赫克曼与麦克法登的科学贡献——解读2000年诺贝尔经济学奖

 世纪之交的诺贝尔经济学奖授予美国经济学家James J.Heckman和Daniel L.McFaddan,以表彰他们对微观计量经济学所做出的科学贡献。本文剖析他们原创的选择性模型和离散行为分析以及后续的发展,从中可以看出他们的研究是对“发展经济学理论和计量经济方法论的创新”,以及“二者的整合”,因而“从根本上改变了微观经济学的应用研究”。     

微观计量经济学最新进展

一、前言世纪之交的诺贝尔经济学奖授予了两位美国经济学家詹姆士·Ｊ·赫克曼 (ＪａｍｅｓＪ Ｈｅｃｋｍａｎ)教授和丹尼尔·Ｌ·麦克法登 (ＤａｎｉｅＩＬ ＭｃＦａｄｄｅｎ)教授 ,以表彰他们对微观计量经济学所做出的杰出贡献 ,前者的贡献“是发展了选择性样本数据分析的理论和方法” ,后者的贡献“是发展了对自选择行为进行分析的理论和方法”。微观计量经济学是介于经济学和统计学之间的边缘科学 ,它是研究微观数据———即大量个人、家庭或企业的经济信息的经济理论和统计方法。微观数据可以是某一时点的横向数据 ,也可以是相同观测对…     

关于改进《计量经济学》课程本科教学的思考

关于改进《计量经济学》课程本科教学的思考厦门大学曾五一计量经济学是一门以一定的经济理论为前提，根据实际统计资料，运用数学和统计学的方法，研究社会经济现象的数量联系和变动规律的经济学科。随着经济理论的发展、统计资料的健全和电子计算机技术的提高，经济计量...     

群模型:未来宏观计量经济研究的一种新模式

在经济现象日趋复杂、经济数据日趋丰富、计量经济学日趋成熟、信息技术日趋发达背景下,采用传统的少数几个模型来研究经济问题的方法已经越来越不能满足需要,必须采用多种计量模型、结合多种分析手段、全面深入自主地开展全方位的实时研究,以达到对经济现象和经济规律的准确把握,这种全新的分析框架与手段就称为“群模型”模式.     

基于工具-目标法的经济政策效应评价研究

经济政策评价不仅指政策决策评价，还应包括对政策执行效果进行评价，即效应评价。但目前在计量经济学的研究中，包括已出版的各类教科书中也都只给出了如何进行决策评价的方法，而没有对效应评价方法进行研究。这显然是欠缺的。采用经济计量分析法对经济决策评价，常用的方法有三种：工具-目标法（TOM）、最优控制法、政策模拟法。其中工具-目标法是最早用来进行政策决策评价的计量方法，它是由首届诺贝尔经济学奖得主之一丁伯根提出的。     

浅析运用计量经济模型的缺陷

１９８１年当美国的L．Klein主要因构造计量经济模型而获得诺贝尔经济学奖时，人们充分意识到计量经济学在经济研究工作中的重要性和必要性。我国也从这时起真正开始学习和借鉴传来的新方法。经过二十多年的长足发展，计量经济模型已广泛应用于经济分析研究中。当前，在经济研究领域一个十分引人注目的现象是广泛采用计量经济模型，而且是相当艰深的数量模型。不少当代经济学前沿书籍和杂志，满篇满纸都是数学公式。运用计量经济模型进行经济研究可谓蔚然成风，难道研究经济问题非得用大量大部分人都看不懂的数学模型，数学公式不可吗？诚…     

中国城市服务业发展差异的空间经济计量分析

一、引言古典经济学至后来的新古典经济学、新经济增长理论,都忽视了空间因素对地区经济差异的影响。没有纳入空间因素的经济理论在解释现实世界中地区经济差别时有些力不从心。经济地理学、新经济地理学和空间经济计量从理论和实证方法方面进行了新的探索。Krugman(1991)把空间观念引入了经济学,将0维分析变成2维分析。Paelinck(1974)对传统计量经济模型假设不足进行修正,提出空间计量经济学的概念和思想。结合新经济地理学和空间计量经济模型,一批学者如Cliff、Anselin、Fujita、Krugman在区域经济学的分析中引入空间因素,运用空间自回…     

