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信息矩阵检验统计量的渐近展开AI 解读

Conventional chi(superscript "2") approximations to the distribution of the information matrix test are shown to be inaccurate in models and with sample sizes commonly encountered. Interpreting a version of the information matrix test as an efficient score test leads to an alternative Edgeworth type approximation. This is calculated for the normal regression model and shown to be an improvement. Generally, the quality of the approximations is sensitive to the covariate…

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测量误差的影响AI 解读

Measurement error causes the distribution generating data to differ from the distribution that is of substantive interest. To understand the effect of measurement error on the information produced by statistical procedures it is thus necessary to understand the distortions induced by measurement error. This paper sheds light on this by providing small error variance approximations to the distribution of variates subject to contamination by measurement error. These provide…

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被忽略异质性的检验AI 解读

Develops a specification error test sensitive to negelected heterogeneity, which is viewed as causing parameter variation, by deriving a score test of the hypothesis that parameters have zero variance. The test turns out to be the Information Matrix test and is a useful diagnostic for researchers using cross-sectional or longitudinal data to estimate models of individual economic agents behavior. -from Author specification error neglected heterogeneity parameter variation…

保留工资的计量经济学分析AI 解读

This paper describes an analysis of survey data on unemployed people who reported their asking wage and the wage they expected to earn. We show that if agents' behavior is described by the standard optimal job search model, one can use these data to deduce structural parameters rather than estimate them, and we report our deductions from two surveys^1 of British unemployed people.

回归模型之间“差异”的若干度量AI 解读

In regression models, the underlying theory frequently leads to specification of more than one functional form for the conditional mean of the response. The main problem in such cases is whether the differences between the models are sufficiently large relative to the variance of the disturbance term to warrant efforts to discriminate between the models or collect new data in order to discriminate. This paper, after refining the notion of differences between models, suggests…

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