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采用灵活分布的工具变量估计AI 解读

Instrumental variables are often associated with low estimator precision. This article explores efficiency gains that might be achievable using moment conditions that are nonlinear in the disturbances and are based on flexible parametric families for error distributions. We show that these estimators can achieve the semiparametric efficiency bound when the true error distribution is a member of the parametric family. Monte Carlo simulations demonstrate low efficiency loss in…

灵活参数化的 GARCH 模型及其汇率应用AI 解读

Abstract Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often one‐sided adjustments. Statistically, this generates empirical distributions of exchange rate changes that exhibit high peaks, long tails, and skewness. This paper introduces a GARCH model, with a flexible parametric error distribution based on the exponential generalized beta (EGB) family of distributions. Applied to daily US dollar exchange rate…

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个人收入分布：再考察AI 解读

Abstract In a recent paper, Majumder and Chakravarty (1990) propose a four‐parameter model which they find provides a better fit to some income data than the lognormal, gamma, Singh‐Maddala, Dagum, and generalized beta of the second kind (GB2) distributions. This note (1) demonstrates that the model proposed by Majumder and Chakravarty is a reparameterization of the GB2 and (2) reconciles the corresponding contradictory empirical findings reported by Majumder and Chakravarty.

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由总体收入份额弹性估计汽车总需求的收入弹性AI 解读

The conventional approach to estimating the income responsiveness of a product's sales involves collecting data on sale s as a function of income and product prices and then estimating a dem and model. In many cases, it is very difficult to either collect the required data or reliably estimate the demand model. This article develops an alternative approach toward estimating these income-responsiveness parameters using only the average income of th e product's buyers and the…

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基于广义 t 分布的回归模型部分自适应估计AI 解读

This paper considers M-estimators of regression parameters that make use of a generalized functional form for the disturbance distribution. The family of distributions considered is the generalized t (GT), which includes the power exponential or Box-Tiao, normal, Laplace, and t distributions as special cases. The corresponding influence function is bounded and redescending for finite “degrees of freedom.” The regression estimators considered are those that maximize the GT…

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基于伽马分布的不同收入不平等指标性质分析AI 解读

The Gini, Theil entropy, and Pietra measures of inequality associated with the gamma distribution function are expressed in terms of the parameters defining the gamma distribution. Method of moments (MME) and maximum likelihood estimators (MLE) of these measures are obtained along with expressions for the asymptotic standard errors of the MLE measures. A table is presented that facilitates the calculation of MLE of inequality measures and the associated asymptotic standard…

恰好识别情形下 LIML 与 2SLS 结构系数分布函数的说明AI 解读

Many alternative techniques of estimating coefficients appearing in the structural representation of econometric models have been developed. The techniques of two-stage least squares (2SLS) and limited information maximum likelihood (LIML) yield identical estimates in the exactly identified case. The derivations of the density functions of these estimators for overidentified structural equations do not formally include the exactly identified case. In this note we demonstrate…

恰好识别情形下 LIML 与 2SLS 结构系数分布函数札记AI 解读

Many alternative techniques of estimating coefficients appearing in the structural representation of econometric models have been developed. The techniques of two-stage least squares (2SLS) and limited information maximum likelihood (LIML) yield identical estimates in the exactly identified case. The derivations of the density functions of these estimators for overidentified structural equations do not formally include the exactly identified case. In this note we demonstrate…

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含两个内生变量时三种 LIML 结构误差方差估计量精确矩的存在性AI 解读

This article derives the exact finite sample density functions of three alternative LIML estimators of the variance of the error term in a structural equation containing two endogenous (GΔ = 2) variables contained in a system of G(G ≥ 2) nondynamic structural equations. For the case considered, none of the density functions of the three LIML structural variance estimators define finite moments of positive integer order. It is also demonstrated that, corresponding to a fixed…

含两个内生变量时三种 LIML 结构方差估计量精确矩的存在性AI 解读

This article derives the exact finite sample density functions of three alternative LIML estimators of the variance of the error term in a structural equation containing two endogenous (GΔ = 2) variables contained in a system of G(G ≥ 2) nondynamic structural equations. For the case considered, none of the density functions of the three LIML structural variance estimators define finite moments of positive integer order. It is also demonstrated that, corresponding to a fixed…

不一致GCL结构方差估计量的精确有限样本分布性质分析AI 解读

Donald H. Ebbeler, James B. McDonald, An Analysis of the Properties of the Exact Finite Sample Distribution of a Nonconsistent GCL Structural Variance Estimator, Econometrica, Vol. 41, No. 1 (Jan., 1973), pp. 59-65

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