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误设下的合并估计：Kmenta 与误差分量方法的蒙特卡洛证据AI 解读

Two different methods for pooling time series of cross section data are used by economists. The first method, described by Kmenta, is based on the idea that pooled time series of cross sections are plagued with both heteroskedasticity and serial correlation.The second method, made popular by Balestra and Nerlove, is based on the error components procedure where the disturbance term is decomposed into a cross-section effect, a time-period effect, and a remainder.Although…

混合存量与流量数据下含外生变量的高阶连续时间动态模型估计AI 解读

This article extends recent work on the Gaussian or quasi-maximum likelihood estimation of the parameters of a closed higher-order continuous time dynamic model by introducing exogenous variables into the model The method presented yields exact maximum likelihood estimates when the innovations are Gaussian and the exogenous variables are polynomials in time of degree not exceeding two, and it can be expected to yield very good estimates under more general conditions. It is…

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矩阵变量不变多项式及其在计量分布理论中的应用综述AI 解读

Invariant polynomials with matrix arguments have been defined by the theory of group representations, generalizing the zonal polynomials. They have developed as a useful tool to evaluate certain integrals arising in multivariate distribution theory, which were expanded as power series in terms of the invariant polynomials. Some interest in the polynomials has been shown by people working in the field of econometric theory. In this paper, we shall survey the properties of the…

非正态扰动模型中 Stein 规则估计量的分布AI 解读

This paper derives the exact distribution and moments of the Stein-ruleestimator in a model where the disturbances follow a non-normal distribution of the Edgeworth or Gram-Charlier type. The results are achieved by combining the approach of Davis [4] for examining non-normality with the fractional calculus techniques of Phillips [11].

回归分位数及相关经验过程的强一致性AI 解读

The strong consistency of regression quantile statistics (Koenker and Bassett [4]) in linear models with iid errors is established. Mild regularity conditions on the regression design sequence and the error distribution are required. Strong consistency of the associated empirical quantile process (introduced in Bassett and Koenker [1]) is also established under analogous conditions. However, for the proposed estimate of the conditional distribution function of Y, no…

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异方差下两个线性回归模型系数相等的界限检验AI 解读

This article proposes a small sample bounds test for equality between sets of coefficients in two linear regressions with unequal disturbance variances. The probability that our test is inconclusive is given under the null hypothesis. It is also shown that our test is more powerful than the Jayatissa test when the regression coefficients differ substantially.

对称性、0–1 矩阵与雅可比矩阵：综述AI 解读

In this paper we bring together those properties of the Kronecker product, the vec operator, and 0-1 matrices which in our view are of interest to researchers and students in econometrics and statistics. The treatment of Kronecker products and the vec operator is fairly exhaustive; the treatment of 0–1 matrices is selective. In particular we study the “commutation” matrix K (defined implicitly by K vec A = vec A′ for any matrix A of the appropriate order), the idempotent…

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对 Singh 与 Ullah 论文的评论AI 解读

It is shown that the words ‘far weaker’ used four times by Singh and Ullafa [4] in describing their mixing condition in relation to ones of Robinson [1] for establishing the central limit theorem for nonparametric estimators, should in each case be replaced by theword ‘stronger,’ Singh and Ullah's [4] condition being equivalent to complete independence across time.

相依回归量下的稳健回归估计：函数型最小二乘方法AI 解读

In the case of regression models, one robust estimation procedure which has recently emerged is that of functional least squares. The procedure is based on the use of characteristic functions for which the tail behavior is relected by the behavior of these functions at the origin. Its attraction is that it is applicable to situations where the distribution of the disturbances may be long-tailed and/or asymmetric. This paper extends this theory to include a large class of…

ARCH 模型的渐近理论：估计与检验AI 解读

In the context of a linear dynamic model with moving average errors, we consider a heteroscedastic model which represents an extension of the ARCH model introduced by Engle [4]. We discuss the properties of maximum likelihood and least squares estimates of the parameters of both the regression and ARCH equations, and also the properties of various tests of the model that are available. We do not assume that the errors are normally distributed.

非正态误差与 OLS、2SLS 结构方程估计量的分布AI 解读

This paper examines the sensitivity of the distributions of OLS and 2SLS estimators to the assumption of normality of disturbances in a structural equation with two included endogenous variables. The approach taken is that ofimposing Edgeworth distributed errors on the reduced form equations and deriving the pdf of the estimators via the technique of Davis [11]. The sensitivity of the pdf s to changes in the non-normality parameters, i.e., skewness and kurtosis i s examined…

SUR 模型中两阶段单方程估计量的有限样本性质AI 解读

Exact expressions are derived for the density function, variance, and kurtosis of a linear combination of the elements of a two-stage estimator for the coefficients in a single equation of a SUR system. The estimator is the first iterate in the iterative generalized least squares procedure described by Telser [14]. Our results generalize all previously known results for this estimator and, in certain special cases, also generalize some earlier exact results for Zellner's…