New Research in Arch and Cointegration

该建议包括八个不同的项目，既有理论又有应用。预计本研究成果将在理论计量经济学、金融市场和区域经济预测等领域作出进一步贡献。近年来计量经济学领域最重要的突破之一是自回归条件异方差（ARCH）模型的发展。恩格尔教授要进行的前六个项目涉及这种分析。这些分析的理论组成部分包括为FACTOR ARCH模型开发更完整的统计理论，并在他的数据集上运行这些模型的实验，以及使用样条函数估计具有非参数条件分布的ARCH模型。该领域的其他项目包括应用ARCH模型来检查利率期限结构的波动性，使用比以前的工作（即短期国库券）更长期的政府证券，显示出较大差异的小型上市公司的每日价格变化，对期权市场进行预测并估计“风险价格”。有两个项目包括在这个资助涉及协整领域。第一项研究将使用传统的份额转移和基本乘数预测假设，检验美国各行业和各州之间的就业人数是否存在协整。第二个项目在本质上更理论化，并将试图回答一些涉及累积整合过程中一般估计问题的问题，例如消费与收入或消费与财富。

The proposal consists of eight distinct projects which are both theoretical and applied. It is expected that the result of this work will be further contributions in the areas of theoretical econometrics, financial markets and regional economic forecasting. One of the most important recent breakthroughs in the field of econometrics was in the development of Autoregressive Conditional Heteroskedasticity (ARCH) models. The first six projects to be undertaken by Professor Engle involve this type of analysis. The theoretical components of these analyses include developing more fully the statistical theory for FACTOR ARCH models and running experiments with such models on his data sets, and using spline functions to estimate ARCH models with non-parametric conditional distributions. The other projects in this area involve applying ARCH models to examine the volatility of the term structure of interest rates using longer term government securities than previous work (i.e., short-term Treasury bills), daily price changes for small publicly-traded firms which exhibit large variances, forecasting in the options markets and estimating the "price of risk". There are two projects that are included in this grant involving the field of cointegration.THe first will test to see if there is cointegration in payrolls between broad industry groupings in the U.S. and individual states, using the traditional forecasting assumptions of share shifting and base multipliers. The second project is more theoretical in nature and will attempt to answer some questions involving general estimation problems in cumulative integrative processes, such as consumption and income or consumption and wealth.