计量经济学的地位、作用和局限

目前,计量经济学和微观经济学与宏观经济学一起构成了中国高校经济管理类本科生和研究生必修的三门经济学核心理论课程。计量经济学在中国经济学界受到越来越广泛的关注,其方法与工具也在实证研究中被大量应用。本文将阐述现代计量经济学的基本思想和方法论,计量经济学在经济学研究中的地位、作用和局限性,计量经济学与数理经济学、数理统计学及经济统计学之间的差异,等等,并运用大量经济学和金融学中有代表性的实例说明计量经济学的应用以及在应用时应注意的若干问题。     

Introduction: P.A.V.B. Swamy's contribution to Econometrics

This paper introduces this special issue of Economic Modelling which marks the significant contribution made by P.A.V.B Swamy to econometrics. His work spans almost 50 years and has been both innovative and challenging. The many distinguished authors who have contributed to this volume attests to the high regard in which he is held in the profession.     

Non-causal understanding with economic models: the case of general equilibrium

How can we use models to understand real phenomena if models misrepresent the very phenomena we seek to understand? Some accounts suggest that models may afford understanding by providing causal knowledge about phenomena via how-possibly explanations. However, general equilibrium models, for example, pose a challenge to this solution since their contribution appears to be purely mathematical results. Despite this, practitioners widely acknowledge that it improves our understanding of the world. I argue that the Arrow–Debreu model provides a mathematical how-possibly explanation which establishes claims of mathematical dependence. The account developed reveals how mathematical knowledge can inform claims about the world, allow ‘what-if-things-had-been-different’ inferences, and thus improve our understanding.     

Ad valorem tariff and spatial equilibrium models

The objectives of this article are to illustrate theoretically and empirically how to incorporate an ad valorem tariff in spatial equilibrium models and show the equivalence of three approaches (primal, dual and MCP) of spatial equilibrium trade modelling. The article lays out in detail the theory, empirical applications and the results for all three approaches so that trade modellers can easily follow and apply them in their work. The primal approach is commonly used by spatial equilibrium modellers, though the dual approach corresponds to the textbook depiction of consumer surplus, producer surplus and gains from trade. The Mixed Complementarity Problem (MCP) is not commonly used by spatial equilibrium modellers, though it is relatively simpler if the modeller knows the equilibrium conditions. This article also presents advantages and disadvantages of each approach.     

Sensitivity analysis for applied general equilibrium models in the presence of multiple Walrasian equilibria

Summary. Pagan and Shannon's (1985) widely used approach employs local linearizations of a system of non-linear equations to obtain asymptotic distributions for the endogenous parameters (such as prices) from distributions over the exogenous parameters (such as estimates of taste, technology, or policy variables, for example). However, this approach ignores both the possibility of multiple equilibria as well as the problem (related to that of multiplicity) that critical points might be contained in the confidence interval of an exogenous parameter. We generalize Pagan and Shannon's approach to account for multiple equilibria by assuming that the choice of equilibrium is described by a random selection. We develop an asymptotic theory regarding equilibrium prices, which establishes that their probability density function is multimodal and that it converges to a weighted sum of normal density functions. An important insight is that if a model allows multiple equilibria, say , but multiplicity is ignored, then the computed solution for the i-th equilibrium generally no longer coincides with the expected value of that i-th equilibrium. The error can be large and correspond to several standard deviations of the mean's estimate. Received: December 7, 1999; revised version: December 4, 2000     

Correlated equilibrium in evolutionary models with subpopulations

We study a version of the multipopulation replicator dynamics, where each population is comprised of multiple subpopulations. We establish that correlated equilibrium is a natural solution concept in this setting. Specifically, we show that every correlated equilibrium is equivalent to a stationary state in the replicator dynamics of some subpopulation model. We also show that every interior stationary state, Lyapunov stable state, or limit of an interior solution is equivalent to a correlated equilibrium. We provide an example with a Lyapunov stable limit state whose equivalent correlated equilibrium lies outside the convex hull of the set of Nash equilibria. Finally, we prove that if the matching distribution is a product measure, a state satisfying any of the three conditions listed above is equivalent to a Nash equilibrium.     

Evaluation of macroeconometric models

The disparity between the practice of applied econometricians and the econometric methodology they claim to profess has been widely noted. This paper attempts to examine and systematize the practice in a way that recognizes the variety of practical, theoretical and statistical considerations that applied econometric work must take account of. The discussion is organized under three criteria: relevance, consistency and adequacy; and the relationship between these criteria and the current critiques of applied econometrics is examined.     

Correlated equilibrium and sunspot equilibrium

Summary We show by an example that the sunspot equilibria of a competitive economy are not equivalent to the correlated equilibria if sunspots generate transfers between (extrinsic) states of nature (through a contingent commodities market). Nevertheless, we prove that the sunspot equilibrium allocations of a standard overlapping generations economy coincide with the (strategic form) correlated equilibrium allocations of a natural market game mimicking the economy.     

