Exchange rate forecasting: the errors we’ve really made

We examine the real-time forecasting performance of standard exchange rate models, using dozens of different vintages of data. Favorable evidence of long-horizon exchange rate predictability for the DM and Yen found in Mark (American Economic Review 1995;85:201-218) is present in only a two-year window of data vintages around that originally used. Approximately one-third of the improved forecasting performance over a random walk is eventually undone by data revisions. We also find the models consistently perform better using original release data than fully-revised data, and sometimes forecast better using real-time forecasts of future fundamentals instead of actual future fundamentals, contradicting a cherished presumption dating back to Meese and Rogoff (Journal of International Economics 1983;14:3-24).     

Neighborhood effects and trial on the internet: Evidence from online grocery retailing

For traditional retailers the customer pool is largely bounded in space, whereas an Internet retailer can obtain customers from a wide geographical area. We examine customer trials at Netgrocer.com, and drawing on studies in marketing and economics conjecture that exposure spatially to proximate others (through direct social interaction or observation), can influence decisions of those who have yet to try. Trials arise from utility-maximizing behavior and the model is estimated as a discrete time hazard. The data span: (1) 29,701 residential zip codes, (2) 45 months of transactions since inception, and (3) zip code contiguity relationships. The estimated neighborhood effect is significantly positive and economically meaningful.

Social distance,heterogeneity and social interactions

A crucial ingredient in social interaction models is the structure of peer groups, which link individuals with similar characteristics. We propose and study a dynamic binary choice model with social interactions in which heterogeneity of peer group effects is modeled introducing diversity in individual characteristics and linking pairwise influences to a social distance between individuals. Our framework allows for mimetic as well as anti-mimetic interactions and a heterogeneous structure of peer groups across individuals. Dynamic equilibria are studied in the limit when the number of agents is large. We show that the model exhibits multiple equilibria resulting from conflicts between various group pressures the individuals are subjected to. We study in particular the correlation in the population at equilibrium between the characteristics of the agents and their decisions: this quantity has an interesting empirical interpretation and solves a simple analytical equation when the number of agents is large. Finally we discuss the empirical content of the model and present a consistent estimator for the parameter describing which is consistent for any typical population regardless of the structure of individual characteristics.     

Why do popular mechanisms lack efficiency in random environments?

We consider the problem of randomly assigning n indivisible objects to n agents. Recent research introduced a promising mechanism, the probabilistic serial that has superior efficiency properties than the most common real-life mechanism random priority. On the other hand, mechanisms based on Gale's celebrated top trading cycles method have long dominated the indivisible goods literature (with the exception of the present context) thanks to their outstanding efficiency features. We present an equivalence result between the three kinds of mechanisms, that may help better understand why efficiency differences among popular mechanisms might arise in random environments. This result also suggests that the probabilistic serial and the random priority mechanisms can be viewed as two top trading cycles based mechanisms that essentially differ in the initial conditions of the market before trading starts.     

Statistical analysis of change in networks

A survey is given of random graphs and random graph processes which can be used to describe and analyze networks that are changing with time. Marko-vian change over time, log-linear models for change, and conditionally uniform models for change are described. It is noted that estimation is usually complex if the random graph involves dependent dyads. Models with deterministic change over time may be a way to avoid the difficulties implied by dependent dyads. Logit regression methods are described that can be used to estimate such models.     

Absenteeism in the workplace: results from Danish sample survey data

Absentee data is analyzed using a worker environmental survey carried out in 1995. In a model which distinguishes between discretionary and involuntary absences individuals are assumed to maximize expected utility. This generates a probability distribution of days absent per year which is a mixture of two negative binomial distributions representing the behaviour of two unknown types of agent. This distribution is estimated separately for men and women. For each gender the number of days absent is quite small relative to what researchers have found in other countries. In the empirical model we identify different effects of the explanatory variables for workers with low rates of absenteeism and workers with high rates of absenteeism.     

Revealed stochastic preference: a synthesis

Summary. The problem of revealed stochastic preference is whether probability distributions of observed choices in a population for various choice situations are consistent with a hypothesis of maximization of preference preorders by members of the population. This is a population analog of the classical revealed preference problem in economic consumer theory. This paper synthesizes the solutions to this problem that have been obtained by Marcel K. Richter and the author, and by J. C. Falmagne, in the case of finite sets of alternatives, and utilizes unpublished research of Richter and the author to give results for the non-finite choice sets encountered in economic consumer theory.Received: 13 March 2003, Revised: 11 February 2004, JEL Classification Numbers: D1, C6.The preparation of this paper was supported by the E. Morris Cox endowment at the University of California, Berkeley. I am indebted to Robert Anderson, Salvador Barbara, Werner Hildenbrand, Rosa L. Matzkin, and Aviv Nevo for useful suggestions and comments. I am especially indebted to Marcel K. Richter, who was the source of many of the ideas and arguments contained in this paper.     

Of songs and men: a model for multiple choice with herding

We propose a generic model for multiple choice situations in the presence of herding and compare it with recent empirical results from a Web-based music market experiment. The model predicts a phase transition between a weak imitation phase and a strong imitation, ‘fashion’ phase, where choices are driven by peer pressure and the ranking of individual preferences is strongly distorted at the aggregate level. The model can be calibrated to reproduce the main experimental results of Salganik et al. (Science, 311, 854–856 (2006)); we show in particular that the value of the social influence parameter can be estimated from the data. In one of the experimental situation, this value is found to be close to the critical value of the model.     

Integrating a random utility model for non-timber forest users into a strategic forest planning model

In this paper, we developed a mixed-integer non-linear programming model that integrates access road development and a utility theoretic spatial choice model of hunters into a strategic forest harvest-scheduling model. The model was applied to an operationally sized Forest Management Agreement (FMA) area in central Alberta, Canada. The resulting behavioral model had approximately 2.6 million decision variables and about 96,000 constraints, and was used to examine the impacts of timber harvesting on hunters’ preference for hunting sites. We also evaluated the impacts of various levels of hunter welfare on: (i) the degree of tradeoff between timber and hunting benefits, (ii) timber harvest schedules, and (iii) the marginal costs of producing timber products. The results showed significant tradeoffs between timber and hunting benefits and a clear link between landscape characteristics and changes and behavioral responses by hunters.     

我国农村综合改革的目标、重点和难点

我国农村综合改革的目标是通过经济体制的改革，再造市场经济的微观基础，使亿万农户成为独立的市场主体；通过政治体制的改革，再造基层社会的民主权威，使亿万农民群众当家作主，建立适应社会主义市场经济发展的农村经济新体制，建立精干高效的基层社会管理体制和覆盖城乡的公共财政制度、政府保障的农村义务教育体制，下一步的重点和难点是做好“多予少取放活”这篇大文章。