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具有一般 MA(q) 扰动的误差成分模型估计AI 解读

This paper provides a simple estimation method for an error component regression model with general MA( q ) remainder disturbances. The estimation method utilizes the transformation derived by Baltagi and Li [3] for an error component model with autoregressive remainder disturbances, and a standard orthogonalizing algorithm for the general MA( q ) model. This estimation method is computationally simple utilizing only least-squares regressions. This is important for panel…

回归分析中非线性变换检验的功效AI 解读

This paper compares the local power of tests for a nonlinear transformation of the dependent variable in a regression model against the alternative hypothesis of a linear transformation. It is shown that the local power of the Cox test is higher than those of the extended projection test of MacKinnon, White, and Davidson, and Bera and McAleer's test. The theoretical result is supported by a Monte-Carlo experiment in testing for a regression model with a logarithmically…

基于核方法的参数密度拟合优度检验AI 解读

Let F denote a distribution function defined on the probability space (Ω, , P ), which is absolutely continuous with respect to the Lebesgue measure in R d with probability density function f . Let f 0 (·,β) be a parametric density function that depends on an unknown p × 1 vector β. In this paper, we consider tests of the goodness-of-fit of f 0 (·,β) for f (·) for some β based on (i) the integrated squared difference between a kernel estimate of f (·) and the quasimaximum…

异方差建模：Student t 与椭圆线性回归模型AI 解读

This paper proposes a new approach to modeling heteroskedastidty which enables the modeler to utilize information conveyed by data plots in making informed decisions on the form and structure of heteroskedasticity. It extends the well-known normal/linear/homoskedastic models to a family of non-normal/linear/heteroskedastic models. The non-normality is kept within the bounds of the elliptically symmetric family of multivariate distributions (and in particular the Student's t…

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广义半参数回归估计量分析中的 U 过程AI 解读

We prove -consistency and asymptotic normality of a generalized semiparametric regression estimator that includes as special cases Ichimura's semiparametric least-squares estimator for single index models, and the estimator of Klein and Spady for the binary choice regression model. Two function expansions reveal a type of U-process structure in the criterion function; then new U-process maximal inequalities are applied to establish the requisite stochastic equicontinuity…

奇异方程系统中的自回归误差AI 解读

We consider a system of m general linear models, where the system error vector has a singular covariance matrix owing to various “adding up” requirements and, in addition, the error vector obeys an autoregressive scheme. The paper reformulates the problem considered earlier by Berndt and Savin [8] (BS), as well as others before them; the solution, thus obtained, is far simpler, being the natural extension of a restricted least-squares-like procedure to a system of equations…

部分均值的核估计与一般方差估计量AI 解读

Econometric applications of kernel estimators are proliferating, suggesting the need for convenient variance estimates and conditions for asymptotic normality. This paper develops a general “delta-method” variance estimator for functionals of kernel estimators. Also, regularity conditions for asymptotic normality are given, along with a guide to verify them for particular estimators. The general results are applied to partial means, which are averages of kernel estimators…

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Haavelmo 的识别理论AI 解读

This paper treats the theory of identification presented in Haavelmo's classic work, The Probability Approach in Econometrics . This was the first identification theory for stochastic models to be developed in econometrics. The paper presents a detailed commentary on Haavelmo's analysis. It also examines the development of Haavelmo's theory from Frisch's analysis of multicollinearity and also the relationship between Haavelmo's analysis and later work on identification.

矩展开与最小距离估计的稳健性AI 解读

This paper explores the robustness of minimum distance (GMM) estimators focusing particularly on the effect of intermediate covariance matrix estimation on final estimator performance. Asymptotic expansions to order O p ( n −3/2 ) are employed to construct O ( n −2 ) expansions for the variance of estimators constructed from preliminary least-squares and general M -estimators. In the former case, there is a rather curious robustifying effect due to estimation of the…

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…

对称性、回归设计与抽样分布AI 解读

When values of regressors are symmetrically disposed, many M -estimators in a wide class of models have a reflection property, namely, that as the signs of the coefficients on regressors are reversed, their estimators' sampling distribution is reflected about the origin. When the coefficients are zero, sign reversal can have no effect. So in this case, the sampling distribution of regression coefficient estimators is symmetric about zero, the estimators are median unbiased…

以协整为原假设、无协整为备择的残差检验AI 解读

This paper proposes a residual-based test of the null of cointegration using a structural single equation model. It is shown that the limiting distribution of the test statistic for cointegration can be made free of nuisance parameters when the cointegrating relation is efficiently estimated. The limiting distributions are given in terms of a mixture of a Brownian bridge and vector Brownian motion. It is also shown that this test is consistent. Critical values are given for…

检验条件矩数量趋于无穷时卡方型检验的极限行为AI 解读

In this paper, a consistent model specification test is proposed. Some consistent model specification tests have been discussed in econometrics literature. Those tests are consistent by randomization, display a discontinuity in sample size, or have an asymptotic distribution that depends on the data-generating process and on the model, whereas our test does not have one of those disadvantages. Our test can be viewed upon as a conditional moment test as proposed by Newey but…

使用有限信息的渐近最优检验与外生性检验AI 解读

By appropriately partitioning the joint hypothesis of weak exogeneity and the maintained overidentifying restrictions in the linear dynamic simultaneous equations model and showing that the component subhypotheses are separable, asymptotically optimal tests for the weak exogeneity hypothesis may be constructed using limited information statistics. A necessary and sufficient condition for the separability of parametric hypotheses of the mixed implicit function and constraint…