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关键词： 瑟伦·约翰森   卡塔琳娜·尤塞柳斯   协整   引文桂冠   Sren Johansen   Katarina Juselius   Cointegration   Citation Laureates   Macroeconometrics  

摘要： 瑟伦·约翰森和卡塔琳娜·尤塞柳斯是当代著名计量经济学家，他们最突出的贡献是建立了基于向量自回归模型的协整系统理论，将其发展为研究宏观经济非平稳时间序列长短期关系的主要框架。他们详尽分析了协整VAR模型的参数估计、假设检验、经济关系识别等问题，通过对基准模型不断施加经济理论和数据结构的假设约束，得到贴合真实世界的计量模型和相对可靠的经济结论。这种建模方法能帮助经济学家避免分析中的证实偏差，是宏观计量经济理论的重要组成部分之一。

关键词： 能源消费结构   大气环境承载力   协调性   系统动力学   Tapio-STIRPAT模型   耦合协调度模型   计量经济学   多目标规划  

摘要： 能源是人类生存、经济发展及社会进步的紧要基础物质,关系到国家经济命脉以及国防安全。随着经济的发展,中国能源消费量不断上升,且受能源资源禀赋所限,我国的能源消费始终以煤炭占据主导地位,而在以煤炭消费为主的能源消费结构下,产生了大量空气污染物,造成环境污染,进而影响了可持续发展。因此研讨能源消费结构及大气环境承载力之间的协调关系以及如何调整能源消费结构,改善空气质量是我国急需解决的问题。本文以协调城市能源消费结构与大气环境承载力为目标,主要从以下四个方面展开研究:首先利用统计学与系统动力学解决城市大气环境承载力量化问题;其次分析了西安市近14年能源消费与大气环境状况,并通过Tapio-STIRPAT两阶段模型探讨了能源消费结构变化对大气环境的影响以及人口、经济、能源消费结构与大气环境的相关性;再采用耦合度模型分析大气环境承载力和城市能源消费结构耦合关系及协调程度;依据计量经济学方法揭示能源消费结构和大气环境承载力协调发展的驱动因素;最后通过多目标规划模型求解出与大气环境承载力相协调的能源消费结构。研究结果显示,构建以“环境指标的承载力-万元GDP能耗”达标为约束的系统动力学模型,解决了指标不统一的问题,量化了政府措施使得预测的大气环境承载力的结果较为准确;2005-2018年西安市能源消费结构向多元化转变,且这一转变对SO、PM的排放也起到一定的降低作用但对NO的作用较小;在此期间,能源消费结构与大气环境承载力的耦合度以及耦合协调发展度较低,但均呈现出向协调发展的趋势;通过协整分析-Granger因果分析-脉冲响应-方差分解得出耦合协调发展度与煤炭消费占比、石油消费占比、天然气消费占比、能源消费结构、SO年均浓度、NO年均浓度、PM年均浓度、空气质量达标天数、大气环境承载力指数、大气环境综合承载力指数、大气环境承载力降低大气环境承载力均存在长期均衡的协整关系,且能源消费结构清洁化和降低大气环境承载力指数有利于促进能源消费结构与大气环境承载力之间的协调发展;基于多目标规划模型,在大气环境承载力范围内、能源消费总量限制和各品种能源消费占比的约束下西安市2020年与大气环境承载力相协调的最佳能源消费结构为煤炭、石油、天然气和其他能源的消费占比为45%、16%、9%与30%,且能源消费最小量为2982.4489万t标煤。