Quantal-response equilibrium models of the ultimatum bargaining game

This paper investigates the implications of quantal response equilibrium (QRE) models [McKelvey and Palfrey, 1995, Games Econ. Behav. 10, 6–38; 1998, Exper. Econ. 1, 9–41] in the ultimatum bargaining game. It is shown that, in a normal-form QRE (NQRE), each bargainer's decision depends critically on the anticipated behavior of the other, and there is a NQRE in which the proposer makes any offer between zero and equal split as a strict best response. The application of NQRE to the experimental data [Slonim and Roth, 1998, Econometrica 66, 569–596] suggests that the history dependence observed in the experiment is a result of the strategic interactions between bargainers.     

Recursive equilibrium in endogenous growth models with incomplete markets

This paper analyzes the existence of recursive equilibria in a class of convex growth models with incomplete markets. Households have identical CRRA-preferences, production displays constant returns to scale with respect to physical and human capital, and all markets are competitive. There are aggregate productivity shocks that affect aggregate returns to physical and human capital investment (stock returns and wages), and there are idiosyncratic shocks to human capital (idiosyncratic depreciation shocks) that only affect individual human capital returns. Aggregate and idiosyncratic shocks follow a joint Markov process. Conditional on the aggregate state, idiosyncratic shocks are independently distributed over time and identically distributed across households. Finally, households have the opportunity to trade assets in zero net supply with payoffs that depend on the aggregate shock, but markets are incomplete in the sense that there are no assets with payoffs depending on idiosyncratic shocks. It is shown that there exists a recursive equilibrium for which equilibrium prices (returns) only depend on the exogenous aggregate shock variable (the wealth distribution is not a relevant state variable). Moreover, the allocation associated with this recursive equilibrium is identical to the equilibrium allocation of an economy in which households live in autarky and face both aggregate and idiosyncratic risk.I would like to thank for helpful comments Peter Howitt, Bob Lucas, Michael Magill, Tomo Nakajima, Herakles Polemarchakis, Martine Quinzii, Kevin Reffett, an anonymous referee, and seminar participants at various universities and conferences.     

A general existence theorem for equilibrium price dispersions

This paper presents sufficient conditions for the existence of non-degenerate equilibrium price dispersions in economies with sequentially searching consumers. This existence result is obtained by fully utilizing the fixed-point property of equilibrium price dispersions. Compared with the existing literature, the formal framework used in this paper is very general. Consequently, the results of the paper are valid for a large class of economic models.     

财政分权与中国省域经济关系的空间计量检验

笔者利用2000年～2009年中国省域经济统计数据,借助地理加权回归方法,对财政分权与中国省域经济的关系进行了考察,结果表明:中国省域经济间存在显著空间相关关系。研究中,财政分权与经济之间的二次曲线关系得到了部分证实,但这一关系在不同省份、不同年份间均存在较大差异,从而导致最优财政分权度频繁变化;对于各省而言,确定合理的财政分权度范围,尚需更多未来数据支持。     

The role of miniatures in computable general equilibrium modelling : Experience from ORANI

ORANI is a large general equilibrium model of the Australian economy used by policy analysts and university research workers. This paper describes the role of miniature models in the development and application of ORANI. Miniature versions of ORANI have been useful in (a) explaining results; (b) detecting errors; (c) conducting sensitivity analyses; (d) experimenting with new specifications; and (e) teaching. The present paper concentrates mainly on (a) and (b). A miniature model is developed to explain ORANI results for the effects of increases in protection, reductions in the real costs of labour, increases in oil prices and increases in real aggregate demand.     

Adjusting the model to adjust the world: constructive mechanisms in postwar general equilibrium theory

Economic methodologists most often study the relations between models and reality while focusing on the issues of the model's epistemic relevance in terms of its relation to the ‘real world’ and representing the real world in a model. We complement the discussion by bringing the model's constructive mechanisms or self-implementing technologies in play. By this, we mean the elements of the economic model that are aimed at ‘implementing’ it by envisaging the ways to change the reality in order to bring it more in line with the model. We are thus concerned mainly not with the ways to change the model to ‘fit’ the reality, but rather with the model's own armature that is supposed to transform the world along theoretical lines. The case we study is Arrow–Debreu–McKenzie general equilibrium model. In particular, we show the following: gradient methods and stability could be regarded as constructive mechanisms of general equilibrium modeling in the context of market socialism debates; the obsession of general equilibrium theorists with these concepts can be partly explained by the fact that they hoped not to be faithful to reality, but rather to adjust it to fit the theoretical model; mechanism design theory initiated by the stability theorist Leonid Hurwicz could be seen as a successor of this position. We conclude by showing the relevance of this analysis for epistemic culture of much of contemporary economics and hence, claim that it is an important complement to the traditional philosophy of economic modeling.     

