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含外生变量的 AR(1) 模型中 t 与 F 统计量的有限样本分布AI 解读

The distributions of the test statistics are investigated in the context of an AR(1) model where the root is unity or near unity and where the exogenous process is a stable process, a random walk or a time trend. The finite sample distributions are estimated by Monte Carlo methods assuming normal disturbances. The sensitivity of the distributions to both the values of the parameters of the AR(1) model and the process generating the exogenous time series is examined. The…

含滞后因变量回归中的估计偏差AI 解读

We give an expression to order O( T -1 ), where T is the sample size, for bias to the estimated coefficient on a lagged dependent variable when all other regressors are exogenous. The general expression is a nonlinear function of the coefficient on the lagged dependent variable, the autoregressive structure of the exogenous variables, and the coefficients on the exogenous variables. The maximum bias that can arise is a linear function of the number of exogenous regressors in…

自回归模型中若干预测量的有限样本性质AI 解读

We compare the distributional properties of the four predictors commonly used in practice. They are based on the maximum likelihood, two types of the least squared, and the Yule-Walker estimators. The asymptotic expansions of the distribution, bias, and mean-squared error for the four predictors are derived up to O ( T −1 ), where T is the sample size. Examining the formulas of the asymptotic expansions, we find that except for the Yule-Walker type predictor, the other three…

广义 Wald 检验的渐近结果AI 解读

This paper presents conditions under which a quadratic form based on a g- inverted weighting matrix converges to a chi-square distribution as the sample size goes to infinity. Subject to fairly weak underlying conditions, a necessary and sufficient condition is given for this result. The result is of interest because it is needed to establish asymptotic significance levels and local power properties of generalized Wald tests (i.e., Wald tests with singular limiting…

一类非参数统计量的渐近正态性AI 解读

Asymptotic normality is established for a class of statistics which includes as special cases weighted sum of independent and identically distributed (i.i.d.) random variables, unsigned linear rank statistics, signed rank statistics, linear combination of functions of order statistics, and linear function of concomitants of order statistics. The results obtained unify as well as extend a number of known results.

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线性回归误差方差的预检验估计AI 解读

We derive exact finite-sample expressions for the biases and risks of several common pretest estimators of the scale parameter in the linear regression model. These estimators are associated with least squares, maximum likelihood and minimum mean squared error component estimators. Of these three criteria, the last is found to be superior (in terms of risk under quadratic loss) when pretesting in typical situations.

LR、W 与 LM 检验统计量近似斜率的近似AI 解读

A Taylor series approach is used to derive approximations to the approximate slope of LR, W, and LM test statistics. These can be useful when the approximate slopes themselves are complicated. The results are applied to the test of linear coefficient restrictions in the linear model with a nonscalar covariance matrix. They can be used to find cases where the Wald test may badly over-reject in this model. The results shed some new light on the over-rejection that has been…

误差分量结构联立方程系统的全信息估计AI 解读

In this paper we develop full information methods for estimating the parameters of a system of simultaneous equations with error component structure and establish relationships between the various structural estimators.

含共同因子的聚合所产生的含义AI 解读

Many observed macrovariables are simple aggregates over a large number of microunits. It is pointed out that the generating process of the macrovariables is largely determined by the common factors in the generating mechanisms of the microvariables, even though these factors may be very unimportant at the microlevel. It follows that macrorelationships are simpler than the complete microrelationships, but that empirical investigations of microrelationships may not catch those…

最高阶不变多项式的构造方法AI 解读

The invariant polynomials (Davis [8] and Chikuse [2] with r ( r ≥ 2) symmetric matrix arguments have been defined, extending the zonal polynomials, and applied in multivariate distribution theory. The usefulness of the polynomials has attracted the attention of econometricians, and some recent papers have applied the methods to distribution theory in econometrics (e.g., Hillier [14] and Phillips [22]). The ‘top order’ invariant polynomials , in which each of the partitions…

1980—1985 年全球计量经济学研究活动排名AI 解读

We provide rankings of academic institutions according to the publication record of their faculty members in the specialization of econometrics. The rankings are based on standardized page counts of articles published by faculty members in 14 journals over the period 1980 to 1985. Separate rankings of the 200 leading institutions are provided for their theoretical contributions, as well as their contributions in theory and applied work. The rankings are compared with a…

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关于 Magdalinos 的 k 类工具变量估计量的一点说明AI 解读

In this paper we identify a restriction on the finite-sample application of Magdalinos's asymptotic expansions for the t statistic based on the k -class instrumental variable estimator.