统计思维法

传统的统计思维基本上包括三个部分：“资料收集”、“资料分析”以及“统计推断”。所谓“资料收集”，指的是想了解的整体（称之为母体）资料太庞大，所以透过统计方法去取得有用的样本。在统计上我们发展出“实验设计法”（Design of experiment)，及“统计抽样方法”（Sampling survey)两套学问。所谓“资料分析”，指的是将已经取得的资料，加以分析、研究，甚至建立模型，主要工作内容在于Point Estimation（点估计）、Hypothesis Testing（假设检定）、Model Building(建模）以及Forecasting（预测）。从早期的叙述统计（Descrip…     

预测型稳健回归模型及其实证分析

一、引言回归分析是计量经济学中最常用的定量分析方法 ,也是建立经济计量模型的主要工具 ,它在现代经济定量分析中应用越来越广泛。众所周知 ,计量经济学方法有四大应用 :经济结构分析、政策模拟、预测和实证分析。人们为了分析经济变量间的长期结构 ,作了大量研究 ,如2 0 0 3年尼诺贝尔经济学奖获得者格兰杰 (Granger)引出的协整理论 ,还有稳健回归理论等等 ,目的是研究和找到经济变量间的长期稳定的关系结构。但如果直接将这些理论方法应用在回归模型的预测应用中 ,结果并不十分令人满意 ,原因是按照传统的计量经济方法建立的模型大部分…     

经济统计学与计量经济学等相关学科的关系及发展前景

本文从统计学和经济学统一的视角,分析与阐述经济统计学与计量经济学等相关学科——概率论、数理统计学、计量经济学以及经济理论（包括数理经济学）之间的相互关系及发展前景。作为从样本信息推断母体特征的一般方法论,数理统计学由于符合人类科学研究的过程与需要,因而在自然科学和社会科学的很多领域得到了广泛应用。计量经济学是经济实证研究的推断方法论。经济统计学与计量经济学一起,构成经济实证研究完整的方法论,其中,作为经济测度方法论,经济统计学不仅提供定量描述经济实际运行的理论、方法与工具,它也是经济实证研究的先决条件与基础,是计量经济学理论发展的一个重要推动力量。经济统计学面临不少挑战,但有深厚的学科根基与巨大的发展空间,其作用是任何相关学科均不能替代的。统计学各个分支的交叉融合,将推动经济统计学和计量经济学的共同发展,从而进一步提升中国经济学实证研究的水平与科学性。     

Efficient score tests for heteroskedasticity in micro-economics

This paper develops an artificial regression that can be employed to obtain efficient score test statistics for heteroskedasticity in the context of a variety of micro-econometric models     

Modelling the location decisions of manufacturing firms with a spatial point process approach

The paper is devoted to explore how the increasing availability of spatial micro-data, jointly with the diffusion of GIS software, allows to exploit micro-econometric methods based on stochastic spatial point processes in order to understand the factors that may influence the location decisions of new firms. By using the knowledge of the geographical coordinates of the newborn firms, their spatial distribution is treated as a realization of an inhomogeneous marked point process in the continuous space and the effect of spatial-varying factors on the location decisions is evaluated by parametrically modelling the intensity of the process. The study is motivated by the real issue of analysing the birth process of small and medium manufacturing firms in Tuscany, an Italian region, and it shows that the location choices of the new Tuscan firms is influenced on the one hand by the availability of infrastructures and the level of accessibility, and on the other by the presence and the characteristics of the existing firms. Moreover, the effect of these factors varies with the size and the level of technology of the new firms. Besides the specific Tuscan result, the study shows the potentiality of the described micro-econometric approach for the analysis of the spatial dynamics of firms.     

