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对 DeCoster 与 Mitchell《非线性货币动态》的评论AI 解读

The concept of dimension, its uses, and the difficulties in estimation are not universally well understood. A recent article in the Journal of Business & Economic Statistics by DeCoster and Mitchell (1991) (DM) illustrates our claim. Dimension calculations are useful for characterizing the topological properties of the data. The nonexistence of a lowdimensional attracting set, however, implies nothing about the presence of complicated dynamics. For succinct reference to…

不可逆非高斯 MA(q) 过程的识别与估计AI 解读

Traditional estimation procedures, such as OLS or Box-Jenkins ARIMA modelling, which are based on second-order properties, are incapable of distinguishing among autocorrelation-equivalent MA model specifications; this ambiguity is usually resolved by imposing therestriction of invertibility. This paper presents an estimation procedure based on higher-order moments which is capable of distinguishing between these alternative specifications without recourse to the…

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正态混合分布与转换回归的估计AI 解读

Since the likelihood function corresponding to finite mixtures of normal distributions is unbounded, maximum likelihood estimation may break down in practice. The article introduces the “moment generating function estimator” defined as the estimator which minimizes the sum of squares of differences between the theoretical and sample moment generating functions. The consistency and asymptotic normality of the estimator are proved and its finite sample behavior is compared to…

非线性估计与渐近近似AI 解读

central objective of this paper is to present a series expansion of nonlinear estimators in order to facilitate an analysis of the distributions of such estimators. Where the estimator under consideration is a maximum likelihood estimator, the method provides somewhat more information, as well as higher order approximations to the distributions of the nonlinear estimators than does the usual theory which demonstrates asymptotic normality. The method is also useful for a wide…

回归模型之间“差异”的若干度量AI 解读

In regression models, the underlying theory frequently leads to specification of more than one functional form for the conditional mean of the response. The main problem in such cases is whether the differences between the models are sufficiently large relative to the variance of the disturbance term to warrant efforts to discriminate between the models or collect new data in order to discriminate. This paper, after refining the notion of differences between models, suggests…

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OLS 与 BLUS 残差用于模型设定误差检验的进一步结果AI 解读

This paper considers the test RESET, which is a test for specification error in a linear regression model. It makes a modification in the test based on OLS residuals, and shows that the modified test is equivalent to a test based on BLUS residuals.

市场需求曲线的极限函数形式AI 解读

On the basic assumption that individual consumption of a good is a stochastic phenomenon, the first part of this article shows that under general conditions market quantity demanded is asymptotically (as n, the number of individuals in the market, increases) distributed as normal with and variance a function of own price given all other prices and individual incomes. Next, by the use of integral transforms, it is shown that the unknown market demand function can be…