Sowing Doubt Optimally in Two-Person Repeated Games

Consider a two-person repeated game, where one of the players, P1, can sow doubt, in the mind of his opponent, as to what P1's payoffs are. This results in a two-person repeated game with incomplete information. By sowing doubt, P1 can sometimes increase his minimal equilibrium payoff in the original game. We prove that this minimum is maximal when only one payoff matrix, the negative of the payoff matrix of the opponent, is added (the opponent thus believes that he might play a zero-sum game). We obtain two formulas for calculating this maximal minimum payoff. Journal of Economic Literature Classification Numbers: C7, D8.     

对劳动密集型战略的理论质疑

面对中国具有无限供给特征的劳动力资源,很多经济学家通常具有劳动密集型战略发展的偏好,误认为技术集约与充分就业负相关,从而坚持劳动密集型战略有利于发挥劳动成本优势和实现充分就业等不当主张。而事实上劳动密集型战略面临着技术和效率两方面日益强化的刚性约束,不是劳动密集型而是技术集约型战略将会长期促进充分就业和提升中国经济长期竞争力,而劳动密集型战略则内涵了诸多的负面效应,中国高就业压力的根源也另有所在。中国应采取科技密集和创新主导的集约式经济发展战略,以此作为持续提升中国经济核心竞争力和实现充分就业的根本创新路径。     

Moments of ordered bivariate log-normal distributions

We derive the moments of an order statistic constructed from a bivariate log-normal distribution. The results can be applied to a log-linear disequilibrium model with errors in variables or to the determination of futures price distributions and hedging decisions.     

Moments of truncated bivariate log-normal distributions

In this paper, we derive the expressions for the moments of truncated bivariate log-normal distributions. The results are then applied to test the Houthakker effect in futures markets.     

库兹涅茨人均收入决定论质疑--兼论我国产业结构升级的政策取向

库兹涅茨的人均收入决定论认为,经济的增长是产业结构转变的原因。作者根据格兰杰(Granger)因果关系检验理论利用我国的时间序列数据对这一结论进行了证伪分析,结果表明,改革开放以来我国产业结构的高级化变迁并不是由经济的增长带来的,相反,产业结构的调整却是我国长期以来经济高速增长的原因。 为此,我国必须大力发展高新技术产业,促进产业结构的优比与升级。     

Econometricians Have Their Moments: GMM at 32

The 2013 Nobel Prize for Economics was awarded to Eugene Fama, Lars Hansen and Robert Shiller for their work on empirical asset pricing. Hansen's primary contribution to the cited work was the development of the generalised method of moments (GMM), a statistical method that has proved such a valuable tool for testing the validity of empirical asset pricing models. The public announcement of the award also acknowledges the wider impact of GMM on empirical analysis in economics and beyond, referring to the 1982 Econometrica paper in which Hansen introduced the method as ‘one of the most influential in econometrics’. In this paper, we reflect on how the GMM‐based inference framework has evolved since 1982, reviewing developments on four main issues: model diagnostic testing, moment selection, identification and inference in misspecified models. We also illustrate the broader influence of GMM on econometrics by briefly exploring the connections between GMM and three other estimation methods: indirect inference, moment inequality based techniques, and a group of techniques that can be presented equivalently within either the generalised empirical likelihood or info‐metric frameworks.     

Estimating Nonlinear DSGE Models with Moments Based Methods

This article suggests a new approach to approximating moments for nonlinear DSGE models. This approach is fast and sufficiently accurate to estimate nonlinear DSGE models. A small financial DSGE model is repeatedly estimated by several modifications of the suggested approach. Approximations of the moments are close to the results of the large sample Monte Carlo estimation. The quality of parameter estimation using our suggested approach is close to the Central Difference Kalman Filter (CDKF); and our suggested approach is much faster.     

Valid Inference in Partially Unstable Generalized Method of Moments Models

This paper considers time series Generalized Method of Moments (GMM) models where a subset of the parameters are time varying. We focus on an empirically relevant case with moderately large instabilities, which are well approximated by a local asymptotic embedding that does not allow the instability to be detected with certainty, even in the limit. We show that for many forms of the instability and a large class of GMM models, usual GMM inference on the subset of stable parameters is asymptotically unaffected by the partial instability. In the empirical analysis of presumably stable parameters—such as structural parameters in Euler conditions—one can thus ignore moderate instabilities in other parts of the model and still obtain approximately correct inference.     

Moments of cross-sectional stock market returns and the German business cycle

Based on monthly data covering the period from 1987 to 2021, we analyse whether cross-sectional moments of stock market returns may provide information about the future position of the German business cycle. We apply in-sample forecasting regressions with and without leading indicators as control variables, pseudo-out-of-sample exercises, autoregressive distributed lag models, and impulse-response functions estimated by local projections. We find in-sample predictive power of the first and third cross-section moments for the future growth of industrial production, even if one controls for well-established leading indicators for the German business cycle. Out-of-sample tests show that these variables reduce the relative mean squared error compared with benchmark models. We do not find a long-run relation between the moment series and industrial production. The dynamic response of industrial production to a shock on the cross-section moments is in line with the other results.     

