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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

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…

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…

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…