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随机缺失数据下均值泛函的非参数估计AI 解读

This article considers a distribution-free estimation procedure for a basic pattern of missing data that often arises from the wellknown double sampling in survey methodology. Without parametric modeling of the missing mechanism or the joint distribution, kernel regression estimators are used to estimate mean functionals through empirical estimation of the missing pattern. A generalization of the method of Cheng and Wei is verified under the assumption of missing at random.…

异方差回归模型的拟合AI 解读

In heteroscedastic regression models assumptions about the error distribution determine the method of consistent estimation of parameters. For example, consider the case where the model specifies the regression and dispersion functions for the data but robustness is of concern and one wishes to use least absolute error regressions. Except in certain special circumstances, parameter estimates obtained in this way are inconsistent. In this article we expand the heteroscedastic…

局部平均处理效应的识别与估计AI 解读

We investigate conditions sufficient for identification of average treatment effects using instrumental variables. First we show that the existence of valid instruments is not sufficient to identify any meaningful average treatment effect. We then establish that the combination of an instrument and a condition on the relation between the instrument and the participation status is sufficient for identification of a local average treatment effect for those who can be induced…

1963—1987年美国工资结构的变化：分位数回归的应用AI 解读

A recently developed quantile regression technique, which parsimoniously describes the entire conditional distribution, is applied to every March Current Population Survey since 1964. The study examines changes in the returns to schooling and experience at different points of the wage distribution and changes in within-group wage inequality. The results from the one-group and sixteen-group linear models show that the returns to schooling and experience differ across…

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解释变量与双向误差分量相关时的面板模型估计AI 解读

In this paper, we derive an instrumental variables estimator for the generalized Hausman and Taylor [4] model with a two-way error component. We also extend the work of Breusch, Mizon, and Schmidt [2] to this model and derive two additional instrumental variables estimators. Consistency and asymptotic normality of the parameter estimator is demonstrated, allowing both the number of time periods as well as the number of individuals to increase, their ratio bounded. Consistent…

一种计算上可行的面板数据模拟估计量AI 解读

The author develops a practical extension of D. McFadden's method of simulated moments estimator for limited dependent variable models to the panel data case. The method is based on factorization of the method of simulated moments first order condition into transition probabilities, along with development of an accurate new method for simulating transition probabilities. Monte Carlo tests indicate that this method of simulated moments estimator performs quite well relative…

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截断偏差与收入不平等的排序评价AI 解读

Lorenz dominance analysis is used to examine the effect of top-coding on the ordinal evaluation of U.S. income inequality across time. Current Population Survey microdata are adjusted for truncation bias, and statistical inference procedures are used to examine biennial changes in unadjusted and adjusted Lorenz curves. Beginning in 1985, the truncation bias has a significant effect on ordinal rankings of income inequality.

金融企业的货币服务生产：广义对称 Barnett 可变利润函数方法AI 解读

An alternative monetary-production model of financial firms is employed to investigate supply-side monetary aggregation. Financial firms are conceived to produce monetary services as outputs through financial intermediation. A new method for testing the existence of consistent monetary-output aggregates in financial firms' production technology is developed in terms of a multiproduct firm's variable profit function, and the method does not require homotheticity of the…

利用新古典消费者选择理论从购买数据构建市场图谱AI 解读

This article presents a new model for estimating the spatial representation of objects and preference vectors from actual choice behavior of individuals or households. It is based on neoclassical economic theory of consumer choice. The model integrates both decisions of which good(s) to buy and the quantity of purchase. Overall preference is decomposed into price effects and intrinsic preference for the good. A maximum likelihood method for estimating the model parameters is…

金融企业的货币服务生产：广义对称 Barnett 可变利润函数方法AI 解读

A financial firms' production model is employed to investigate monetary aggregation. Financial firms are conceived to produce monetary services as outputs through financial intermediation. A new method for testing the existence of consistent monetary output aggregates in financial firms' production technology is developed in terms of the variable profit function and the method does not require homotheticity of the aggregator function. The authors utilize a generalized…

截断偏差与收入不平等的序数评价AI 解读

Lorenz dominance analysis is used to examine the effect of top-coding on the ordinal evaluation of U.S. income inequality across time. Current Population Survey microdata are adjusted for truncation bias, and statistical inference procedures are used to examine biennial changes in unadjusted and adjusted Lorenz curves. Beginning in 1985, the truncation bias has a significant effect on ordinal rankings of income inequality.