Further Results on Bayesian Method of Moments Analysis of the Multiple Regression Model

In this article we extend previous BMOM results by showing how information about a variance parameter and its relation to regression coefficients produces a rich class of postdata densities for regression parameters. Prediction and model selection techniques are also described. We also discuss the well-documented link between cross-entropy and the average log odds and then use this criterion in an experiment to compare results obtained from BMOM and Bayes approaches using data generated from known models.     

Moments of OLS estimators in an autoregressive moving average model with explanatory variables

In this paper we derive the moments of the ordinary least squares (OLS) estimators in an autoregressive moving average model by a straightforward technique compared to the one used in Carter and Ullah (1979). The model contains exogenous variables and the technique also provides simpler moment expressions and can be used to derive the moments in more general dynamic models.     

A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model

This paper is concerned with the estimation of the autoregressive parameter in a widely considered spatial autocorrelation model. The typical estimator for this parameter considered in the literature is the (quasi) maximum likelihood estimator corresponding to a normal density. However, as discussed in this paper, the (quasi) maximum likelihood estimator may not be computationally feasible in many cases involving moderate- or large-sized samples. In this paper we suggest a generalized moments estimator that is computationally simple irrespective of the sample size. We provide results concerning the large and small sample properties of this estimator.     

Effects of exchange rate volatility on bilateral import performance of Vietnam: A dynamic Generalised method of Moments panel approach

The paper examines to what extent exchange rate volatility affects Vietnam’s bilateral import value. The two-step system generalized method of moments (GMM) was employed on panel data over a 10-year period. Exchange rate volatility was generated by two measures, including generalised autoregressive conditional heteroskedastic (GARCH) and moving standard deviation (MOVSD). A variety of diagnostic tests which ensure the consistency of GMM estimates were discussed. The main findings confirm that all explanatory variables demonstrated the expected signs, and exchange rate volatility has positive impacts on Vietnam's import flows. However, there is a large overall difference between the results produced with those two volatility measures.     

Moments of truncated <Emphasis Type="Italic">t</Emphasis> and <Emphasis Type="Italic">F</Emphasis> distributions

Truncated distributions commonly arise in economics and related areas, see, for example, Lee (Econ Lett 3:165–169, 1979), Lien (Econ Lett 19:243–247, 1985; Econ Lett 20:45–47, 1986), Burdett (Econ Lett 52:263–267, 1996), Sercu (Insur: Math and Econ 20:79–95, 1997), Abadir and Magdalinos (Econom Theory 18:1276–1287, 2002), and Horrace (J Econom 126:335–354, 2005). In this note, we consider the most commonly encountered truncated distributions with heavy tails: the truncated t distribution and the truncated F distribution. For each of these distributions, we derive explicit expressions for the moments and estimation procedures by the method of moments and the method of maximum likelihood. An application is illustrated to a popular data set in the econometric literature.      

中国海洋大学管理学院会计学系介绍

中国海洋大学管理学院会计学系的前身为青岛海洋大学经贸学院会计学系，成立于1995年1月6日，在此之前系青岛海洋大学经贸学院管理系下设的财务会计专业，于1978年开始招收专科生，1994年设置会计学木科专业，并于同年开始招收木科生。     

我国财政职能观评述

财政职能问题是我国财政基本理论问题之一,它对我国财经实践产生了很大影响。本文介绍了我国财政职能论半个世纪的发展沿革概况。50年代初,从前苏联引入了财政职能论,这主要是“使命观”、“作用观”的“财政职能论”。此后经过数十年发展演变,到70年代末转到“客观功能观”上来了。到了90年代,在借鉴西方理论的基础上,我国财政理论界呈现出愈益强烈的转向“职责观”、“任务观”的趋势。这些变化,是由计划经济、改革开放和市场经济等不同经济体制背景所根本决定的。     

董事会的性质与国企董事会的出路

公司是企业演变的一个更高级形态。现代意义上的董事会具有一定程度的内生性,董事会一方面是股东力量互相抗衡的场所,另一方面是联结各利益相关者的中枢机构,具体而言应具有战略性、调和性、独立性、问责性。国企董事会尚存在政企不分、职责定位不清、独立董事功能有限等问题,政府应首先让董事会独立行事,然后对其问责,同时寻求高素质的董事,促使独立董事主动为小股东利益代言。     

农民增收的曙光初露——苏州市吴中区农民增收问题调查

前一阶段，我们围绕农民增收问题，对吴中区进行了调查，我们总的印象是：农民较大幅度增收的曙光初露，2004年能不能成为农民收入增长从滞缓到较快、城乡居民收入差距从不断扩大到逐步缩小的历史性拐点，还有待时间验证，但不管未来的发展如何，2004年农民收入出现较大幅度增长势头，是一个值得纪念的年份，一个关注“三农”问题的人们喜上眉梢的年份。     

一月份福建省经济形势分析

2011年1月份,福建省各项经济指标在去年较好的基础上稳中有升,工业经济持续走强,投资、出口增长势头强劲,资金供给比较充裕,经济运行迎来“十二五”强劲开局。但也要看到,在全国通胀预期普遍较强的背景下,物价形势渐趋严峻、消费增长后劲不足、城乡居民收入增长赶不上经济增长等结构性问题仍比较突出,福建经济发展仍面临国际国内各种风险和挑战。