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中位数的贝叶斯非参数估计：第二部分，估计量的渐近性质AI 解读

For data $\theta + \varepsilon_i, i = 1, \ldots, n$ where $\varepsilon_i$ are i.i.d. $\sim F$ with the median of $F$ equal to $0$ but $F$ otherwise unknown, it is desired to estimate $\theta$. In Doss (1985) priors are put on the pair $(F, \theta)$, the marginal posterior distribution of $\theta$ is computed, and the mean of the posterior is taken as the estimate of $\theta$. In the present paper a frequentist point of view is adopted. The consistency properties of the Bayes…

Logistic 回归中的协变量测量误差AI 解读

In a logistic regression model when covariates are subject to measurement error the naive estimator, obtained by regressing on the observed covariates, is asymptotically biased. We introduce a bias-adjusted estimator and two estimators appropriate for normally distributed measurement errors -a functional maximum likelihood estimator and an estimator which exploits the consequences of sufficiency. The four proposals are studied asymptotically under conditions which are…

最小二乘与误差变量回归的比较：聚焦随机化协方差分析AI 解读

In an errors-in-variables regression model, the least squares estimate is generally inconsistent for the complete regression parameter but can be consistent for certain linear combinations of this parameter. We explore the conjecture that, when the least squares estimate is consistent for a linear combination of the regression parameter, it will be preferred to an errors-in-variables estimate, at least asymptotically. The conjecture is false, in general, but it is true for…

分位数函数的平滑非参数估计AI 解读

A smooth alternative to the conventional sample quantile function as a nonparametric estimator of a population quantile function is proposed. The proposed estimator is essentially a kernel type of estimator and has the same asymptotic distribution as the conventional sample quantile. The mean squared convergence rate of the proposed estimator is also estimated. Monte Carlo studies are conducted to compare the proposed estimator with the sample quantile and the estimator…

Markov 假设下面板数据的分析AI 解读

Methods for the analysis of panel data under a continuous-time Markov model are proposed. We present procedures for obtaining maximum likelihood estimates and associated asymptotic covariance matrices for transition intensity parameters in time homogeneous models, and for other process characteristics such as mean sojourn times and equilibrium distributions. Generalizations to handle covariance analysis and to the fitting of certain nonhomogeneous models are presented, and…

多元伽马—泊松模型AI 解读

This article extends the multivariate gamma-Poisson model of repeated events, developed by Arbous and Kerrich (1951) and Bates and Neyman (1952), by (a) compounding it with a Dirichlet distribution in the analysis of cross-sectional data and by (b) allowing individual rates to shift at the start of the second period in the analysis of two-period longitudinal data. The first extension allows individuals to specialize in particular types of events. The model is shown to…

We describe methods for the construction of a confidence interval for median survival time based on right-censored data. These methods are extended to the construction of repeated confidence intervals for the median, based on accumulating data; here, the overall probability that all intervals contain the true median is guaranteed at a fixed level. The use of repeated confidence intervals for median survival time in post-marketing surveillance is discussed.

随机区组设计中删失数据的对齐秩检验AI 解读

The aligned rank test of Hodges & Lehmann (1962) is extended to censored survival data collected in matched pairs or randomized blocks. The test statistic for matched pairs is a direct extension of the original aligned rank test, whereas the test statistic for use with block size k>2 is constructed from the paired data statistics comparing all possible pairs of treatments. The efficiency of recovery of interblock information with censored matched pairs is examined by…

摘要暂缺

需求系统假设检验：基于 Edgeworth 近似的检验水平修正AI 解读

A size correction to adjust the critical values of asymptotic χ 2 tests in a SUR context has been developed by Rothenberg and verified by Phillips. The adjustment centers the distribution of the observed test statistic so that it coincides more closely with its hypothetical distribution. The correction itself is an approximation to O ( T −1 ), and while the adjustment should be superior to the asymptotic test (no adjustment) in small-sample situations, its performance can be…

序列相关的一般分析框架AI 解读

In this paper the testing and estimation problems are discussed in the case of serial correlation. Various models are particular cases of the general framework considered: the nonlinear simultaneous equations models, the probit models, the tobit models, the disequilibrium models, the frontier models, etc. In this context, it is shown that the score test can be written explicitly and that the statistic obtained is a generalization of that of Durbin and Watson; moreover, the…

