Spatial econometrics

Specification, identification, estimation and testing of spatial econometric models are described. The multi-region Keynesian model is used to exemplify these methods. The state of the art is reviewed and problems for future work are surveyed.     

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.     

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。     

The econometrics of rational partisan theory

This study develops an econometric intervention model representing the standard empirical approach to testing Alesina's (1987) Rational Partisan Theory implication that elections lead to short-term changes in output growth and unemployment., This intervention approach may be subject to two econometric difficulties., First, the cyclical nature of the autoregressive variables suggest the regression residuals may be serially correlated., Second, the election intervention variable may be endogenous to the cyclical variables., Empirical support for the model is mixed., Ordinary Least Squares estimates for both series produce a coefficient for the intervention variable which is of the predicted sign but not significant., The output growth regression results are robust to serial correlation and endogeneity concerns., For unemployment, controlling for serial correlation generates a significant coefficient, but adjusting for endogeneity does not.,     

Some remarks on the undersized sample problem in econometrics

This paper discusses three approaches to the problem of undersized samples: the estimable function, the generalized inverse and the principal component method. It turns out that the k-class estimation methods amount to ordinary least squares if use is made of estimable function or generalized inverses. The generalized inverse approach is a special case of the estimable function approach and of the principal component solution.     

The econometrics of markets with quantity controls

This paper presents econometric methods for single markets with quantity controls or quotas. A theory of quotas based on disequilibrium/bargaining nations is outlined. Maximum likelihood methods are described for these theories. The methods are applied to the Australian tobacco-leaf market. It is argued that cigarette manufacturers gain slightly more from bargaining proces than tobacco-growers.     

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     

Machine learning versus econometrics: prediction of box office

In this note, we contrast prediction performance of nine econometric and machine learning methods, including a new hybrid method combining model averaging and machine learning, using data from the film industry and social media. The results suggest that machine learning methods have an advantage in addressing short-run noise, whereas traditional econometric methods are better at capturing long-run trend. In addition, once sample heterogeneity is controlled, the new hybrid method tends to strike a right balance in dealing with both noise and trend, leading to superior prediction efficiency.     

Forecast accuracy and uncertainty in applied econometrics: a recommendation of specific-to-general predictor selection

This article provides empirical evidence on the performance of general-to-specific and specific-to-general predictor selection in linear autoregressions. A pseudo ex-ante forecasting comparison is conducted for a set of 494 macroeconomic time series as collected recently by Dees et al. (J Appl Econom 22:22–38, 2007). In total 10,374 time series realizations are contrasted against competing predictions founding on the two search principles. Overall, specific-to-general modeling is characterized by superior performance in terms of smaller absolute forecast errors and better matching of nominal and empirical coverage levels of ex-ante prediction intervals.     

Endogeneity,exogeneity and economic policy empirical evidence on the econometrics of new classical macroeconomics

Zusammenfassung Die Neue Klassische Makroökonomik provozierte nicht nur die ökonomische Theorie, sondern brachte auch eine neue Herausforderung für die ökonometrische Methodologie im Zusammenhang mit der Parameterschätzung unter der Hypothese der rationalen Erwartungsbildung und unter dem Einfluß von Reaktionen auf Maßnahmen der Wirtschaftspolitik, vor allem aber wurde eine neue Diskussion über Kausalität, Endogenität, Exogenität und die Grenzen der traditionellen ökonometrischen Strukturmodelle initiiert.Anhand von Wiener-Granger-Kausalitätstests wird die Grenze der Aussagefähigkeit dieser Testverfahren zur Identifikation von Abhängigkeiten zwischen ökonomischen Variablen diskutiert. Mittels des datenanalytischen Verfahrens der Hauptkomponentenanalyse wird die Möglichkeit einer altenativen Parametrisierung einer ökonomischen Datenbasis demonstriert, aus der ein stochastisches Maß für die Endogenität bzw. Exogenität einer Variablen bezüglich eines Datensatzes entwickelt wird.     

Technology–Policy Interaction in Frictional Labour-Markets

Does capital-embodied technological change play an important role in shaping labour-market outcomes? To address this question, we develop a model with vintage capital and search-matching frictions where irreversible investment in new vintages of capital creates heterogeneity in productivity among firms, matched as well as vacant. We demonstrate that capital-embodied technological change reduces labour demand and raises equilibrium unemployment and unemployment durations. In addition, the presence of labour-market regulations (unemployment benefits, payroll taxes, and firing costs) exacerbates these effects. Thus, the model is qualitatively consistent with some key features of the European labour-market experience relative to that of the U.S.: it features a sharper rise in unemployment and a sharper fall in the vacancy rate and the labour share. A calibrated version of our model suggests that this technology–policy interaction could explain a sizeable fraction of the observed differences between the U.S. and Europe.     

虚拟社区中的社群交互:研究综述

梳理了虚拟社区的定义,虚拟社区中社群的定义、特征和类型,虚拟社区中社群交互的定义及其构成维度,参与社群交互的动机;总结了学者们从不同角度提出的社群交互模型;最后在已有研究的基础上指出了未来可能的研究方向。     

团队互动双F导向理论、量表开发及互动风格

已有研究探讨了团队互动的若干相关问题,为团队互动理论的发展奠定了基础,但一些基本问题还需要进一步深入地解释。就团队互动过程这一问题而言,学者们从不同研究层面出发,得出的大都是任务完成和人际维系两个重要方面。本文认为,对团队互动过程的考察存在另外两个维度:事实导向与情感导向。本文将此称为团队互动双F导向理论,并通过三个研究过程完成团队互动双F导向量表的开发,进而基于两维度将团队互动风格划分为四种类型,最后指出本研究的理论与实践意义及未来研究方向。     

证券市场的博弈机制与投资者保护

证券中介机构是证券市场的主要参与者,肩负着保护弱势股东利益的天职.实践中,由于选聘与约束机制的错位,导致了中介机构较为普遍的"变节不忠"现象,致使中小投资者的弱势处境雪上加霜.为确保中小股东话语权,使中介机构真正独立执业,需结合国情成立中国投资者协会,并由其负责选聘中介机构,由此可以改进股市博弈机制,并完善上市公司治理.