CEV模型的单位根检验研究

CEV模型（Constant Elasticity of Variance Model）作为常用的利率模型，在实证分析中得到了广泛运用，但是其单位根检验一直被忽略或者被默认可以使用迪基一富勒检验。本文首次运用Box—Cox变换的技巧，针对CEV模型的单位根检验问题，找到了合适的统计量并且证明其渐进分布存在，然后通过蒙特卡罗方法求出了该统计量的分布表。得到了在大样本的情形下可以沿用迪基一富勒检验，但在小样本的情形下与迪基一富勒检验有所偏差的结论。     

离散选择模型的基本原理及其发展演进评介

离散选择模型的研究真正兴起于19世纪50年代末，属于微观计量经济学的范畴。该模型能够对个体和家庭行为进行经验性的统计分析，因而在经济学和其他社会科学中得到广泛的应用。本文从离散选择模型的基本性质及效用最大化的理论背景出发，指出logit模型虽然使用的是最早并且最为广泛的离散选择模型，但是其存在着三大局限性：不能表示随机口味的变化、暗含成比例的替代形式和不能处理不可观测因素在不同期间相关的情形。GEV（含嵌套logit）、probit和混合logit模型等其他的离散选择模型，很大程度上都是为了避免这些限制而产生并发展起来的。     

Trade intensity,country size and corruption

Abstract. Several authors claim to provide evidence that governmental corruption is less severe in countries where trade intensity is higher or populations are smaller. We argue that theory is highly ambiguous on these questions, and demonstrate that empirical links between corruption and trade intensity – or country size, strongly related to trade intensity – are sensitive to sample selection bias. Most available corruption indicators provide ratings only for those countries in which multinational investors have the greatest interest: these tend to include almost all large nations, but among small nations only those that are well-governed. We find that the relationship between corruption and trade intensity disappears, using newer corruption indicators with substantially increased country coverage. Similarly, the relationship between corruption and country size weakens or disappears using samples less subject to selection bias. Received: July 2001 / accepted: April 2002 We thank Anand Swamy and two anonymous referees for helpful comments and suggestions, Paul Schorosch for able research assistance, and Ray Fisman, Roberta Gatti, Aart Kraay, and Shang-jin Wei for kindly providing data. The conclusions of this paper are not intended to represent the views of the World Bank, its Executive Directors, or the countries they represent.     

The graph of Lindahl correspondence as the unique von Neumann-Morgenstern abstract stable set

In this paper, we consider a continuum economy with a finite number of types of agent, and several private and public goods. The main result of the paper is that the graph of the equal-treatment Lindahl equilibria mapping is the unique abstract stable set with respect to the dominance relation in economies with crowding effects introduced by Vasil'ev et al. in 1995. The external stability of this mapping implies that, for any equal-treatment allocation x in , that is not a Lindahl equilibrium, there exists a subeconomy of such that one of its equal-treatment Lindahl allocations blocks x. This result is a counterpart of the theorem of Mas-Colell for Aumann's atomless market with private goods.     

Job satisfaction and gender: Why are women so happy at work?

By most objective standards, women's jobs are worse than men's, yet women report higher levels of job satisfaction than do men. This paper uses a recent large-scale British survey to document the extent of this gender differential for eight measures of job satisfaction and to evaluate the proposition that identical men and women in identical jobs should be equally satisfied. Neither the different jobs that men and women do, their different work values, nor sample selection account for the gender satisfaction differential. The paper's proposed explanation appeals to the notion of relative well-being, especially relative to workers' expectations. An identical man and woman with the same jobs and expectations would indeed report identical job satisfaction, but women's expectations are argued to be lower than men's. This hypothesis is supported by the finding that the gender satisfaction differential disappears for the young, the higher-educated, professionals and those in male-dominated workplaces, for all of whom there is less likely to be a gender difference in job expectations.     

Proportionally adjusted marginal pricing method to share joint costs

We consider the cost sharing problem with divisible demands of heterogeneous goods. We propose a cost sharing method called Proportionally Adjusted Marginal Pricing (PAMP) method. PAMP is a nonadditive (in the cost function) extension of average cost pricing. We introduce an axiom called Local Independence (LI) and use LI together with Continuity, Proportionality, and Scale Invariance to characterize PAMP. Received: 23 March 2001 / Accepted: 16 November 2001 I thank Yves Sprumont, Hervé Moulin, and Ahmet Alkan for discussions, comments and suggestions. Thanks also go to the associate editor and the referees, whose comments and suggestions greatly improve the paper.     

应该用哪一个模型来描述中国货币市场利率的动态变化

本文论证了双曲模型是描述中国货币市场利率动态变化的最佳单因子利率模型。由极大似然估计可以得到单因子利率模型的边际密度函数。双曲模型的边际密度和非参数估计得到的边际密度函数拟合较好，其表现远远优于几个常见的利率模型（CIR、CKLS和AG模型）。与较一般的Ait-Sahalia模型相比差别很小，但参数形式得到简化，似然比检验也支持这一点。双曲模型在刻画利率的均值回复特征方面还克服了AG模型的不足。     

Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models

Nine macroeconomic variables are forecast in a real-time scenario using a variety of flexible specification, fixed specification, linear, and nonlinear econometric models. All models are allowed to evolve through time, and our analysis focuses on model selection and performance. In the context of real-time forecasts, flexible specification models (including linear autoregressive models with exogenous variables and nonlinear artificial neural networks) appear to offer a useful and viable alternative to less flexible fixed specification linear models for a subset of the economic variables which we examine, particularly at forecast horizons greater than 1-step ahead. We speculate that one reason for this result is that the economy is evolving (rather slowly) over time. This feature cannot easily be captured by fixed specification linear models, however, and manifests itself in the form of evolving coefficient estimates. We also provide additional evidence supporting the claim that models which ‘win’ based on one model selection criterion (say a squared error measure) do not necessarily win when an alternative selection criterion is used (say a confusion rate measure), thus highlighting the importance of the particular cost function which is used by forecasters and ‘end-users’ to evaluate their models. A wide variety of different model selection criteria and statistical tests are used to illustrate our findings.     

Boom, bust, and the poor: Poverty dynamics in the Middle East and North Africa, 1970–1999

This paper analyzes changes in poverty and inequality in the Middle East and North Africa. It finds that the structural relationship between poverty reduction, income growth and distribution is the same for MENA and other developing economies. Prior to 1985 rapid growth sharply reduced poverty. After 1985, despite very low income growth, a rising share of income accruing to the lowest quintile meant that the average income of the poor rose more rapidly than that of the non-poor. These unusual poverty dynamics were primarily due to international migration. Remittances both increased per capita incomes in labor exporting countries and increased the share of income accruing to the poor.