经济波动、市场势力与规模报酬：企业数据证据AI 解读

Abstract Recent research on aggregate fluctuations, coupled with ongoing work in industrial organization, has renewed interest in the existence, magnitude, and cyclical pattern of market power and the extent of increasing returns to scale. By exploiting restrictions from dynamic theory and information from financial markets, we present a framework for generating quantitative evidence on market power and returns to scale. Tailoring the econometric model to firm‐level panel…

利用市场数据估计消费者偏好：美国汽车需求应用AI 解读

Abstract This paper explores the possibility of using market data to identify consumer preferences. A utility function composed of ‘homogeneous’ characteristics and goods‐specific effects is used as a basic link between the goods space and the characteristics space. The functional form for the hedonic price equation, the data requirements and issues of measurement errors for estimating demand and supply of characteristics are discussed. We illustrate the methodology by…

自相关数据的逻辑回归及其重复测量应用AI 解读

A stochastic model is proposed for the study of the influence of time-dependent covariates on the marginal distribution of the binary response in serially correlated binary data. Markov chains are expressed in terms of transitional rather than marginal probabilities. We show how to construct the model so that the covariates relate only to the mean value of the process, independently of the association parameter. After formulating the stochastic model for a simple sequence of…

基于枢轴估计函数的重抽样方法AI 解读

SUMMARY Suppose that, under a semiparametric model setting, one is interested in drawing inferences about a finite-dimensi onal parameter vector /? based on an estimating function. Generally a consistent point estimator /J for /?0, the true value for /J, can be easily obtained by finding a root of the corresponding estimating equation. To estimate the variance of ft, however, may involve complicated and subjective nonparametric functional estimates. In this paper, a general…

基于中位生存时间的期中分析AI 解读

For a typical two-arm survival study, analyses are usually performed periodically to evaluate, for example, the treatment difference. In this paper, we propose to use differences or ratios of estimated median survival times repeatedly during a study to evaluate the relative merit of two treatment groups. This new procedure provides quantitative assessments of the treatment difference and is completely model-free. Our method is illustrated with a recent aids clinical study…

响应自适应治疗分配设计下的渐近推断AI 解读

A response-adaptive treatment allocation design for a clinical trial attempts to place the majority of patients on the treatment that appears more successful, based on the responses of patients already treated. One example of such a design is the randomized play-the-winner rule developed by Wei and Durham, which randomizes the treatment assignment probabilities according to the outcomes of treatments previously assigned. For a trial with dichotomous treatment responses and a…

非参数二元回归：贝叶斯方法AI 解读

The performance of Bayes estimates are studied, under an assumption of conditional exchangeability. More exactly, for each subject in a data set, let $\xi$ be a vector of binary covariates and let $\eta$ be a binary response variable, with $P\{\eta = 1\mid \xi\} = f(\xi)$. Here, $f$ is an unknown function to be estimated from the data; the subjects are independent, and satisfy a natural "balance" condition. Define a prior distribution on $f$ as $\sum_kw_k\pi_k/\sum_kw_k$,…

L1回归估计量分布的解析与自助法近似AI 解读

Edgeworth and bootstrap approximations to estimator distributions in L1 regression are described. Analytic approximations based on Edgeworth expansions that mix lattice and nonlattice components and allow for an intercept term in the regression are developed under mild conditions, which do not even require a density for the error distribution. Under stronger assumptions on the error distribution, the Edgeworth expansion assumes a simpler form. Bootstrap approximations are…

高频购买品类的消费者行为：含异质性的风险率模型AI 解读

We apply hazard function models to marketing data on household purchases of disposable diapers to calibrate repeat-purchase and brand-switching behaviors. In the model we allow for household-specific unobserved traits. Hazard function models with fixed-effects heterogeneity specification are computationally feasible. We directly compare the results of fixed- and random-effects heterogeneity specifications in the context of parametric and nonparametric duration-dependence…

Cox模型中随协变量变化的中位生存时间置信带AI 解读

Let ξp (x) be the pth quantile of the distribution of the life length of an individual with covariate vector x in the Cox model. We introduce an estimator ξp (x) of ξp (x) and develop several families of confidence bands for ξ(x) as a function of x. To construct one type of band, we proceed as follows. We show that as n → ∞, where n is the number of individuals in the study, ) converges weakly to a Gaussian process W(x) with a complicated covariance structure. We then…