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一般线性与 SUR 模型中自助法和常规标准误的偏差AI 解读

When estimating the seemingly unrelated regression (SUR) model in small samples, the bootstrap feasible generalized least-squares (FGLS) covariance estimator has been widely advocated as less biased than the conventional FGLS covariance estimator obtained by evaluating the asymptotic covariance matrix. Assuming multivariate normal errors and an unbiased estimator of the error covariance, Eaton proves that the conventional estimator is biased downward for a general SUR model.…

通用一致收敛AI 解读

This paper presents several generic uniform convergence results that include generic uniform laws of large numbers. These results provide conditions under which pointwise convergence almost surely or in probability can be strengthened to uniform convergence. The results are useful for establishing asymptotic properties of estimators and test statistics. The results given here have the following attributes, (1) they extendresults of Newey to cover convergence almost surely as…

改进的 Berry–Esseen–Chebyshev 界及统计应用AI 解读

A Sharpening Of Nonuniform bounds of the Berry-Esseen type initially obtained by Esseen and later generalized by Kolodjažnyĭ–who also proved that they are, in some sense, optimal–is proposed. Further, the corresponding inequalities are shown to provide uniformly improved Chebyshev bounds for the tail probabilities of the distribution functions to be approximated. In contrast with most results on Berry–Esseen bounds, which emphasize rates of convergence to normality, the…

多元非线性回归中的半参数广义最小二乘AI 解读

Asymptotically efficient estimates for the multiple equations nonlinear regression model are obtained in the presence of heteroskedasticity of unknown form. The proposed estimator is a generalized least squares based on nonparametric nearest neighbor estimates of the conditional variance matrices. Some Monte Carlo experiments are reported.

二阶单整向量自回归过程的表示AI 解读

We investigate vector autoregressive processes and find the condition under which the processes are I (2). A representation theorem forsuch processes is proved and the interpretation of the AR model as an error correction model is discussed.

未知异方差形式下时间序列回归模型的自适应估计AI 解读

In a multiple time series regression model the residuals are heteroskedastic and serially correlated of unknown form. GLS estimates of the regression coefficients using kernel regression and spectral methods are shown to be adaptive, in the sense of having the same asymptotic distribution, to the first order, as GLS estimates based on knowledge of the actual heteroskedasticity and serial correlation. A Monte Carlo experiment about the performance of our estimator is…

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收入效应矩阵正定性的 Bootstrap 检验AI 解读

Positive definiteness of income effect matrices provides a sufficient condition for the law of demand to hold. Given cross section household expenditure data, empirical evidence for the law of demand can be obtained by estimating such matrices. Härdle, Hildenbrand, and Jerison used the bootstrap method to simulate the distribution of the smallest eigenvalue of random matrices and to test their positive definiteness. Here, theoretical aspects of this bootstrap test of…

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