-covariance matrix. It also surveys the extensions of this model to the seemingly unrelated regressions case, and the simultaneous equations case. The dynamic case and the incomplete panel data case are also considered, as well as a host of other miscellaneous extensions. Prediction with this model is briefly surveyed and alternative tests for this model are reviewed. While the bibliography is not exhaustive, this survey should complement previous surveys and should prove useful for researchers working in this area.     

The pigeon breeders' cup: a selection on selection theory of economic evolution

Both the evolutionary literature in economics and the competitive advantage literature in business strategy point to the importance of a firm's replication/selection mechanisms in developing and sustaining inimitable organization capabilities, competencies, competitive advantage and economic rents. This mechanism can be conceived of as a hierarchy of organization processes where primary, added-value processes are nested within control processes, which are nested within deployment processes, that are nested within learning processes. The evolution of this organization of processes and their complementary assets along the added-value chain within the firm and among firms is the result of the legacy of the past process-thinking skills of the firms in the added-value chain and their present thinking skills. Served and factor markets select on the dynamic effects and products of these processes and, hence, ultimately on the phenomenon that create the processes (process thinking). This selection on selection (SoS) theory is used to explain Schumpeterian ?creative destruction? at a new level of analysis, extend the satisficing principle, and identify a new stream of potentially promising empirical research.JEL Classification: A1, B31, B52, D21, M1Comments by Geoffrey M. Hodgson, Alan J. Malter, Paul W. Miniard, Paul W. Farris, and an anonymous reviewer on earlier drafts of this paper are gratefully acknowledged. The editing of Kathryn Morris is also appreciated.     

Comparative accuracy of forecasts of inflation: a Canadian study

An inaccurate forecast of inflation is costlier to economic agents when the inflation rate is high and volatile. In this situation, the use of more sophisticated and information-oriented forecasting models become economically efficient. We test this hypothesis by analysing the forecasting accuracy of vector auto-regressive (VAR), auto-regressive integrated moving average (ARIMA) and static expectation models. We use Canadian data and divide the post-sample forecasting period into four sub-periods, based on high/low and volatile/stable inflation. Prediction errors are compared for both short-term and long-term forecasts. Finally, the paper proposes a portfolio approach for obtaining a more accurate forecast of inflation.