关键词： 可置信性   学术精英   交叉项   计量经济学  

摘要： 在我国经济学研究繁荣发展的大背景下,我国学术成果的数量无论是在国内期刊还是国际期刊都有了明显的进步,近些年来,越来越多的学者开始关注现有研究成果结论的可置信性问题,这从一定程度上说明,我国经济学研究寻求进一步发展正面临着从量变到质变的转变。因此,如何提升经济学学术成果的可置信性,进而推动经济学研究质量进步这一课题显得越来越重要。本文试以交叉项的使用为例,研究学术精英对我国经济学研究可置信性革命的影响。具体而言,本文首先回顾了经济学可置信性问题的历史讨论、学术发表的规范化与公平化、以及“普朗克原理”三个方面的有关文献,认识到学术精英与新兴计量技术分别从现实和理论两个维度对推动经济学可置信性进步起到了不可忽视的作用。进而,本文以实证分析中对交叉项的使用作为新兴计量技术的例子,从多角度分析了我国经济学核心期刊目前对新兴计量技术的使用现状,并通过构建数理模型分析了由于学术精英本身的异质性对其论文中出现技术瑕疵可能性的影响,并归纳为如下三个假说:在使用新兴技术时,学术声誉较高的学术前辈若未邀请技术外援则出现技术瑕疵的可能性更高,集中度较高的领域出现技术瑕疵的可能性更高,同时,若论文出现技术瑕疵,则对论文的引用情况会产生明显的负效应。为验证这三个假说是否成立,本文通过对2010年至2018年我国核心经济学期刊中使用交叉项的共393篇论文的文献分析,以及对论文相关资料的爬虫处理,并构建相应指标进行了实证分析。最后,本文进一步讨论了学术前辈与当代学术精英在面对新兴计量技术时邀请技术外援激励结构的差异。本研究提出的三个假说均通过实证分析得到一定程度的验证,这具有较为明显的政策含义。一方面,在我国经济学界推行新兴计量技术的过程中,需要充分考虑到学术精英在其中起到的重要作用;另一方面,我们也要同样认识到在追求论文发表的同时,每一位从事经济研究的研究者也承担着保证论文质量的责任。本文建议研究机构应改善现有的评价机制,在进行绩效考核时应将对论文质量的考核赋予更高的权重,进而改善盲目追求论文数量的“发表主义”风气。对于期刊编辑部来说,应设立合理的审稿制度及审稿流程来起在向激励的作用,以此带动我国经济学可置信性的进步。

关键词： 应用型   计量经济学   课程改革  

摘要： 在经济类学术刊物上,以《计量经济学》模型作为主要分析手段的论文占全部论文的比例达50%以上,其实践操作已经成为研究经济现象和揭示经济规律的一种基本工具。高等教育本科阶段《计量经济学》教学,对学生数据处理与数量分析能力的培养、学术研究基础的奠定至关重要。《计量经济学》教学中,学生不仅要学会模型建立和估计等知识,更重要的是学会遵循基本理论,根据实际经济问题,利用软件估计模型参数,对模型估计结果进行验证和修正,并得出恰当结论。

关键词： Economics  

摘要： Asset variance and covariance are key ingredients for numerous financial applications, including asset pricing, risk management, portfolio selection, and forecasting. The increasing accessibility of financial tick-by-tick high-frequency data has improved our ability to accurately estimate and draw inference about financial variance and covariance. The prevailing approaches to high frequency variance and covariance estimation is to measure the price change (return) per time unit. In this thesis, we investigate variance and covariance estimators using a dual approach, that is, measuring the passage time (price duration) per unit price change. A price duration is defined as the time required for the asset price to move beyond a threshold price interval. However, the objects of interest in our research are not limited to price duration. We also investigate the direction-of-change (the sign) of price duration, which refers to whether the asset price crosses the threshold from above or below at the time of price events. In Chapter 1, we present an econometric framework to jointly model the price duration process and sign process constructed from a single asset price *** obtain the joint distribution of price durations and signs by combining a logarithmic version of the Burr autoregressive conditional duration (ACD) model for price duration process, a dynamic binary choice model for sign process, and a copula function for the interaction between these two stochastic processes. The empirical results indicate a dynamic impact and a contemporaneous dependence between price duration and sign. Chapter 2 generalizes the framework of modeling the price duration and direction-of-change of a single asset to that of multiple assets, say K stocks. The K series of marginal processes, the price durations, are modeled parametrically using the logarithmic version of Burr ACD models and the corresponding K series of binary-valued sign processes are parameterized in the dynamic logi

关键词： Economics  

摘要： Modeling heterogeneity among firms, workers, or countries ensures robust empirical analysis and also provides a measurement of important, but latent, economic forces. However, to model with economic theory alone is challenging and leaves room for data-driven econometric methods to assist. Furthermore, in contrast to a single cross-section, panel data offer more observations to model heterogeneity flexibly, to sharpen estimates' precision, and to reduce estimates' finite-sample bias. This dissertation develops data-driven econometric panel methods to account for heterogeneity and applies them to estimate the firm's production function for policy analysis. And there are three substantive chapters. The second chapter proposes an estimator for the partially linear model with additive time-varying grouped fixed effects. Popular empirical methods, such as regression discontinuity and control functions, employ the partially linear model. The addition of grouped fixed effects allows time-varying heterogeneity, which is a natural extension in the panel environment. The second chapter's estimator combines the use of the series approximation and the K-mean algorithm. Furthermore, I provide sufficient conditions to characterise the estimator's asymptotic performance - under large N and T but with N as comparatively larger than T. The third chapter studies an Olley-Pakes type (proxy variable) estimator for the firm's production function. Empirical economic literature extensively uses the proxy variable approach to answer policy questions on the economy's productivity and the market's competitiveness. By using the partially linear model with Grouped Fixed Effects, the third chapter extends the proxy variable approach to allow differences in firms' productivity dynamics by finitely many groups. The extension provides a new framework for empirical research to identify intrinsic differences in firms' technologies and study the inequalities among firms' performances. Using Chilean ma

