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随机差分方程相关的有限样本分布：若干实验性证据
R. L. Basmann, D. H. Richardson, R. J. Rohr, Finite Sample Distributions Associated with Stochastic Difference Equations--Some Experimental Evidence, Econometrica, Vol. 42, No. 5 (Sep., 1974), pp. 825-839
动态计量模型中结构估计量与检验统计量的实验研究
R. L. Basmann, D. H. Richardson, R. J. Rohr, An Experimental Study of Structural Estimators and Test Statistics Associated with Dynamical Econometric Models, Econometrica, Vol. 42, No. 4 (Jul., 1974), pp. 717-730
评R. P. Byron《需求关系系统的受限Aitken估计》
that the latter system fits only poorly, Byron went on to speculate (in the presence of those data) whether any system of demand functions would fit any relevant empirical data as well. The system of demand functions Byron said he intended to test and estimate belongs to the class Y'O of systems of real-valued functions of real variables that are characterized by (la) xi = AiME H p' (i=1 . ,m) j=1 and m
一个典型恰好识别情形下结构系数 GCL 估计量的精确有限样本密度
As is true of any statistical application, testing econometric statistical hypotheses involves constructing critical regions with prescribed probabilities of Type I error and determining probabilities of Type II error under alternative hypotheses. Such constructions and determinations presuppose knowledge of exact statistical distribution functions of econometric estimators and test statistics either directly, or indirectly, as in the case where a statistical distribution…
一个典型恰好识别情形下结构系数 GCL 估计量的精确有限样本密度
As is true of any statistical application, testing econometric statistical hypotheses involves constructing critical regions with prescribed probabilities of Type I error and determining probabilities of Type II error under alternative hypotheses. Such constructions and determinations presuppose knowledge of exact statistical distribution functions of econometric estimators and test statistics either directly, or indirectly, as in the case where a statistical distribution…
GCL 估计量精确有限样本分布函数在计量统计推断中的应用评述
When employed in connection with econometric models that have a sufficiently high degree of cognitive significance (as measured by the extent to which underlying economic premises are actually elucidated into empirically testable implications) qualitative analysis of the exact finite sample distribution functions of GCL estimators of structural parameters finds its paramount use in delimiting the precision with which structural coefficients can be estimated. This kind of…
经济关系非三角系统的因果解释：再回应
The Strotz-Wold Reply, however, penetrates to the heart of the issue, almost, and it will probably be illuminating to make a rejoinder. To begin with I should like to say that they are justified in taking exception to the unfortunate wording of the headnote. Though, when applied to the sequence of recipes given out by Wold, my remarks do not lack for verisimilitude, they are certainly not true to the letter of the Strotz-Wold article, and I should have taken pains not to…
典型三方程情形下广义经典线性估计量的精确有限样本密度函数札记
In this article some leading results of a mathematical investigation of exact finite sample distributions of GCL estimators are given. These results pertain to the distributions of estimators of coefficients appearing in econometric systems of three structural equations. The results show that the general forms of exact distributions derived for coefficient estimators in two-equation systems re-appear in the corresponding cases of three equations systems.
两个典型过度识别情形下广义经典线性估计量的精确有限样本分布
The asymptotic unbiasedness and normality of alternative statistical estimators θ, θ,1 ··· of a given parameter θ* are generally proved without reference to any explicit knowledge of the exact finite sample distribution functions, F n (x), G n (x) ···. (Here n denotes sample size.) Within the class of asymptotically unbiased and normally distributed estimators of a given parameter it is sometimes possible to demonstrate that one estimator possesses a smaller asymptotic…
广义经典线性可识别性检验统计量的有限样本分布
In the estimation of econometric simultaneous equations models, hypothesized necessary conditions for the identifiability of a single equation usually specify the exclusion of a number of variables from the structural equation in question. If the pre-determined variables are completely exogenous, if the disturbances in the equations are jointly normally distributed, and if a moderately high degree of precision can be obtained in reduced-form estimation, then the exact finite…