Redundancy of Moment Conditions in Restricted GMM Estimation

Using a novel approach to calculating the rank of the difference of two asymptotic variance matrices, The author derives the necessary and sufficient conditions for an extra set of moment conditions to be redundant given a set of moment conditions in GMM estimation with general nonlinear restrictions. The necessary and sufficient conditions derived in this paper include as a special case the redundancy of moment conditions for GMM estimation without restrictions that was first derived by Breusch et al. (1999). Therefore this paper advances the research on redundancy of moment conditions from unrestricted GMM estimation to a larger class of GMM estimation. To show their usefulness, the main results of the current paper are applied to instrumental variables estimation of linear regression models and the efficient estimation of seemingly unrelated regressions models, subject to restrictions.     

A simple proof of a rate of embedding for the partial sum process

A simple proof of Skorokhod embedding of the partial sum process at a rate is given. Nothing more sophisticated than the HBjek-RBnyi inequality, the monotone inequality, the one sided reflection principal for Brownian motion and Mill's ratio is used.     

特殊螺纹接头油套管选用中存在的问题及使用注意事项

通过深入油田进行大量调查研究,分析总结了我国油田近年来在选用特殊螺纹接头油套管中存在的问题以及产生的严重后果,并提出了选用特殊螺纹油套管应注意的事项.认为,特殊螺纹接头油套管设计特点、加工精度和最终下井时螺纹接头配合状态是决定其优良的密封性能和连接强度的关键;要用好特殊螺纹油套管,应从扣型选择和材料选择做起,制定合理的验收标准,把好到货验收关,并应配备专门的特殊螺纹接头油套管下井设备、工具及上扣控制系统,严格执行特殊螺纹接头油套管下井操作规程.     

Modeling time-varying higher-order conditional moments: A survey

Since the introduction of the Autoregressive Conditional Heteroscedasticity (ARCH) model, the literature on modeling the time-varying second-order conditional moment has become increasingly popular in the last four decades. Its popularity is partly due to its success in capturing volatility in financial time series, which is useful for modeling and predicting risk for financial assets. A natural extension of this is to model time variation in higher-order conditional moments, such as the third and fourth moments, which are related to skewness and kurtosis (tail risk). This leads to an emerging literature on time-varying higher-order conditional moments in the last two decades. This paper outlines recent developments in modeling time-varying higher-order conditional moments in the economics and finance literature. Using the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) framework as a foundation, this paper provides an overview of the two most common approaches for modeling time-varying higher-order conditional moments: autoregressive conditional density (ARCD) and autoregressive conditional moment (ARCM). The discussion covers both the theoretical and empirical aspects of the literature. This includes the identification of the associated skewness–kurtosis domain by using the solutions to the classical moment problems, the structural and statistical properties of the models used to model the higher-order conditional moments and the computational challenges in estimating these models. We also advocate the use of a maximum entropy density (MED) as an alternative method, which circumvents some of the issues prevalent in these common approaches.     

The macroeconomic implications of corruption in the choice to educate

Educational corruption is a worldwide phenomenon, yet its macroeconomic implications are largely unknown. We formulate a fixed-price bribe model to explore the impact educational corruption may have on growth, income inequality and other factors. When using aggregate ability as our measure of growth, our model produces a v-shaped relationship between growth and corruption, suggesting that corruption is detrimental to growth at lower levels of bribery, but growth enhancing at greater levels. A cross-section of countries is used to empirically test our model and provides qualitative support for our modeling structure. Distributional analysis reveals that an increased prevalence of corruption leads to greater income inequality and reduces the ability of education to signal quality.     

异质性科技人力资源对劳动收入份额影响的实证研究

使用中国大陆省级地区2008—2019年的面板数据从多个维度对科技人力资源对劳动收入份额的影响进行研究.结果显示:科技人力资源在东部地区与劳动收入份额同向变动,在中西部地区与劳动收入份额反向变动;高科技人力资源地区对劳动收入份额有显著正向影响,低科技人力资源地区对劳动收入份额有显著负向影响.在保证研究结论稳健性的基础上提出了对应的建议.     

The log-moment formula for implied volatility

We revisit the foundational Moment Formula proved by Roger Lee fifteen years ago. We show that in the absence of arbitrage, if the underlying stock price at time T admits finite log-moments $\mathbb{E}[|\log S_T{|}^q]$ for some positive q, the arbitrage-free growth in the left wing of the implied volatility smile for T is less constrained than Lee's bound. The result is rationalized by a market trading discretely monitored variance swaps wherein the payoff is a function of squared log-returns, and requires no assumption for the underlying price to admit any negative moment. In this respect, the result can be derived from a model-independent setup. As a byproduct, we relax the moment assumptions on the stock price to provide a new proof of the notorious Gatheral–Fukasawa formula expressing variance swaps in terms of the implied volatility.     

Testing identifying assumptions in bivariate probit models

This paper considers the bivariate probit model's identifying assumptions: linear index specification, joint normality of errors, instrument exogeneity, and relevance. First, we develop sharp testable equalities that detect all possible observable violations of the assumptions. Second, we propose an easy-to-implement testing procedure for the model's validity using existing inference methods for intersection bounds. The test achieves correct empirical size and performs well in detecting violations of the conditions in simulations. Finally, we provide a road map on what to do when the bivariate probit model is rejected, including novel bounds for the average treatment effect that relax the normality assumption.     

并联式TBCC发动机排气系统性能数值模拟

针对一个并联式涡轮基组合循环(Turbine Based Combined Cycle, TBCC)发动机排气系统的气动方案,对其在整个飞行包线范围内典型工作点上的流场进行了数值模拟研究,获得了飞行包线范围内排气系统相应的推力系数、升力、俯仰力矩随飞行马赫数的变化关系。计算结果显示,在整个飞行包线范围内,排气系统的轴向推力系数随着飞行马赫数先减小后增大,在跨声速飞行时降到最低 Ma=0.9,涡喷不加力时为0.562,加力时0.662),在设计点附近达到最大;升力和俯仰力矩性能在亚声速及跨声速飞行时较差,在超声速飞行时随着飞行马赫数增加逐渐好转。表明排气系统在跨声速飞行范围内工作时应采取措施以改善其性能。 