日期精度：到日 53 篇 · 到月 2090 篇 · 到年 0 篇
基于最小二乘的非参数回归检验
This paper proposes tests on semiparametric models based on the sum of squared residuals from a least-squares procedure. Smoothness conditions are imposed on the nonparametric portion of the model to obtain asymptotic normality of the sum of squared residuals. The approach yields tests of specification, significance, smoothness and concavity and allows for heteroskedastic residuals.
针对非参数备择的函数形式检验
A test for neglected nonlinearities in regression models is proposed. The test is of the Davidson-MacKinnon type against an increasingly rich set of non-nested alternatives, and is based on sieve estimation of the alternative model. For the case of a linear parametric model, the test statistic is shown to be asymptotically standard normal under the null, while rejecting with probability going to one if the linear model is misspecified. A small simulation study suggests that…
工具变量依赖参数时的半参数 IV 估计
A well-known result in the method of moments literature is that the efficient instruments for the estimation of a model are functions of the conditional expectation of its gradient. Some recent studies have suggested the nonparametric estimation of these instruments when they are of unknown functional form. When these instruments in turn depend on the unknown parameters it has been suggested that these be replaced by preliminary consistent estimates. It is shown here that…
考尔斯委员会、布鲁金斯项目与计量服务业：成就与新方向的个人观点
This paper presents an overview of the Cowles Commission effort in the area of econometric theory and a critical review of the Brookings Project, but flaws are noted in both efforts. The Brookings part reflects a view of the project as seen by one of the younger members of the coordinating team; it is a view shared to some extent by other members. The paper deals with the research work stimulated by both projects and contains a brief but frank discussion of the emergence of…
删失回归的缩尾均值估计量
We introduce a semiparametric estimator for the censored linear regression model. It is based on the regression version of Huber's [6] M-estimator. It includes Powell's [19] censored least absolute deviations estimator as a special case and is related to Powell's [20] symmetrically censored least-squares estimator. We prove strong consistency and derive its asymptotic distribution which is √n-consistent with an easily computable covariance matrix. A small-scale simulation…
经济学中一类线性过程模型的经验分布渐近性质
Let … be a moving average process of infinite order where the innovations ε( k ) are in the domain of attraction of a stable law with index α ε (0, 2) and the parameter sequence decreases at a polynomial or exponential rate. These and similar processes have recently received increased attention both in the econometrics and statistics/probability literature. The present paper studies almost sure uniform rates of convergence of the empirical distribution function. Applications…
随机展开与渐近近似
Under general conditions the distribution function of the first few terms in a stochastic expansion of an econometric estimator or test statistic provides an asymptotic approximation to the distribution function of the original estimator or test statistic with an error of order less than that of the limiting normal or chi-square approximation. This can be used to establish the validity of several refined asymptotic methods, including the comparison of Nagar-type moments and…
混合过程的全局非平稳近历元相依函数的中心极限定理
A central limit theorem is proved for dependent stochastic processes. Global heterogeneity of the distribution of the terms is permitted, including asymptotically unbounded moments. The approach is to adapt a CLT for martingale differences due to McLeish and show that suitably defined Bernstein blocks satisfy the required conditions.