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用于中介效应检验的有限样本增广似然比检验AI 解读

Summary Testing for mediation suffers from low power near the origin. This can be addressed by augmenting the likelihood ratio critical region as discussed in previous work within an asymptotic framework. In this paper we consider exact distributions of test statistics and use this to derive optimal augmentation regions for arbitrary sample sizes. The resulting test is very simple and reliable, making it relevant for empirical research, even with a very small number of…

多峰性、p** 公式与置信区域AI 解读

Barndorff-Nielsen’s celebrated p *-formula and variations thereof have amongst their various attractions the ability to approximate bimodal distributions. In this paper we show that in general this requires a crucial adjustment to the basic formula. The adjustment is based on a simple idea and straightforward to implement, yet delivers important improvements. It is based on recognizing that certain outcomes are theoretically impossible and the density of the MLE should then…

不平等测度的 Edgeworth 展开与正态化变换AI 解读

Finite sample distributions of studentized inequality measures differ substantially from their asymptotic normal distribution in terms of location and skewness. We study these aspects formally by deriving the second-order expansion of the first and third cumulant of the studentized inequality measure. We state distribution-free expressions for the bias and skewness coefficients. In the second part we improve over first-order theory by deriving Edgeworth expansions and…

平稳过程谱参数最小对比估计量的高阶渐近理论AI 解读

Let g(λ) be the spectral density of a stationary process and let fθ(λ), θ ∈ Θ, be a fitted spectral model for g(λ). A minimum contrast estimator of θ is defined that minimizes a distance between , where is a nonparametric spectral density estimator based on n observations. It is known that is asymptotically Gaussian efficient if g(λ) = fθ(λ). Because there are infinitely many candidates for the distance function , this paper discusses higher order asymptotic theory for in…

半对数方程中虚拟变量的精确解释AI 解读

This paper considers the percentage impact of a dummy variable regressor on the level of the dependent variable in a semilogarithmic regression equation with normal disturbances. We derive an exact unbiased estimator, its variance, and an exact unbiased estimator of the variance. The main practical contribution lies in a convenient approximation for the unbiased estimator of the variance, which can be reported together with Kennedy"s approximate unbiased estimator of the…

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计量经济学中的弯曲指数模型AI 解读

Curved exponential models have the property that the dimension of the minimal sufficient statistic is larger than the number of parameters in the model. Many econometric models share this feature. The first part of the paper shows that, in fact, econometric models with this property are necessarily curved exponential. A method for constructing an explicit set of minimal sufficient statistics, based on partial scores and likelihood ratios, is given. The difference in…