日期精度：到日 0 篇 · 到月 18 篇 · 到年 0 篇
合并截面与时间序列数据分析
A review of methods for estimating multivariate relationships of individual entities in a data base and for summarizing these relationships. Focuses on methodologies such as classical pooling, error components, analysis of covariance, seemingly unrelated regressions, and random coefficient regressio
样本不足时 Zellner 最小期望损失与完全信息极大似然估计的进一步结果
The article presents a consistent set of conditions that a prior pdf for the reduced-form parameters must satisfy if Zellner's MELO estimators for the structural coefficients of a linear structural econometric model are to exist in all normal cases where the available sample is undersized. Also, the conditions under which the full information maximum likelihood estimators of structural coefficients exist are given. Finally, the article reports application of MELO estimation…
系数随时间与截面变化的线性模型估计
In an earlier article (Swamy and Mehta 1975), we formulated a particular decomposition for the coefficient vector in a relationship to be estimated from a time series of cross sections. Specifically, we expressed the coefficient vector as the sum of a common mean vector and two random vectors. One of these random vectors differs among individuals both at a point in time and through time, while the other differs among individuals only. In this article, we state some…
泽尔纳似不相关回归估计量相对效率的进一步证据
This paper considers a system of two seemingly unrelated equations. Without imposing any additional restrictions on the matrices of observations on the independent variables in the two equations, we derive the exact second moments of Zellner's estimator [9]. Though not uniformly more efficient than the corresponding single-equation least-squares estimator, a definite efficiency gain results using Zellner's estimator in the presence of high contemporaneous correlation…
切换回归与随机系数回归模型的贝叶斯及非贝叶斯分析
Quandt [20] analyzed the problem of discontinuous shifts in regression regimes at unknown points in the data series. We note that Quandt's statistical approach based solely on the likelihood function can be misleading, whereas the Bayesian method based on a proper prior distribution of the unknown parameters yields sensible results. However, the exact evaluation of the posterior distribution is unusually burdensome and cannot be simplified even in large samples. To avoid…
Theil 相容性检验统计量的精确有限样本分布及应用
In this article we derive the exact finite sample distribution of a statistic utilized by Theil [10] to test whether sample and prior information are in conflict with each other. A weighted estimator for the slope coefficient in a simple regression equation with one independent variable is obtained by using weights which are determined by the observed value of Theil's test statistic. This weighted estimator is particularly useful when we are uncertain about the compatibility…
Theil相容性检验统计量的精确有限样本分布及应用
In this article we derive the exact finite sample distribution of a statistic utilized by Theil [10] to test whether sample and prior information are in conflict with each other. A weighted estimator for the slope coefficient in a simple regression equation with one independent variable is obtained by using weights which are determined by the observed value of Theil's test statistic. This weighted estimator is particularly useful when we are uncertain about the compatibility…
具有不完整观测的双变量正态分布的贝叶斯分析
We consider the problem of drawing inferences on the difference of the population means when an incomplete sample from a bivariate normal population is available. Whereas Mehta and Gurland [7] have considered this problem from the sampling theory point of view, we tackle here the same problem from a Bayesian approach.
不完整观测下二元正态分布的贝叶斯分析
We consider the problem of drawing inferences on the difference of the population means when an incomplete sample from a bivariate normal population is available. Whereas Mehta and Gurland [7] have considered this problem from the sampling theory point of view, we tackle here the same problem from a Bayesian approach.
误差分量回归模型的贝叶斯分析
This article examines the use of a two-way, random-effects, model with correlated errors and additional explanatory variables in combining cross-section with time series data. This model has been analyzed from a Bayesian viewpoint. Methods are developed for computing posterior distributions of slope coefficients. The advantage of our approach over sampling theory approaches is briefly discussed. It has been shown how one can obtain reasonable inferences about slope…
误差分量回归模型的贝叶斯分析
This article examines the use of a two-way, random-effects, model with correlated errors and additional explanatory variables in combining cross-section with time series data. This model has been analyzed from a Bayesian viewpoint. Methods are developed for computing posterior distributions of slope coefficients. The advantage of our approach over sampling theory approaches is briefly discussed. It has been shown how one can obtain reasonable inferences about slope…
利用第二个样本估计对称分布族的尺度参数
In this article we consider two classes of estimators of the scale parameter of a family of symmetric distributions which combine the information from two samples obtained from members of this family with possibly different scale parameters. Of the two classes one is based on a preliminary test of the equality of the scale parameters while the other is arrived at by minimizing the mean square error. These classes of estimators are studied from the point of view of efficiency…
利用第二个样本的信息估计对称分布族的尺度参数
In this article we consider two classes of estimators of the scale parameter of a family of symmetric distributions which combine the information from two samples obtained from members of this family with possibly different scale parameters. Of the two classes one is based on a preliminary test of the equality of the scale parameters while the other is arrived at by minimizing the mean square error. These classes of estimators are studied from the point of view of efficiency…
向固定点收缩的均值估计
The problem of shrinking the maximum likelihood estimator (MLE) of the mean μ of various populations towards a natural origin μ0 is studied. Estimators of the general form, are proposed for the cases of Normal, Gamma, Poisson, and Binomial distributions. The behavior of these estimators is compared with that of the ones suggested by Thompson [3]. Our estimators are shown to be better in the sense of having a smaller mean square error in an interval around μ0.
考虑未知方差不等的共同均值无偏估计量组合
The problem considered in this paper is how to combine estimators of the common mean from two samples corresponding to normal populations with different unknown variances. Attention is confined to the case where it is known that the variance of one specific population exceeds that of the other. Three classes of unbiased estimators are presented, one of which is based on a preliminary test of significance regarding the ratio of the population variances. The gain achieved by…
关于 Theil 混合回归估计量
Theil [4] obtained an estimator for a regression coefficient by combining sample information with stochastic a priori information which might be available on some or all the elements of the regression coefficient vector. Finite sample properties of this estimator are studied here.