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使用条件变量或因果变量的预测后果AI 解读

Forecasts based on two information sets, one of which includes the other plus additional causal variables are considered. Given a general cost function of forecast errors, it is shown that the expected cost is smaller for the information set that includes the causal variables.

弱误差假设下含单整或动态回归量的最小二乘回归AI 解读

This paper establishes consistency of least squares estimators in (i) a multiple regression model with integrated regressors and explosive, non-mixing errors, and (ii) a dynamic linear regression model with regressors and errors that may have infinite variances. In the former context, the asymptotic distribution of the least squares estimator also is obtained, in certain cases.

全局与部分非嵌套假设及渐近局部功效AI 解读

This paper addresses two related issues in the literature of non-nested hypotheses testing. Firstly, by means of a measure of “closeness” of probability density functions, it shows how any two hypotheses can be placed into the nested and the non-nested categories with the latter category being subdivided further into “globally” and “partially” non-nested hypotheses. Secondly, by emphasizing the distinction between a “local null” and a “local alternative,” the paper shows…

若干计量检验问题的相似区域类别及其功效性质AI 解读

In an hypothesis testing problem involving nuisance parameters for which boundedly complete sufficient statistics exist under the null hypothesis, the class of all similar regions for the problem is characterized by the conditional distribution of the data given these sufficient statistics. If there exists a one-to-one transformation y → ( t, u ) of the data, y , to the sufficient statistic, t , and a second vector of statistics, u , that is independent of t under the null…

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混合存量与流量观测下一阶线性连续时间系统的精确离散对应模型AI 解读

This article deals with the derivation of the exact discrete model that corresponds to a closed linear first-order continuous-time system with mixed stock and flow data. This exact discrete model is (under appropriate additional conditions) a stationary autoregressive moving average time series model and may allow one to obtain asymptotically efficient estimators of the parameters describing the continuous-time system.

非平稳向量自回归中的渐近展开AI 解读

This paper studies the statistical properties of vector autoregressions (VAR's) for quite general multiple time series which are integrated processes of order one. Functional central limit theorems are given for multivariate partial sums of weakly dependent innovations and these are applied to yield first-order asymptotics in nonstationary VAR's. Characteristic and cumulant functionals for generalized random processes are introduced as a means of developing a refinement of…

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含滞后因变量模型中 Durbin–Watson 统计量原假设分布的近似AI 解读

We consider testing for autoregressive disturbances in the linear regression model with a lagged dependent variable. An approximation to the null distribution of the Durbin—Watson statistic is developed using small-disturbance asymptotics, and is used to obtain test critical values. We also obtain nonsimilar critical values for the Durbin—Watson and Durbin's h and t tests. Monte Carlo results are reported comparing the performances of the tests under the null and alternative…

基于正态但相依观测的最大似然估计量的渐近正态性AI 解读

In this article we aim to establish intuitively appealing and verifiable conditions for the first-order efficiency and asymptotic normality of ML estimators in a multi-parameter framework, assuming joint normality but neither the independence nor the identical distribution of the observations. We present five theorems (and a large number of lemmas and propositions), each being a special case of its predecessor.

合并横截面重复序列中的时间序列分析AI 解读

This article proposes the use of spectral methods to pool cross-sectional replications ( N ) of time series data ( T ) for time series analysis. Spectral representations readily suggest a weighting scheme to pool the data. The asymptotically desirable properties of the resulting estimators seem to translate satisfactorily into samples as small as T = 25 with N = 5. Simulation results, Monte Carlo results, and an empirical example help confirm this finding. The article…

估计方程所得估计量的一致性与不一致性AI 解读

The primary concern is to establish a fairly general framework in which estimators resulting from estimating equations g nθ = 0 are not consistent. This leads on to consistency by an intuitive route. Asymptotic distributions of consistent estimators are also touched upon, and the results are applied to various examples.

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