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一阶非循环自回归中的 Edgeworth 与鞍点近似AI 解读

The first-order noncircular autoregressive model is considered and Edgeworth and saddlepoint approximations are given for the distribution of the least squares estimator of the autoregressive coefficient. Numerical calculations are used to compare the two approximations with the exact distribution, found by numerical integration. Both approximations are unsatisfactory when the autoregressive coefficient is moderately large and the sample size small, the saddlepoint because…

计量经济估计量有限样本分布渐近展开近似的一般定理AI 解读

P. C. B. Phillips, A General Theorem in the Theory of Asymptotic Expansions as Approximations to the Finite Sample Distributions of Econometric Estimators, Econometrica, Vol. 45, No. 6 (Sep., 1977), pp. 1517-1534

一阶随机差分方程相关有限样本分布的近似AI 解读

Edgeworth series expansions are obtained of the finite sample distributions of the least squares estimator and the associated t ratio test statistic in the context of a first-order noncircular stochastic difference equation. General formulae are given for these expansions up to 0(Th1) where T is the sample size and explicit representations of these in terms of the true parameters are derived up to 0(12). Some numerical comparisons of the approximations and the exact…

迭代最小距离估计量与准极大似然估计量AI 解读

A multiple equation nonlinear regression model with serially independent disturbances is considered. The estimation of the parameters in this model by maximum likelihood and minimum distance methods is discussed and our main subject is the relationship between these procedures. We establish that if the number of observations in a sample is sufficiently large, the iterated minimum distance procedure converges almost surely and the limit of this sequence of iterations is the…

若干连续时间模型的估计AI 解读

When a continuous time model is estimated from its non-recursive discrete approximation, the presence of identities and exogenous variables in the system does not preclude the use of standard procedures. However, if we wish to use the exact discrete model for estimation purposes, the treatment of identities and exogenous variables is not so straightforward. It is found that the procedure based on the exact discrete model is unlikely to be affected by the presence of…

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