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清晰与模糊断点回归设计的非参数贝叶斯分析AI 解读

We develop a nonparametric Bayesian analysis of regression discontinuity (RD) designs, allowing for covariates, in which we model and estimate the unknown functions of the forcing variable by basis expansion methods. In a departure from current methods, we use the entire data on the forcing variable, but we emphasize the data near the threshold by placing some knots at and near the threshold, a technique we refer to as soft-windowing. To handle the nonequally spaced knots…

采用 Dirichlet 过程混合误差的加性三次样条回归AI 解读

The goal of this article is to develop a flexible Bayesian analysis of regression models for continuous and categorical outcomes. In the models we study, covariate (or regression) effects are modeled additively by cubic splines, and the error distribution (that of the latent outcomes in the case of categorical data) is modeled as a Dirichlet process mixture. We employ a relatively unexplored but attractive basis in which the spline coefficients are the unknown function…

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模型选择与多重共线性的预测方法AI 解读

We argue for the adoption of a predictive approach to model specification. Specifically, we derive the difference between means and the ratio of determinants of covariance matrices when a subset of explanatory variables is included or excluded from a regression. Results for an economic application are presented as an example.

模型选择与多重共线性的预测视角AI 解读

We argue for the adoption of a predictive approach to model specification. Specifically, we derive the difference between means and the ratio of determinants of covariance matrices when a subset of explanatory variables is included or excluded from a regression. Results for an economic application are presented as an example.

计量经济学中的马尔可夫链蒙特卡洛模拟方法AI 解读

We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which has been of particular interest to econometricians. Although the paper summarizes some of the relevant theoretical literature, its emphasis is on the presentation and explanation of applications to important models that are studied in econometrics. We include a discussion of some implementation…

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高级计量经济学：通向文献的桥梁AI 解读

TOPICS IN LARGE SAMPLE THEORY AND APPROXIMATION METHODS. A Review of Asymptotic Distribution Theory and Maximum Likelihood Estimation. Methods of Approximating Distribution Functions, Density Functions, and Moments. TOPICS IN TIME SERIES ANALYSIS. An Introduction to Time Series Analysis. Identification, Estimation, and Prediction in Time Series Models. The Relationship Between Time Series Models and Econometric Models. TOPICS IN ESTIMATION UNDER A QUADRATIC LOSS CRITERION.…

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主成分回归的最小方差性质AI 解读

In the context of the usual regression model, , this article shows that the coefficient obtained when Y is regressed on the first principal component of the independent variables may be interpreted as an estimator of that , which can be estimated with least variance. Analogous results hold for succeeding components, and the property can be expressed in terms of volumes of confidence ellipsoids. To estimate using r principal components, choice of those components associated…

资本支出拨款数据与投资决策AI 解读

Several hypotheses which have been employed to explain firms' investment in plant and equipment are tested against the NICB quarterly series on new appropriations. Data for nine two-digit industries are used to estimate regression equations for each industry, using the efficient estimation technique of Zellner. Interesting industry differences appear; in particular, the least concentrated industries appear more sensitive to pressure on capacity, while the remaining…

投资拨款数据与企业投资决策AI 解读

Several hypotheses which have been employed to explain firms' investment in plant and equipment are tested against the NICB quarterly series on new appropriations. Data for nine two-digit industries are used to estimate regression equations for each industry, using the efficient estimation technique of Zellner. Interesting industry differences appear; in particular, the least concentrated industries appear more sensitive to pressure on capacity, while the remaining…

资本存量调整投资模型AI 解读

Firms' investment in plant and equipment is explained by a stock-adjustment model in which the coefficient of adjustment is allowed to vary. It is assumed that firms partially close the gap between desired and actual capital stock, but that the speed of adjustment depends on the firm's ability to procure funds at reasonable cost. A panel of individual firm responses to the McGraw-Hill plant and equipment survey is the principal data source, supplemented by financial…