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计量经济估计量的Imhof分布近似AI 解读

The article develops new approximations to the distribution function of a general econometric estimator or test statistic from a linear model. The method relies heavily on the general arguments for the validity of Edgeworth approximations, and produces formulae of a similar type, except that, instead of using the cumulative normal distribution, an Imhof distribution is used derived from the exact distribution of a linear combination of the sample data second moments. On…

Edgeworth 展开有效性的一项定理AI 解读

On considere des equations autoregressives a variables exogenes et un terme de bruit blanc normal, ce qui generalise les modeles dynamiques etudies precedemment

利用短期面板数据估计动态随机效应模型AI 解读

Article plaidant en faveur de l'utilisation d'estimateurs d'equations simultanees pour estimer les modeles d'effets aleatoires dynamiques d'un panel de donnees

识别与不可识别AI 解读

THIS PAPER IS INTENDED to stress the distinction between the conditions for lack of identification in models linear with respect to the variables but nonlinear in the parameters in the sense originally defined by Fisher [2], and the less numerous set of conditions required for first order lack of identification. The latter set of conditions involve only the first derivatives of the coefficients as functions of the parameters. It is argued that if the model suffers from first…

Durbin 显著性检验的推广及其在动态设定中的应用AI 解读

When estimating a single equation with an error generated by an autoregressive process of higher order than one using a sequence of likelihood ratio tests to determine the correct order, the asymptotic size of the tests will be biased because of multiple optima of the likelihood function. A new type is suggested similar to the Durbin test [2] which is not biased in this way. IN HIS ARTICLE on testing for serial correlation in the presence of lagged endogenous variables [2]…

一阶移动平均误差的根位于单位圆时的回归模型极大似然估计AI 解读

J. D. Sargan, Alok Bhargava, Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors when the Root Lies on the Unit Circle, Econometrica, Vol. 51, No. 3 (May, 1983), pp. 799-820

检验最小二乘回归残差是否由高斯随机游走生成AI 解读

This paper considers the null hypothesis that the errors on a regression equation form a random walk. By using the standard Durbin-Watson assumptions, we derive three test statistics that are uniformly most powerful against the alternative hypothesis that the errors are being generated by the stationary first order Markoff process. Unfortunately, the tabulated lower and upper bounds are too wide apart and so we compare the powers of the three tests using simulated as well as…

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This paper obtains Edgeworth or Gram-Charlier expansions for the t ratio of instrumental variable and k-class estimators, and uses them to give approximations to the confidence intervals obtained from these t ratios. These confidence intervals for large sample size are more accurate than the usual asymptotic confidence interval. Charlier expansions is applied to the t ratio of 2SLS and non-stochastic k-class estimators. Previous general theorems in this field, with the…

连续时间随机模型的若干离散近似AI 解读

Summary The paper considers the asymptotic biases in various econometric estimators when data generated by a stochastic differential equation system of the form d y d t − A y ( t ) = B z ( t ) + a ( t ) are estimated by approximating these equations in the form { y ( t + δ ) − y ( t ) } / δ = 1 2 A { y ( t + δ ) + y ( t ) } + 1 2 B { z ( t + δ ) + z ( t ) } + v ( t ) , where y(t) is a vector of endogenous variables, z(t) is a vector of exogenous variables and A and B are…

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This paper develops approximations of the Gram-Charlier type to the cumulative distribution function of the instrumental variables estimator on classical assumptions. In the special case where there are only two endogenous variables in the estimated equation, exact values of the cumulative distribution function are computed by numerical integration and compared with the approximations. Although the error in the approximation depends critically on the parameters of the…

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用工具变量估计残差自相关的关系AI 解读

SUMMARY The instrumental variables method of estimating the coefficients of a linear relationship between time series which have measurement errors is applied to the case where the coefficients are functions of a set of parameters. The asymptotic error variance matrix of the estimates is obtained, asymptotic tests for the existence and identification of the suggested form of relationship are suggested, and asymptotic confidence regions are given. The general theory is then…

使用工具变量估计经济关系AI 解读

which the relationships are not exact, so that a set of ideal economic variables is assumed to be generated by a set of dynamic stochastic relationships, as in Koopmans [12], and the actual economic time series are assumed to differ from the ideal economic variables because of random disturbances or measurement errors. The asymptotic error variance matrix for the coefficients of one of the relationships is obtained in the case in which these relationships are estimated using…

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