摘要： This dissertation comprises of three essays that explore topics in labor economics and econometrics. The first essay (Chapter 1), coauthored with Matthew Lilley, examines the impact of Right-to-Work (RTW) laws on labor markets and related outcomes in the United States. Using border-pair differences, we find RTW laws are associated with an increased share of manufacturing employment, increased employment, and decreased disability receipt. RTW laws are also associated with greater upward mobility. We find the differences in industry and employment outcomes did not exist prior to the passage of RTW laws, persist after controlling for other state policy differences, and do not appear to primarily be due to local substitution. The second essay (Chapter 2) examines different methodologies for estimating impulse response functions in macroeconomic time series. I explore the relative efficiency of instrumental variable identification of impulse responses using Structural Vector Autoregressions (SVAR-IV) and Linear Projections with Instrumental Variables (LP-IV) in finite samples. Using a well-known medium-scale Dynamic Stochastic General Equilibrium (DSGE) model as a laboratory, I conduct a variety of Monte Carlo simulations and find that SVAR-IV estimates exhibit lower root mean square error (RMSE) and generally better coverage than LP-IV, but can exhibit bias at long horizons. The final essay (Chapter 3), coauthored with my advisor Edward Glaeser and Lawrence Summers, examines regional disparities in nonemployment rates for prime age (25-54 year old) men in the United States. We document that the rate of nonemployment for working age men has nearly tripled over the last 50 years, generating a social problem that is disproportionately centered in the eastern parts of the American heartland. We find that increases in labor demand appear to have greater effects on employment in areas where not working has been historically high, suggesting that subsidizing employment in such

关键词： 外国直接投资   失业率   国际收支   计量经济学  

摘要： 在本文中，我们将试图解释外国直接投资对黑山的宏观经济和生态影响的性质。我们将回顾吸引外国直接投资的战略，投资的积极和消极影响，并通过引入绿色投资的概念和将greenfield投资置于最前沿来提出对该战略的改变。根据计量经济学分析的结果，我们将得出外国直接投资对黑山经济增长影响的性质的结论。考虑到外国直接投资的流入动态和部门分布，我们将分析外国直接投资对国际收支稳定的影响。鉴于高失业率，以及在这方面的贫困和社会不平等，本文将着眼于外国资本流入对就业投资的影响，这些资本流动有助于可持续增长。

关键词： 翻转课堂   计量经济学   混合式教学   教学设计  

摘要： 作为混合式教学实现的一种形式,翻转课堂对高校教学改革起着积极的推动作用。以计量经济学课程为例,分析课程教学现状以及运用翻转课堂的必要性,通过具体的实践探讨翻转课堂的优势,并从教师和学生的角度进行翻转课堂教学反思。

摘要： The three essays that constitute this dissertation consider aspects of agricultural economics that are relevant to current policies in the United States (US). Econometric techniques, some of which are not standard in the literature, have been brought into the fold in order to provide additional insight into genetically modified (GM) corn, yield risk, damages in GM corn fields, and corn planting density. The first essay analyzes whether GM corn with rootworm resistant traits (GM-RW) decreases yield risk in the US Central Corn Belt (CCB). A crop insurance actuarial performance measure, the loss cost ratio (LCR), is the primary variable used to represent yield risk. Since there is a large set of potential weather and other control variables that can influence yield risk, high dimensional methods are utilized in this study to maintain parsimony in the empirical specification, and facilitate estimation. Specifically, we employ the Cluster-Lasso (cluster-least absolute shrinkage and selection operator) procedure because it can produce uniformly valid inference on the main variable of interest (i.e., the GM-RW variable) in a high dimensional panel data setting even in the presence of heteroskedastic, non-Gaussian, and clustered error structures. After controlling for a large set of potential weather confounders using Cluster-Lasso, this study nds consistent evidence that GM corn varieties with rootworm resistant traits reduce yield risk. The second essay analyzes US county-level data from 2011-2015 on unexpected damages from Western corn rootworm in Bacillus thuringiensis (Bt) corn elds. The first transgenic crops producing Bt toxin, Cry3Bb1, for control of Western corn rootworm (CRW) were commercialized in 2003 and the rst eld-evolved resistance of this pest to Cry3Bb1 was discovered in Iowa in 2009. Using econometric models for spatial panel data, we analyze unexpected rootworm damage in relation to the cumulative deployment of different Bt corn varieties, crop rotation,