ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS

The advent of massive amounts of textual, audio, and visual data has spurred the development of econometric methodology to transform qualitative sentiment data into quantitative sentiment variables, and to use those variables in an econometric analysis of the relationships between sentiment and other variables. We survey this emerging research field and refer to it as sentometrics, which is a portmanteau of sentiment and econometrics. We provide a synthesis of the relevant methodological approaches, illustrate with empirical results, and discuss useful software.     

Cointegration in a historical perspective

We analyse the impact of the Engle and Granger (1987) article by means of its citations over time, and find evidence of a second life starting in the new millennium. Next, we propose a possible explanation of the success of this citation classic. We argue that the conditions for its success were just right at the time of its appearance, because of the growing emphasis on time series properties in econometric modelling, the empirical importance of stochastic trends, the availability of sufficiently long macroeconomic time series, and the availability of personal computers and econometric software for carrying out the new techniques.     

基于计量经济学的陕西省建筑企业经济分析

本文通过收集、整理陕西省建筑企业的相关数据,运用计量经济学多元回归数理统计知识,对陕西省建筑企业的生产、收益、负债情况进行了分析,说明陕西省建筑企业在1998-2008年期间整体发展为规模报酬递增型,由此计算出陕西省建筑企业的C-D生产函数,得出结论认为:陕西省建筑企业的发展主要依赖资本和劳动的投入,资本投入对陕西省建筑企业的贡献率大于劳动的投入。最后提出了相应的政策建议。     

On reproducible econometric research

Recent software developments are reviewed from the vantage point of reproducible econometric research. We argue that the emergence of new tools, particularly in the open‐source community, have greatly eased the burden of documenting and archiving both empirical and simulation work in econometrics. Some of these tools are highlighted in the discussion of two small replication exercises. Copyright © 2009 John Wiley & Sons, Ltd.     

The Maple computer algebra system: A review

We set out the main features of Maple V, Release 3, and discuss its potential value to econometricians. Computer algebra systems, of which Maple is a leading example, have developed with the increased power of modern computers, but require skill and patience to use. It seems likely they will find a place in the econometrician's toolkit for work at the interface between analytic and numerical work, where they should prove valuable. However, although Maple has many of the features of conventional statistical/econometric/numerical software, it should not be seen as a substitute.     

构建《计量会计学》的设想

通过对计量经济学及其他计量学科发展的分析,探讨了建立计量会计学的相应条件及相关概念。明确了计量会计学的客观基础、方法、内容,并对计量会计学体系的构建进行初探。     

劳动力工资水平标准探讨

劳动力工资水平作为关乎国计民生的重大问题,一直受到政府部门和社会各界的高度关注。文章采用理论分析与实证研究相结合的研究方法,利用专业的计量经济学软件Eviews,分析出与劳动力工资水平密切相关的宏观因素。     

Is econometrics useful for private policy making? A case study of replacement policy at an auto rental company

The goal of this paper is to illustrate the potential usefulness of econometrics as a tool to assist private policy makers. We provide a case study and detailed econometric analysis of the automobile replacement policy adopted by a large car rental company. Unlike public policy making–where the benefits from using econometric models and “science-based” approaches to policy making are hard to quantify because the outcomes of interest are typically subjective quantities such as “social welfare”–in the case of firms there is an objective, easily quantifiable criterion for judging whether policy A is better than policy B: profits. We introduce and estimate an econometric model of the rental histories of individual cars in the company’s fleet. Via stochastic simulations, we show that the model provides a good approximation to the company’s actual operations. In particular, the econometric model is able to reproduce the extraordinarily high rates of return that the company obtains on its rental cars, with average internal rates of return between purchase and sale of approximately 50%. However, the econometric model can simulate outcomes under a range of counterfactual vehicle replacement policies. We use the econometric model to simulate the profitability of an alternative replacement policy under pessimistic assumptions about the rate maintenance costs would increase and rental rates would have to be decreased if the company were to keep its rental cars longer than it does under the status quo. Depending on the vehicle type, we find that the company’s expected discounted profits would be between 6% to over 140% higher under the suggested alternative operating strategy where vehicles are kept longer and rental rates of older vehicles are discounted to induce customers to rent them. The company found this analysis to be sufficiently convincing that it undertook an experiment to verify the predictions of the econometric model.     

衡阳市财政收入的影响因素研究

财政收入主要受重大工业项目投资、国民生产总值、税收、产业结构等因素的影响。本文针对衡阳市财政收入影响因素建立了计量经济模型,利用E-views软件对收集到的数据进行相关、回归分析,指出了影响财政收入的主要因素及其影响程度,并提出了衡阳市财政收入增长的对策和建议。     

Model Selection for Monetary Policy Analysis: How Important is Empirical Validity?*

We investigate the economic significance of trading off empirical validity of models against other desirable model properties. Our investigation is based on three alternative econometric systems of the supply side, in a model that can be used to discuss optimal monetary policy in Norway. Our results caution against compromising empirical validity when selecting a model for policy analysis. We also find large costs from basing policies on the robust model, or on a suite of models, even when it contains the valid model. This confirms an important role for econometric modelling and evaluation in model choice for policy analysis.     

