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重读哈维尔莫：计量经济建模的回顾性考察AI 解读

The main aim of the paper is to reevaluate the methodological contributions of Tinbergen and Haavelmo in the context of the current discussions on econometric modeling and propose a reformulation of the Haavelmo methodology. The paper argues that the textbook methodology constitutes a less flexible version of Tinbergen's approach and apart from the probabilistic language, it has little in common with the methodology in Haavelmo's 1944 monograph, commonly acknowledged as…

利用辅助回归检验估计量的一致性AI 解读

We consider several issues related to Durbin-Wu-Hausman tests; that is, tests based on the comparison of two sets of parameter estimates. We first review a number of results about these tests in linear regression models, discuss what determines their power, and propose a simple way to improve power in certain cases. We then show how in a general nonlinear setting they may be computed as “score” tests by means of slightly modified versions of any artificial linear regression…

具有无限方差的一阶自回归过程AI 解读

For a first-order autoregressive process Y t = β Y t−1 + ∈ t where the ∈ t 'S are i.i.d. and belong to the domain of attraction of a stable law, the strong consistency of the ordinary least-squares estimator b n of β is obtained for β = 1, and the limiting distribution of b n is established as a functional of a Lévy process. Generalizations to seasonal difference models are also considered. These results are useful in testing for the presence of unit roots when the ∈ t 'S…

不可逆移动平均模型中极大似然与非线性最小二乘估计的渐近性质AI 解读

Dealing with noninvertible, infinite-order moving average (MA) models, we study the asymptotic properties of an estimator of the noninvertible coefficient. The estimator is constructed acting as if the data were generated from a Gaussian MA process. Allowing for two cases on the initial values of the error process, we first discuss the condition for the existence of a consistent estimator. We then compute the probability of the estimator occurring at the boundary of the…

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动态非线性模型预测量的大样本性质AI 解读

The large-sample behavior of one-period-ahead and multiperiod-ahead predictors for a dynamic nonlinear simultaneous system is examined in this paper. Conditional on final values of the endogenous variables, the asymptotic moments of the deterministic, closed-form, Monte Carlo stochastic, and several variations of the residual-based stochastic predictor are analyzed. For one-period-ahead prediction, the results closely parallel our previous findings for static nonlinear…

辅助性与联立方程中单个结构方程的有限信息最大似然估计AI 解读

The concepts of the curved exponential family of distributions and ancillarity are applied to estimation problems of a single structural equation in a simultaneous equation model, and the effect of conditioning on ancillary statistics on the limited information maximum-likelihood (LIML) estimator is investigated. The asymptotic conditional covariance matrix of the LIML estimator conditioned on the second-order asymptotic maximal ancillary statistic is shown to be efficiently…

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通过第二类不等式证明一致性：Wu 定理的推广AI 解读

Wu introduced a new technique for proving consistency of least-squares estimators in nonlinear regression. This paper extends his results in three directions. First, we consider the minimization of arbitrary functions (M-estimators instead of least squares). Second, we use an improved type 2 inequality. Third, an extension of Kronecker's lemma yields a more powerful result.

时间序列数据中的单位根检验AI 解读

Let Y t satisfy the stochastic difference equation for t = 1,2,…, where e t are independent and identically distributed random variables with mean zero and variance σ 2 and the initial conditions ( Y −p+1 ,…, Y 0 ) are fixed constants. It is assumed that the process is invertible and that the true, but unknown, roots m 1 , m 2 ,…, m p of satisfy the hypothesis H d : m 1 = … = m d = 1 and | m j | < 1 for j = d + 1,…, p . We present a reparameterization of the model for Y t…