Indeterminacy of equilibrium in stochastic OLG models

Summary. This paper studies the equilibria of a stochastic OLG exchange economies consisting of identical agents living for two periods, and having the opportunity to trade a single infinitely-lived asset in constant supply. The agents have uncertain endowments and the stochastic process determining the endowments is Markovian. For such economies, the literature has focused on studying strongly stationary equilibria in which quantities and prices are functions of the exogenous states of nature which describe the uncertainty: such equilibria are generalizations of deterministic steady states, and this paper investigates if they have the same special status as asymptotic limits of other equilibrium paths. The difficulty in extending the analysis of equilibria beyond the class of strongly stationary equilibria comes from the presence of indeterminacy: we propose a procedure for overcoming this difficulty which can be decomposed into two steps. First backward induction arguments are used to restrict the domain of possible prices; then if some indeterminacy is left, expectation functions are introduced to make the forward equilibrium equations determinate. The properties of the resulting trajectories, in particular their asymptotic properties, can then be studied. For the class of models that we study this procedure provides a justification for focusing on strongly stationary equilibria. For the model with positive dividends (equity or land) the justification is complete, since we show that the strongly stationary equilibrium is the unique equilibrium. For the model with zero dividends (money) there is a continuum of self-fulfilling expectation functions resulting in a continuum of equilibrium paths starting from any admissible initial condition: under conditions given in the paper, these equilibrium paths converge almost surely to one of the strongly stationary equilibria-either autarchy or the stochastic analogue of the Golden Rule. Received: November 19, 2001; revised version: March 22, 2002 RID="*" ID="*" We are grateful for the stimulating environment and research support provided by the Cowles Foundation at Yale University during the Fall 2000 when this paper was first conceived. We are also grateful to the participants of the SITE Workshop at Stanford University and the Incomplete Markets Workshop at SUNY Stony Brook during the summer 2001 for helpful discussions. Correspondence to: M. Magill     

The inherent dangers of using computable general equilibrium models as a single integrated modelling framework for sustainability impact assessment. A critical note on Böhringer and Löschel (2006)

The search for methods of assessment that best evaluate and integrate the trade-offs and interactions between the economic, environmental and social components of development has been receiving a new impetus due to the requirement that sustainability concerns be incorporated into the policy formulation process. A paper forthcoming in Ecological Economics [Böhringer, C., Löschel, A., in press. Computable general equilibrium models for sustainability impact assessment: status quo and prospects, Ecological Economics.] claims that Computable General Equilibrium (CGE) models may potentially represent the much needed “back-bone” tool to carry out reliable integrated quantitative Sustainability Impact Assessments (SIAs). While acknowledging the usefulness of CGE models for some dimensions of SIA, this commentary questions the legitimacy of employing this particular economic modelling tool as a single integrating modelling framework for a comprehensive evaluation of the multi-dimensional, dynamic and complex interactions between policy and sustainability. It discusses several inherent dangers associated with the advocated prospects for the CGE modelling approach to contribute to comprehensive and reliable sustainability impact assessments. The paper warns that this reductionist viewpoint may seriously infringe upon the basic values underpinning the SIA process, namely a transparent, heterogeneous, balanced, inter-disciplinary, consultative and participatory take to policy evaluation and building of the evidence-base.     

Two-sided altruism, Lindahl equilibrium, and Pareto optimality in overlapping generations models

Summary. This paper extends the Samuelsonian overlapping generations general equilibrium framework to encompass a variety of altruistic preferences by recasting it into a Lindahl equilibrium framework. The First and the Second Welfare theorems hold for Lindahl equilibrium with respect to the Malinvaud optimality criterion but not with respect to the Pareto optimality criterion. A complete characterization of Pareto optimal allocations is provided using the Lindahl equilibrium prices.Received: 2 October 2003, Revised: 13 September 2004, JEL Classification Numbers: D51, D62, D64, C62.An earlier draft of the paper was prepared for presentation at the Sixth World Congress of the Econometric Society, 1990, Barcelona, Spain. Much of this work was done when I was at Yale University and University of California-San Diego. I am grateful to an anonymous referee of this journal and to Don Brown, Vince Crawford and Joel Sobel for many insightful comments and encouragements on an earlier draft of the paper.     

简化一般均衡模型中一般均衡点的确定

经济学教材在讨论一般均衡的时候,往往以两个人、两种生产要素、两种产品这种最简单的社会作为研究对象,它们通常只阐述了一般均衡的存在,但都没有说明这种最简单的社会一般均衡点的确定即以此作为研究对象。     

Temporary financial equilibrium

Summary. In a two-period pure exchange economy with financial assets, a temporary financial equilibrium is an equilibrium of the current spot and security markets given forecast functions of future prices and payoffs. The temporary equilibrium model can then be interpreted as an Arrow-Debreu economy where preferences depend on prices. This identification implies, among other consequences, the existence and the generic determinateness of the financial temporary equilibria associated with given forecast functions. Received: December 29, 1999; revised version: December 20, 2001     

Rational expectations for large CGE models: A practical algorithm and a policy application

We describe a simple iterative method for solving large dynamic CGE models under rational expectations. Details are given for Australia's MONASH model but the approach applies to a wide range of CGE models. The method is automated in the RunMONASH Windows software, putting CGE modelling under rational expectations within the reach of non-specialist modellers. We provide an illustrative application in which MONASH results under rational expectations are compared with results under static expectations. The application and supporting software can be downloaded. Results from the application are interpreted in terms of elementary economic mechanisms.