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局部渐近设定误差分析AI 解读

An approximation to the inconsistency introduced by imposing an incorrect restriction on a parametric model is given. The approximation can be applied to estimators generated by optimizing any objective function satisfying certain regularity conditions. Examples given include analysis of misspecification in discrete choice and time-series models estimated by maximum likelihood, and in a nonlinear regression model. SPECIFICATION ERROR ANALYSIS in the linear regression model…

计数数据的计量模型：专利与研发关系的应用AI 解读

This paper focuses on developing and adapting statistical models of counts (nonnegative integers) in the context of panel data and using them to analyze the relationship between patents and R & D expenditures. Since a variety of other economic data come in the form of repeated counts of some individual actions or events, the methodology should have wide applications. The statistical models we develop are applications and generalizations of the Poisson distribution. Two…

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样本选择模型与多部模型之间的选择AI 解读

Hay and Olsen (1984) incorrectly argue that a multi-part model, the two-part model used in Duan et al. (1982,1983), is nested within the sample-selection model. Their proof relies on an unmentioned restrictive assumption that cannot be satisfied. We provide a counterexample to show that the propensity to use medical care and the level of expense can be positively associated in the two-part model, contrary to their assertion. The conditional specification in the multi-part…

对 Amemiya 二元 Logit 回归估计论文的评论AI 解读

Amemiya (1980) derived expressions for the $n^{-2}$-order mean squared errors of the maximum likelihood and the minimum logit chi-squared estimators in the dichotomous logit regression model. He numerically evaluated these expressions for a number of specific examples and in all examples found that the minimum chi-squared estimator has smaller $n^{-2}$-order mean squared error. In this paper, we demonstrate examples in which the maximum likelihood estimator has smaller $n^{-2}$…

Recent studies have documented a significant rise in the male black-white earnings ratio since the mid-1960s. The growing difference in nonemployment rates of blacks and whites clouds these optimistic findings. The basic question addressed in this paper is whether selectivity bias, caused by racial differences in employment rates, is a serious problem in the estimation of wage functions for adult males. For males age 21-34 we found no evidence of selectivity bias, but for…

伪极大似然方法：泊松模型的应用AI 解读

Pseudo maximum likelihood techniques are applied to basic Poisson models and to Poisson models with specification errors. In the latter case it is shown that consistent and asymptotically normal estimators can be obtained without specifying the p.d.f. of the disturbances. These estimators are compared both from the finite sample and the asymptotic point of view. Quasi generalized PML estimators, which asymptotically dominate all PML estimators, are also proposed. Finally,…

存在自相关时实验的最优随机化AI 解读

For a linear or spatial ordering of the experimental units, systematic methods of applying the treatments to the experimental units minimize the variance of linear contrasts of treatment means. In the linear ordering the optimal randomization scheme for the application of k treatments is to apply a treatment to every kth experimental unit, the equivalent of systematic sampling in the sampling literature. In the spatial ordering the optimal randomization schemes are…

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二元回归模型中的变量测量误差AI 解读

We consider binary regression models when some of the predictors are measured with error. For normal measurement errors, structural maximum likelihood estimates are considered. We show that if the measurement error is large, the usual estimate of the probability of the event in question can be substantially in error, especially for high risk groups. In the situation of large measurement error, we investigate a conditional maximum likelihood estimator and its properties.

计量经济模型的 Bootstrap：若干经验结果AI 解读

The bootstrap, like the jackknife, is a technique for estimating standard errors. The idea is to use Monte Carlo simulation, based on a nonparametric estimate of the underlying error distribution. The bootstrap will be applied to an econometric model describing the demand for capital, labor, energy, and materials. The model is fitted by three-stage least squares. In sharp contrast with previous results, the coefficient estimates and the estimated standard errors perform very…

重新定位反向回归AI 解读

I am not sure that the imperfect correlation between workers' productivity and their measured qualifications creates, as Conway and Roberts suggest, a profound dilemma for the theory of distributive justice. On the other hand, I am fairly sure that it raises issues of statistical inference. And I am quite sure that statisticians are better equipped to resolve the latter than the former. So I will consider the choice of regression for inferring salary discrimination in the…

核型分位数估计量的相对亏损AI 解读

In this paper the asymptotic relative deficiency of the sample $q$-quantile with respect to kernel type estimators of the $q$-quantile is evaluated. The comparison is based on the mean square errors of the estimators. The result suggests a purely analytic measure of performance within the class of kernels. It is notable that a similar situation occurs when kernel estimators of a distribution function are studied.

生长曲线的非参数回归分析AI 解读

In recent years, nonparametric curve estimates have been extensively explored in theoretical work. There has, however, been a certain lack of convincing applications, in particular involving comparisons with parametric techniques. The present investigation deals with the analysis of human height growth, where longitudinal measurements were collected for a sample of boys and a sample of girls. Evidence is presented that kernel estimates of acceleration and velocity of height,…

评估 Logistic 回归模型的图形方法AI 解读

In ordinary linear regression, graphical diagnostic displays can be very useful for detecting and examining anomalous features in the fit of a model to data. For logistic regression models, the discreteness of binary data makes it difficult to interpret such displays. Modifications and extensions of linear model displays lead to three methods for diagnostic checking of logistic regression models. Local mean deviance plots are useful for detecting overall lack of fit.…

结构的性质与发现AI 解读

Extending principles of experimentation, we discuss conditions under which nonexperimental data allow consistent estimation of effects of the kind revealed by experimentation and relevant to decisions. We show how implications of these conditions are often overlooked and how failure to distinguish between “factors” and “concomitants” makes almost anything said about a model ambiguous if not wrong. The effects to be estimated dictate the factors to be included; consistency…

观察研究从关联到因果：强可忽略处理分配检验的作用AI 解读

If treatment assignment is strongly ignorable, then adjustment for observed covariates is sufficient to produce consistent estimates of treatment effects in observational studies. A general approach to testing this critical assumption is developed and applied to a study of the effects of nuclear fallout on the risk of childhood leukemia. R.A. Fisher's advice on the interpretation of observational studies was “Make your theories elaborate”; formally, make causal theories…

论结构的本质与发现AI 解读

Extending principles of experimentation, we discuss conditions under which nonexperimental data allow consistent estimation of effects of the kind revealed by experimentation and relevant to decisions. We show how implications of these conditions are often overlooked and how failure to distinguish between “factors” and “concomitants” makes almost anything said about a model ambiguous if not wrong. The effects to be estimated dictate the factors to be included; consistency…

降低持续期计量模型对分布假设敏感性的方法AI 解读

Conventional analyses of single spell duration models control for unobservables using a random effect estimator with the distribution of unobservables selected by ad hoc criteria. Both theoretical and empirical examples indicate that estimates of structural parameters obtained from conventional procedures are very sensitive to the choice of mixing distribution. Conventional procedures overparameterize duration models. We develop a consistent nonparametric maximum likelihood…

比例优势模型中干扰参数的消除AI 解读

SUMMARY The problem of eliminating nuisance parameters in the context of the proportional odds model is considered. The technique used involves a form of sequential conditioning but it is not equivalent to a conditional or partial likelihood. Applications to ordered responses in the context of a matched pairs design are considered but the method can also be used where the responses are continuous.

非线性理性预期模型的广义工具变量估计AI 解读

This paper describes a method for estimating and testing nonlinear rational expectations models directly from stochastic Euler equations. The estimation procedure makes sample counterparts to the population orthogonality conditions implied by the economic model close to zero. An attractive feature of this method is that the parameters of the dynamic objective functions of economic agents can be estimated without explicitly solving for the stochastic equilibrium.

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