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椭圆对称条件下动态非线性系统的半参数效率界AI 解读

We analyze semiparametric efficient estimation of non-linear simultaneous equation models in a time series context and derive a semiparametric efficiency bound for estimation of the parameters when the errors are i.i.d. from an unknown elliptically symmetric density. We derive the bound in the case of errors that are elliptically symmetric conditional on predetermined variables. Copyright Royal Economic Society 2007

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动态非线性模型预测量的大样本性质AI 解读

The large-sample behavior of one-period-ahead and multiperiod-ahead predictors for a dynamic nonlinear simultaneous system is examined in this paper. Conditional on final values of the endogenous variables, the asymptotic moments of the deterministic, closed-form, Monte Carlo stochastic, and several variations of the residual-based stochastic predictor are analyzed. For one-period-ahead prediction, the results closely parallel our previous findings for static nonlinear…

随机效用假说与需求系统中的推断AI 解读

In this paper, the authors examine the consequences of adopting the random utility hypothesis as an approach for randomizing a system of demand equations. Random utility models are appealing since they allow the usual assumption of deterministic utility-maximizing behavior by each consumer to coexist with the apparent randomness across individuals that is exhibited by data. Their results show that the use of random utility models implies that the disturbances of the demand…

仅在变量上非线性的方程系统的识别问题AI 解读

This paper examines the identifiability of the coefficients of a single equation in a simultaneous equation model which is nonlinear only in the variables. The concept of identifiability in this model is motivated and developed using the closely related concept of observational equivalence. This framework is then utilized to develop necessary and sufficient conditions for identifiability when the disturbances are required to be independent of the exogenous variables. The…