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密度比序的非参数检验AI 解读

We study a family of nonparametric tests of density ratio ordering between two continuous probability distributions on the real line. Density ratio ordering is satisfied when the two distributions admit a nonincreasing density ratio. Equivalently, density ratio ordering is satisfied when the ordinal dominance curve associated with the two distributions is concave. To test this property, we consider statistics based on the L p -distance between an empirical ordinal dominance…

当偏差压倒方差：DEA 与 FDH 效率得分的中心极限定理AI 解读

Data envelopment analysis (DEA) and free disposal hull (FDH) estimators are widely used to estimate efficiencies of production units. In applications, both efficiency scores for individual units as well as average efficiency scores are typically reported. While several bootstrap methods have been developed for making inference about the efficiencies of individual units, until now no methods have existed for making inference about mean efficiency levels. This paper shows that…

波动率成分模型的计量分析AI 解读

Volatility component models have received considerable attention recently, not only because of their ability to capture complex dynamics via a parsimonious parameter structure, but also because it is believed that they can handle well structural breaks or nonstationarities in asset price volatility. This paper revisits component volatility models from a statistical perspective and attempts to explore the stationarity of the underlying processes. There is a clear need for…

格点过程的模型设定检验AI 解读

We consider an omnibus test for the correct specification of the dynamics of a sequence $\left\{ {x\left( t \right)} \right\}_{t \in Z^d } $ in a lattice. As it happens with causal models and d = 1, its asymptotic distribution is not pivotal and depends on the estimator of the unknown parameters of the model under the null hypothesis. One first main goal of the paper is to provide a transformation to obtain an asymptotic distribution that is free of nuisance parameters.…

级数回归的积分均方误差与 Hilbert 空间 Rosenthal 不等式AI 解读

This paper develops uniform approximations for the integrated mean squared error (IMSE) of nonparametric series regression estimators, including both least-squares and averaging least-squares estimators. To develop these approximations, we also generalize an important probability inequality of Rosenthal (1970, Israel Journal of Mathematics 8, 273–303; 1972, Sixth Berkeley Symposium on Mathematical Statistics and Probability , vol. 2, pp. 149–167. University of California…

Haavelmo 的实验方法论与协整向量自回归情景分析AI 解读

The paper provides a careful, analytical account of Trygve Haavelmo’s use of the analogy between controlled experiments common in the natural sciences and econometric techniques. The experimental analogy forms the linchpin of the methodology for passive observation that he develops in his famous monograph, The Probability Approach in Econometrics (1944). Contrary to some recent interpretations of Haavelmo’s method, the experimental analogy does not commit Haavelmo to a…

Haavelmo 对联立方程估计的贡献AI 解读

This paper surveys Trygve Haavelmo’s contributions to econometrics. A brief summary of his 1944 monograph is followed by an analysis of the six important papers he contributed during 1943–47. Four of them were devoted to macroeconomic models including estimation of the Keynesian marginal propensity to consume; the first two introduced the methodology of a system of structural equations; the third marked a milestone in econometric method by deriving the reduced form of such a…

Haavelmo 的概率方法与协整 VARAI 解读

Some key econometric concepts and problems of great importance to Trygve Haavelmo and Ragnar Frisch are discussed within the general framework of a cointegrated VAR. The focus is on problems typical of time-series data such as multicollinearity, spurious correlation and regression, time dependent residuals, model selection, missing simultaneity, autonomy, and identification. The paper argues that the more recent development of unit root econometrics has been instrumental for…

Haavelmo—Cowles 委员会研究纲领的巩固AI 解读

Much of modern econometrics stems directly from the post-1940 works of Haavelmo and the Cowles Commission (CC) Monograph 10. This paper examines the consolidation process of the Haavelmo-CC research program mainly during the 1950–70 period from three aspects: (i) developments of econometrics textbooks, (ii) emerging themes and trends in econometric research, and (iii) the contribution of the program to empirical modeling of real-world issues. The examination reveals that the…

Haavelmo 资本与投资市场模型的 VAR 解释AI 解读

In the paper attempts are made to integrate two parts of Trygve Haavelmo’s work: investment theory and dynamic econometric models of interrelated markets. Specifically, the duality in the representation of the capital service price and the capital quantity in relation to the investment price and quantity are brought to the forefront and confronted with elements from simultaneous equation modeling of vector autoregressive systems containing exogenous variables (VARX), using…

模型发现与 Haavelmo 的学术遗产AI 解读

Trygve Haavelmo’s Probability Approach aimed to implement economic theories, but he later recognized their incompleteness. Although he did not explicitly consider model selection, we apply it when theory-relevant variables, { X t }, are retained without selection while selecting other candidate variables, { W t }. Under the null that the { W t } are irrelevant, by orthogonalizing with respect to the { X t }, the estimator distributions of the X t ’s parameters are unaffected…