非线性预算集的计量经济学AI 解读

This article surveys the development of nonparametric models and methods for estimation of choice models with nonlinear budget sets.The discussion focuses on the budget set regression, that is, the conditional expectation of a choice variable given the budget set.Utility maximization in a nonparametric model with general heterogeneity reduces the curse of dimensionality in this regression.Empirical results using this regression are different from maximum likelihood and give…

非正态扰动下误差成分模型的检验AI 解读

This paper derives the limit distribution of the test statistics for the error components model proposed by Breusch and Pagan under the assumption of non-normal disturbances and under a sequence of local alternatives, and shows that the Breusch-Pagan tests are robust to non-normal disturbances. The paper also points out that the Breusch-Pagan tests do not make full use of the information provided by the one-sided alternative. And it proposes a one-sided alternative test for…

摘要暂缺

短评：评 Vinod《黑人与白人经济距离的测量》AI 解读

Vinod ( 1 985) recently noted that there was room for additional measures to compare two distribution funcLl [F(,x-) G(x)] day tions and introduced a new concept-economic advantage-that could be defined over either a small range of the income curve or the whole range (the + 1 G ) ) 1 F ) ] d (2) overall economic advantage; OEA). He then developed a statistical methodology for estimating these measures which from ParZen (1960, p. 21 1) is and applied them to U.S. income data.…

偏好变化下的真实生活成本指数AI 解读

This article investigates the theoretical and empirical properties of a true cost-of-living index under conditions of changing preferences. A family of true indexes is defined based on the notion of the current utility function. A particular index, based on the previous period's utility level, is then defined. Given this definition, a true cost-of-living index is computed based on a quadratic expenditure system estimated with quarterly data from 1960–1981. For empirical…

需求方程系统中的价格聚合偏差及其影响AI 解读

This article illustrates the importance of maintaining consistent levels of aggregation between prices and quantities when estimating consumer demand functions. The impact of violating this condition is quantified by using summary performance measures and estimates of demand elasticity biases. Results derived from an application of 1972–1973 Consumer Expenditure Survey data and supported with a quasi-Monte Carlo experiment consistently indicate that the point estimates of…

特定固定删失模型下Kaplan–Meier估计量及其分位数的方差AI 解读

For fixed censoring models that contain at most one intermediate censoring point, we obtain exact algebraic expressions for the asymptotic variances of (i) the quantiles of the Kaplan-Meier (KM, 1958) survival estimator and (ii) the KM estimator itself at fixed time points. The relationship between (i) and (ii) is found to be the same as the one derived by Sander (1975) and Reid (1981b) for the random censorship model. Confidence intervals for the quantiles based on (i) are…

对称分布的分位数估计AI 解读

The problem is to estimate a quantile of a symmetric distribution. The cases of known and unknown center are studied for small and large samples. The estimators for known center are the sample quantile, the symmetrized sample quantile, the sample quantile from flipped over data, the Rao-Blackwellized sample quantile, and a Bayes estimator using a Dirichlet prior. For center unknown, we study the analogues of the first four estimators listed above. For small samples and…

一类最小分位数距离估计量的渐近性质AI 解读

A family of estimators based upon M specified quantiles is defined. These procedures take as the estimate the vector that minimizes a quadratic distance measure between M sample quantiles and a parametric family of quantile functions. Under regularity conditions these estimators are consistent, asymptotically normal, and robust. For a specific quadratic form the estimator is optimal among a class of asymptotically normal estimators, and it approaches full efficiency as M…

聚合、结构变化与截面估计AI 解读

This article characterizes the local effects of parametric behavioral model change on relationships between aggregate variables, and it presents consistent estimators of such effects using cross-section data. Two equivalent interpretations of model-change effects are given: an “average-marginal” formulation and a cross-section regression formulation. The relation between model-change effects and maximum likelihood estimation of the behavioral parameters is explained.…

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用于多层分析的分层逻辑回归模型AI 解读

A hierarchical logistic regression model is proposed for studying data with group structure and a binary response variable. The group structure is defined by the presence of micro observations embedded within contexts (macro observations), and the specification is at both of these levels. At the first (micro) level, the usual logistic regression model is defined for each context. The same regressors are used in each context, but the micro regression coefficients are free to…

一族最小分位数距离估计量的渐近性质AI 解读

A family of estimators based upon M specified quantiles is defined. These procedures take as the estimate the vector that minimizes a quadratic distance measure between M sample quantiles and a parametric family of quantile functions. Under regularity conditions these estimators are consistent, asymptotically normal, and robust. For a specific quadratic form the estimator is optimal among a class of asymptotically normal estimators, and it approaches full efficiency as M…