Monte Carlo integration: An application to labour market states and transitions

This paper is concerned with the application of simulation estimation methods to micro-econometric labour market models. Based on a multi-period probit model for direct job changes and unemployment, estimators for the likelihood of individual employment histories are obtained by Monte Carlo integration and employed in a standard ML-procedure. The results for West German panel data suggest that dynamic effects are largely prevalent on labour markets and that in particular, past unemployment has drastic negative effects on future employment chances. Further, there are no indications that foreigners have a different labour market performance, nor that they are crowding natives out into unemployment.     

Bayesian Geostatistical Design

Abstract.  This paper describes the use of model-based geostatistics for choosing the set of sampling locations, collectively called the design, to be used in a geostatistical analysis. Two types of design situation are considered. These are retrospective design, which concerns the addition of sampling locations to, or deletion of locations from, an existing design, and prospective design, which consists of choosing positions for a new set of sampling locations. We propose a Bayesian design criterion which focuses on the goal of efficient spatial prediction whilst allowing for the fact that model parameter values are unknown. The results show that in this situation a wide range of inter-point distances should be included in the design, and the widely used regular design is often not the best choice.     

Design and analysis of computer experiments

The design and analysis of computer experiments as a relatively young research field is not only of high importance for many industrial areas but also presents new challenges and open questions for statisticians. This editorial introduces a special issue devoted to the topic. The included papers present an interesting mixture of recent developments in the field as they cover fundamental research on the design of experiments, models and analysis methods as well as more applied research connected to real-life applications.     

Use of Cohort Information in the Design and Analysis of Case-Control Studies

Abstract.  Four case studies are presented to illustrate how information available on cohort members can be used to inform the control selection in epidemiologic case-control studies. The basic framework is the nested case-control paradigm and accompanying analysis methods. Emphasis is on development of intuition for choosing study design candidates, the form of the estimators, and extensions of the basic theory to solve design and analysis problems.     

我国可转换债券转股条款设计的实证研究

转股条款的灵活设计是实现可转债特定融资动因的重要途径之一,本文根据相关理论假说及其对证券条款设计的意义,设计了较为系统的实证分析框架和稳健的模型估计方法,对我国可转债的转股条款进行了较为严格意义上的实证检验。研究发现,高负债率、小规模和获取经营现金能力较差的公司明显倾向于设计较低的转股价格和较高的转换比率;信用记录较短（以上市年限代表）和收益不稳定的公司具有相同的倾向。国内可转债设计主要由财务危机假说解释,而制度性因素对条款设计具有重要影响。总体上,目前可转债的条款设计没有得到发行人的理性对待,本文就此提出了相关政策建议。     

A Study of Statistical Design Publications from 1968 through 1971

A summarization was made of the number of articles and the number of pages devoted to publication of papers on the statistical design and analysis of experiment designs, treatment designs, sample survey designs, sequential designs, and designs of model-building investigations. These articles were devoted mostly to the theoretical developments rather than to the use of a procedure in a specific investigation. Papers in 18 statistical journals for the four years 1968, 1969, 1970, and 1971 were included in the summarization. Six hundred fifty-nine articles involving 7009 pages were published on statistical design and analysis during this four-year period.     

对大数据统计设计的思考

本文认为大数据统计与三个问题有关：大数据发展趋向极限无穷,人类社会数据信息将发生什么变化？大数据发展会不会产生危害社会进步的数据垃圾？大数据即使是一场革命,那么作为数据科学的统计学脱胎换骨地继承与发展是什么？本文对此回答包括,提出大数据发展的统计设计观点,从理论和实践上做出了论证分析,并联系我国实际,探讨了我国大数据发展中的统计设计理论和内容要点。     

A Reinforced Randomized Block Design with Correlated Errors

In the analysis of variance the errors are assumed to be independent which may not always be true. In this article, a restricted randomized block design under compound autocorrelated structure is considered. A method of analysis for such a randomized block design has been developed. It provides confidence ellipsoid and confidence interval of a set of estimable functions and an estimable function of treatment parameters, respectively. Analogous to Scheffe's method, the multiple comparison technique of judging all possible treatment contrasts has been derived. In the process, a method of estimation of unknown parameters has been also developed. An example (simulated data) illustrates this approach.