Haavelmo 与因果演算的形成AI 解读

Haavelmo was the first to recognize the capacity of economic models to guide policies. This paper describes some of the barriers that Haavelmo’s ideas have had (and still have) to overcome and lays out a logical framework that has evolved from Haavelmo’s insight and matured into a coherent and comprehensive account of the relationships between theory, data, and policy questions. The mathematical tools that emerge from this framework now enable investigators to answer complex…

Haavelmo 之后的因果分析AI 解读

Haavelmo’s seminal 1943 and 1944 papers are the first rigorous treatment of causality. In them, he distinguished the definition of causal parameters from their identification. He showed that causal parameters are defined using hypothetical models that assign variation to some of the inputs determining outcomes while holding all other inputs fixed. He thus formalized and made operational Marshall’s (1890) ceteris paribus analysis. We embed Haavelmo’s framework into the…

摘要暂缺

我对考尔斯委员会时期特里格韦·哈维尔莫的回忆AI 解读

Trygve Haavelmo and the author were colleagues at the Cowles Commission for Research in Economics during the academic year 1945–46. The econometric analysis of simultaneous equation models and its uses in economic analysis were explored.

通过最优组合分位数信息实现高效回归估计AI 解读

We develop a generally applicable framework for constructing efficient estimators of regression models via quantile regressions. The proposed method is based on optimally combining information over multiple quantiles and can be applied to a broad range of parametric and nonparametric settings. When combining information over a fixed number of quantiles, we derive an upper bound on the distance between the efficiency of the proposed estimator and the Fisher information. As…

固定效应动态面板模型的非参数估计AI 解读

This paper considers nonparametric estimation of autoregressive panel data models with fixed effects. A within-group type series estimator is developed and its convergence rate and asymptotic normality are derived. It is found that the series estimator is asymptotically biased and the bias could reduce the mean-square convergence rate compared with the cross-section cases. A bias corrected nonparametric estimator is developed.

密度加权平均导数的 Bootstrap 推断AI 解读

We investigate the properties of several bootstrap-based inference procedures for semiparametric density-weighted average derivatives. The key innovation in this paper is to employ an alternative asymptotic framework to assess the properties of these inference procedures. This theoretical approach is conceptually distinct from the traditional approach (based on asymptotic linearity of the estimator and Edgeworth expansions), and leads to different theoretical prescriptions…

非加性经验风险下 Gibbs 后验的一般不等式AI 解读

The Gibbs posterior is a useful tool for risk minimization, which adopts a Bayesian framework and can incorporate convenient computational algorithms such as Markov chain Monte Carlo. We derive risk bounds for the Gibbs posterior using some general nonasymptotic inequalities, which can be used to derive nearly optimal convergence rates and select models to optimally balance the approximation errors and the stochastic errors. These inequalities are formulated in a very…

广义函数空间中的测量误差与反卷积AI 解读

This paper considers convolution equations that arise from problems such as measurement error and nonparametric regression with errors in variables with independence conditions. The equations are examined in spaces of generalized functions to account for possible singularities; this makes it possible to consider densities for arbitrary and not only absolutely continuous distributions, and to operate with Fourier transforms for polynomially growing regression functions.…

退化 ARCH 模型参数推断的一族对比准则AI 解读

In this paper, we introduce a family of contrasts for parametric inference in ARCH models the volatility of which exhibits some degeneracy. We focus specifically on ARCH processes with a linear volatility (called LARCH processes), for which the Gaussian quasi-likelihood estimator may be inconsistent. Our approach generalizes that of Beran and Schützner (2009) and gives an interesting alternative to the WLSE used by Francq and Zakoïan (2010) for an autoregressive process with…

非平稳数据下非参数估计量的一致收敛AI 解读

Sharp upper and lower uniform bounds are established for a general class of functionals of integrated and fractionally integrated time series. The main result is used to develop optimal uniform convergence for the Nadaraya-Watson estimator and the local linear nonparametric estimator in a nonlinear cointegrating regression model. Unlike the point-wise situation, it is shown that the performance of the local linear nonparametric estimator is superior to that of the…

基于 Copula 的时间不可逆 Markov 模型AI 解读

Economic and financial time series frequently exhibit time irreversible dynamics. For instance, there is considerable evidence of asymmetric fluctuations in many macroeconomic and financial variables, and certain game theoretic models of price determination predict asymmetric cycles in price series. In this paper, we make two primary contributions to the econometric literature on time reversibility. First, we propose a new test of time reversibility, applicable to stationary…

含共同因子的大型动态面板模型的估计效率AI 解读

This paper deals with asymptotically efficient estimation in exchangeable nonlinear dynamic panel models with common unobservable factors. These models are relevant for applications to large portfolios of credits, corporate bonds, or life insurance contracts. For instance, the Asymptotic Risk Factor (ARF) model is recommended in the current regulation in Finance (Basel II and Basel III) and Insurance (Solvency II) for risk prediction and computation of the required capital.…