New Research in Arch and Cointegration

该提案包括八个不同的项目，既有理论上的，也有应用上的。预计这项工作的结果将在理论计量经济学、金融市场和区域经济预测领域做出进一步贡献。计量经济学领域最近最重要的突破之一是自回归条件异方差(ARCH)模型的发展。恩格尔教授将开展的头六个项目涉及这种类型的分析。这些分析的理论组成部分包括更全面地发展因子ARCH模型的统计理论，并在HIS数据集上进行此类模型的实验，以及使用样条函数估计具有非参数条件分布的ARCH模型。这一领域的其他项目包括应用ARCH模型来检验利率期限结构的波动性，使用比以前工作更长期的政府证券(即短期国库券)，小型上市公司表现出较大差异的每日价格变化，在期权市场上进行预测，并估计“风险价格”。这笔拨款包括两个涉及协整领域的项目。他首先将使用份额转移和基数乘数的传统预测假设，测试美国和个别州的广泛行业集团之间的工资单是否存在协整。第二个项目在性质上更具理论性，将试图回答一些涉及累积综合过程中的一般估计问题的问题，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.