计量经济分析 = Econometric analysis

Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

Estimation and Inference in Econometrics

We develop a positive theory of the hedging behavior of value-maximizing corporations. We treat hedging by corporations simply as one part of the firm's financing decisions. We examine (1) taxes, (2) contracting costs, and (3) the impact of hedging policy on the firm's investment decisions as explanations of the observed wide diversity of hedging practices among large, widely-held corporations. Our theory provides answers to the questions: (1) why some firms hedge and others do not; (2) why firms hedge some risks but not others; and (3) why some firms hedge their accounting risk exposure while others hedge their economic value.

https://www.jstor.org/stable/pdf/2330757.pdf

The Determinants of Firms' Hedging Policies

We investigate conditions sufficient for identification of average treatment effects using instrumental variables. First we show that the existence of valid instruments is not sufficient to identify any meaningful average treatment effect. We then establish that the combination of an instrument and a condition on the relation between the instrument and the participation status is sufficient for identification of a local average treatment effect for those who can be induced to change their participation status by changing the value of the instrument. Finally we derive the probability limit of the standard IV estimator under these conditions. It is seen to be a weighted average of local average treatment effects.

Evolution and Rationality Some Recent Game-Theoretic Results. Identification and Estimation of Local Average Treatment Effects

This paper is a revised version of Staff Working Paper 444 It reviews various studies which have provided a description of and possible explanation to patterns of innovation adoption in the agricultural sector It therefore covers both empirical and theoretical studies The discussion highlights the diversity in observed patterns among various farmers' classes as well as differences in results from different studies in different socio-economic environments, and reviews the attempts to rationalize such findings Special attention is given to the methodologies which are commonly used in studies of innovation adoption, and suggestions for improvements of such work through the use of appropriate economometric methods are provided The diversity of experiences with different innovations in different geographical and socio-cultural environments suggest that studies of adoption patterns should provide detailed information on attributes of the institutional, social and cultural setting and their interactions with economic factors These may be an important element in explaining conflicting experiences

Adoption of agricultural innovation in developing countries : a survey (revised)

This paper reviews various studies which have provided a description and possible explanation to patterns of innovation adoption in the agricultural sector. The survey points out that the tendency of many studies to consider innovation adoption in dichotomous terms (adoption/nonadoption) may not be appropriate in many cases where the actual decisions are defined over a more continuous range. More attention needs to be given to the socio-cultural and institutional environment in area studies so that their interrelation with economic factors affecting adoption can be inferred. The presence of several interrelated innovations is another aspect that needs to be considered more carefully in future research, since a number of simultaneous decisions may be involved. Furthermore, the possibility of regular sequential patterns in adopting components of a new technological package should be specifically addressed in future studies. Finally, the impact of differential adoption rates on land holding distribution merits attention in future research.

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Adoption of agricultural innovations in developing countries: a survey

Stochastic specification of production functions and economic implications

There has been considerable interest in estimations of input effects on the probability distribution of output. Most empirical and theoretical analyses utilize multiplicative stochastic specifications which are analyzed and found unduly restrictive, particularly since inputs that marginally reduce risk are not allowed. A more general stochastic specification is proposed, free of these a priori restrictions. The proposed functional form estimation is discussed and demonstrated with nitrogen‐response data and common log‐linear production functions. Though nitrogen is risk‐increasing, the marginal variance contribution is smaller when compared to estimates based upon multiplicative specification. Finally, stochastic specification error effects are analyzed.

https://www.jstor.org/stable/info/1239732

Production Function Estimation and Related Risk Considerations

Extract: This paper develops a model that explains land-use allocation and technology adoption taking into account the interfarm variation of land holdings and the role of land holdings (wealth) in determining risk preferences. The model specifically recognizes differential uncertainties in both traditional and modern technological processes and the marginal effects of modern inputs on risk as well as fixed costs attached to adoption. As a by-product, the results also suggest a structural econometric specification that can serve as a basis for empirical examination of the relationship of farm size and adoption

Stochastic structure, farm size, and technology adoption in developing agriculture

This outstanding text, a follow-up to the authors' award-winning 1982 text, provides a thorough treatment of economic welfare theory and develops a complete theoretical and empirical framework for applied project and policy evaluation. The authors illustrate how this theory can be used to develop policy analysis from both theory and estimation in a variety of areas including: international trade, the economics of technological change, agricultural economics, the economics of information, environmental economics, and the economics of extractive and renewable natural resources. Building on willingness-to-pay (WTP) measures as the foundation for applied welfare economics, the authors develop measures for firms and households where households are viewed as both consumers and owner/sellers of resources. Possibilities are presented for approximating WTP with consumer surplus, measuring WTP exactly subject to errors in existing econometric work, and using duality theory to specify econometric equations consistent with theory.

Richard E. Just

Papers

Adoption of agricultural innovations in developing countries: a survey

Stochastic specification of production functions and economic implications

Production Function Estimation and Related Risk Considerations

Stochastic structure, farm size, and technology adoption in developing agriculture

The Welfare Economics of Public Policy: A Practical Approach to Project and Policy Evaluation