我国能源生产率的地区划分及影响因素分析

能源生产率状况以其对能源消费量的重要影响而引起了国内外理论界的广泛关注。本文整理了我国各个省区1995～2003年的数据,并以此为基础来研究这些省区能源生产率的分类情况及差别原因。通过聚类分析,本文将各省划分为能源高效区、中效区和低效区三类,并利用面板数据计量分析了经济发展水平、产业结构、投资情况以及能源价格等因素对能源生产率的影响。     

存在遗漏变量时的内生性研究

存在遗漏变量时回归系数的估计是计量经济学的一个重要内容。本文讨论单方程计量经济模型中随机解释变量的内生性,指出了目前的计量经济理论所存在的问题,提出了普通最小二乘估计一致性判别的新方法,并证明了存在遗漏变量情况下的普通最小二乘估计仍是一致估计。     

Incorporating Transportation Network Structure in Spatial Econometric Models of Commodity Flows

Abstract

We use a spatial econometric extension of the traditional regression-based gravity model to model commodity flows, focusing on a formal methodology for incorporating information regarding the highway network into the spatial connectivity structure of the spatial autoregressive econometric model. We show that our simple approach to incorporating this information in the model produces improved model fit and higher likelihood function values. Empirical estimates of the relative importance of the different types of origin–destination connectivity between regions indicates that the strongest spatial autoregressive effects arise when both origin and destination regions have neighbouring regions located on the highway network.     

Software for parallel computing: the LAM implementation of MPI

Many econometric problems can benefit from the application of parallel computing techniques, and recent advances in hardware and software have made such application feasible. There are a number of freely available software libraries that make it possible to write message passing parallel programs using personal computers or Unix workstations. This review discusses one of these—the LAM (Local Area Multiprocessor) implementation of MPI (the Message Passing Interface). Copyright © 2001 John Wiley & Sons, Ltd.     

The Inforum Approach to Interindustry Modeling

Inforum models are described as internationally-linkable, dynamic, interindustry models which imitate as closely as possible the way the economy behaves. They models are contrasted with classical input–output models, pure econometric models, and CGE models. Their common elements are set out and the common software described. The rest of this issue of this Journal is introduced.     

Pitfalls in estimating equilibrium exchange rates for transition economies

The literature on equilibrium exchange rates for the central and eastern European countries has mushroomed in recent years. In this paper, we discuss the econometric pitfalls involved in such estimations and endow the reader with the methodological ingredients to avoid such biases. We review the commonly used approaches and identify problems related to the most straightforward econometric procedures as they often do not take the transition process properly into account. As an alternative, we propose a two-stage “out-of-sample” strategy that consists of estimating the relationship between the exchange rates and fundamentals and the extrapolation of these relationships to transition economies.     

Uncertainty in Integrated Regional Models

This paper examines the nature of uncertainty in integrated econometric+input–output (ECIO) regional models. We focus on three sources of uncertainty: (a) econometric model parameter uncertainty; (b) econometric disturbance term uncertainty; and (c) input–output coefficient uncertainty. Through a series of Monte Carlo simulations we analyse the relative importance of each component as well as the question of how their interaction may propagate through the integrated model to affect the distributions of the endogenous variables. Our results suggest that there is no simple answer to the question of which source of uncertainty is most important in an integrated model. Instead, that answer is conditioned upon the focus of the analysis and whether the industry specific or macro level variables are of central concerns.     

ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK*

Abstract Can asset price bubbles be detected? This survey of econometric tests of asset price bubbles shows that, despite recent advances, econometric detection of asset price bubbles cannot be achieved with a satisfactory degree of certainty. For each paper that finds evidence of bubbles, there is another one that fits the data equally well without allowing for a bubble. We are still unable to distinguish bubbles from time‐varying or regime‐switching fundamentals, while many small sample econometrics problems of bubble tests remain unresolved.     

Econometric models of asymmetric ascending auctions

We develop econometric models of ascending (English) auctions which allow for both bidder asymmetries as well as common and/or private value components in bidders’ underlying valuations. We show that the equilibrium inverse bid functions in each round of the auction are implicitly defined (pointwise) by a system of nonlinear equations, so that conditions for the existence and uniqueness of an increasing-strategy equilibrium are essentially identical to those which ensure a unique and increasing solution to the system of equations. We exploit the computational tractability of this characterization in order to develop an econometric model, thus extending the literature on structural estimation of auction models. Finally, an empirical example illustrates how equilibrium learning affects bidding during the course of the auction.