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参数非线性函数的自助法方差估计：长期能源需求弹性应用AI 解读

In many practical applications, one is interested in obtaining confidence intervals for nonlinear functions of the parameters. This paper considers the following different methods: Fieller's method, Taylor's series expansion, and bootstrap methods. Compared to some of the earlier results in the empirical studies that are against the application of bootstrap, our results suggest a different conclusion in favor of the bootstrap methods. © 2000 by the President and Fellows of…

使用收缩估计量从面板数据估计能源需求的短期与长期弹性AI 解读

This article discusses the problem of obtaining short-run and long-run elasticities of energy demand for each of 49 states in the United States using data for 21 years. Estimation using the time series data by each state gave several wrong signs for the coefficients. Estimation using pooled data was not valid because the hypothesis of homogeneity of the coefficients was rejected. Shrinkage estimators gave more reasonable results. The article presents in a unified framework…

用加权双重自助矩方法检验调查预期的理性AI 解读

Conventional tests for rationality of survey data on expectations are not valid in the presence of measurement errors. However, if two or more survey measures of expectations are available on the true unobserved expectational variables, we can devise the appropriate FIML estimation methods and Wald tests for rationality. This paper uses this method for survey data on expectations for the 90-day Treasury bill rates. However, the Wald tests would be based on inaccurate…

工具变量估计量的精确小样本分布AI 解读

The purpose of this note is to point out that the bimodality is a consequence of the special case considered by N-S. The exact finite sample distribution of the IV estimator has been derived in the economic literature earlier, but its tabulation or plotting involves some assumptions about the nuisance parameters. In this note we plot the densities of the exact finite sample distribution of the IV estimator for several parameter values and show that the bimodality feature…

AR(1) 模型分析中的平坦先验与无知先验AI 解读

Abstract The paper compares, by a Monte‐Carlo study based on an AR(1) model, the performance of the flat prior and the ignorance prior suggested by Phillips. It argues that the ignorance prior gives heavy weight to values of the autoregressive parameter p higher than 1, and hence distorts the sample evidence as summarized in the likelihood function. It yields bimodal posterior distributions, with the second mode at p higher than 1, even when the true value of p is…

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含选择机制的联立方程模型中两阶段 Probit 与 Tobit 方法的渐近协方差矩阵AI 解读

Lung-Fei Lee, G. S. Maddala, R. P. Trost, Asymptotic Covariance Matrices of Two-Stage Probit and Two-Stage Tobit Methods for Simultaneous Equations Models with Selectivity, Econometrica, Vol. 48, No. 2 (Mar., 1980), pp. 491-503

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The paper compares the power functions of the conventional tests of significance based on asymptotic theory with those of some alternative tests suggested by Dhrymes and Richardson and Rohr and also a test that was suggested earlier by Anderson and Rubin in a simple two equation model by means of Monte Carlo experiments.

含滞后因变量和序列相关误差的回归模型中的序列相关检验AI 解读

The paper compares the power of two tests for serial correlation in regression models with lagged dependent variables, recently suggested by Durbin, with that of the likelihood ratio test by means of two sets of Monte-Carlo experiments-one in which the exogenous series is taken to be the quarterly GNP series for the USA and the other in which the exogenous series is generated by a known autoregression.

计量应用中方差分量模型的不同估计量比较AI 解读

The article investigates by means of Monte Carlo experiments the performance of the ML method, the MINQUE method and several other two-step Generalized Least Squares methods in estimating the slope coefficient in a variance components model. It concludes that in models with no lagged dependent variables there is nothing much to choose among these estimators.

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合并横截面与时间序列数据中的方差分量模型AI 解读

The paper argues that variance components models are very useful in pooling cross section and time series data because they enable us to extract some information about the regression parameters from the between group and between time-period variation-a source that is often completely eliminated in the commonly used dummy variable techniques. The paper studies the applicability and usefulness of the maximum likelihood method and analysis of covariance techniques in the…

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