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共同根检验
In this paper, the authors propose a simple procedure for testing the existence of common roots in lag polynomials. They first show, by using a generalized Bezout property, that this hypothesis can be put under a "mixed" form that is linear with respect to the auxiliary parameters and with respect to the initial parameters. It follows that the test procedures can be implemented only by using regressions packages. Copyright 1989 by The Econometric Society.
计量经济模型的卡方诊断检验：理论
This paper extends the Pearson chi-square testing method to nondynam ic parametric econometric models, in particular, to models with covar iates. The paper establishes the asymptotic distribution of the test statistic when the test statistic is based on data-dependent random cells of a general form and on an arbitrary asymptotically normal estimator. These results a re attained by extending recent probabilistic results for the weak convergence of empirical processes indexed…
回归变量具有单位根时的渐近正态性
Under fairly general conditions, ordinary least squares and linear instrumental variables estimators are asymptotically normal when a regression equation has nonstationary right hand side variables. Standard formulas may be used to calculate a consistent estimate of the asymptotic variance-covariance matrix of the estimated parameter vector, even if the disturbances are conditionally heteroskedastic and autocorrelated. So inference may proceed in the usual way. The key…
利用面板数据估计向量自回归模型
This paper considers estimation and testing of vector autoregressio n coefficients in panel data, and applies the techniques to analyze the dynamic relationships between wages an d hours worked in two samples of American males. The model allows for nonstationary individual effects and is estimated by applying instrumental variables to the quasi-differenced autoregressive equations. The empirical results suggest the absence of lagged hours in the wage forecasting equation.…
动态模型中的结构变化检验
The well-known CUSUM test for structural change is investigated whe n there are lagged dependent variables among the regressors in a linear model. The authors show that both a modified CUSUM test, suggested b y J. M. Dufour (1982), and the straightforward CUSUM test retain their asymptotic significance levels in dynamic models, and find that the power depends crucially on the angle between the mean regressor and the structural shift. Copyright 1988 by The Econometric Society.
时间序列分析中的趋势与随机游走
This paper studies the effects of spurious detrending in regression. The asymptotic behavior of traditional least squares estimators and tests are examined in the context of models where the generating mechanism is systematically misspecified by the presence of deterministic time trends. Most previous work on the subject has relied upon Monte Carlo studies to understand the issues involved in detrending data that is generated by integrated processes and our analytical…
生产中技术效率与配置效率的非参数分析
In this paper we extend Varian's (1984) nonparametric production analysis to situations when the set of observed output, input, and price data is not consistent with profit maximization for at least one firm. In such cases, Varian's results imply that no production possibility set containing all observations can rationalize the observed data. We identify each firm whose performance, given the prices faced by it, may be found consistent with profit maximization relative to…
非线性约束 Wald 检验的表述形式
This paper utilizes asymptotic expansions to investigate alternative forms of the Ward set of nonlinear restrictions. Some formulae for the asymptotic expansion of the distribution of the Wald statistic are provided for a general case. When specialized to the simple cases that have been studied recently in the literature, these formulae are found to explain rather well the discrepancies in sampling behavior that have been observed by other authors. It is further shown how…
近整合时间序列的回归理论
On introduit le concept de processus aleatoire vectoriel presque integre. Ce type de processus aide a travailler vers une theorie asymptotique generale de la regression pour des series temporelles multiples
若干回归系数稳健检验的近似功效函数
Edgeworth approximations are developed for the distribution functio ns of some statistics for testing a linear hypothesis on the coefficient s in a regression model with an unknown error covariance matrix. Adjust ments to the asymptotic critical values are found to insure that the tests have correct size to second order of approximation. The power loss due to the estimation of the error covariance matrix is calculated. Some examples involving heteroskedasticity and…
实验性现货资产市场中的泡沫、崩盘与内生预期
Spot asset trading is studied where the only external source of value is an independent draw from a common information dividend distribution at the end of each of fifteen trading periods. Fourteen of twenty-two experiments exhibit price bubbles. This tendency to bubble decreases with trader experience. The regression of changes in mean price on lagged excess bids (bids minus offers in the previous period) supports the hypothesis that the intercept is minus the one-period…
误差成分模型的最优实验设计
Social experiments are characterized by their high cost. A tempting alternative to the establishment of a contemporaneous statistical control group is preexempt observat ion of the treatment group. In this paper, the authors analyze the tr ade-off between these two types of "con-trol" as functions of their relative cost and information content in a multiperiod error compone nts framework, where the allocation of observations across the two gr oups is always done in an…
1959—1985年通胀测度中的替代偏误分析
The authors analyze the substitution bias in Laspeyres-type price indexes, using 101 c ommodities. They construct the tightest theoretical bounds on the cos t-of-living index using nonparametric methods and also construct supe rlative price indexes. Using nonparametric methods, the authors find homothetic preferences are consistent with the data. Sensitivity test s indicate that this result is not vacuous. Under this hypothesis, th e bias is between 0.22 and 0.14 percent per…
根号 N 一致的半参数回归
One type of semiparametric regression is b8X A u(Z), where b and u(Z) are an unknown slope coefficient vector and function. Estimates of b based on incorrect parametrization of u are generally inconsist ent, whereas consistent nonparametric estimates converge slowly. An e stimate, bC, is constructed by inserting nonpar-ametric regression es timates in the nonlinear orthogonal projection on Z. Under regularity conditions bC is shown to be N1/2-consistent for b and…
补贴培训项目对就业进入与退出的影响测量
The authors estimate the effect of training on the probability of em ployment for participants in the 1976 Comprehensive Employment and Tr aining Act program. Their analysis uses Social Security earnings data from 1970 to 1979 for trainees and a comparison group. In addition t o simple pre- versus post-training comparisons of employment probabil ities for trainees and controls, the authors present logistic regress ion models with fixed and random effects for individual…
全信息最大似然协方差矩阵的替代估计量：蒙特卡洛研究
On cherche a exposer aux utilisateurs des techniques d'estimation par le maximum de vraisemblance a information complete. Pourquoi le choix de l'estimateur de la matrice de covariance des coefficients n'est pas aussi neutre qu'on peut l'esperer
计量统计量之间的随机差异
In a somewhat general context, the author calculate s the order in probability of the difference between consistent roots of rival estimating equations, with application to point estimates i n parametric and nonparametric models, interval estimates, and test s tatistics. Differences in the statistical performances of various com monly-used iterative procedures are detected. He discusses implicatio ns of his results for higher-order efficiency comparisons and for mat ching…
离散时间线性二次动态优化模型估计的解析导数
ESTIMATION OF PARAMETERS in discrete-time, linear-quadratic, infinite-horizon, dynamic, optimization models (Hansen and Sargent, 1980, 1981) is a nonlinear estimation problem. An impediment to effectively computing parameter estimates and their covariances in these models with gradient algorithms (Kennedy and Gentle, 1980, pp. 425-512) has been the absence of expressions for computing analytic VoP, the gradient matrix of first-partial derivatives of the optimal policy matrix…
非参数与参数模型的识别条件
On presente une definition formelle de l'identification dans un contexte non parametrique sur la base des travaux de Koopmans et Reiersol (1950)
总量劳动供给与需求波动的计量分析
This paper contains an equilibrium model of the labor market. The supply function allows f or temporal substitution in response to wage fluctuations, and the de mand function allows for adjustment costs. Two related issues are emp hasized: identification of supply and demand functions, and sources o f serial correlation in employment and real wages. When the supply an d demand shocks are AR(1) processes, the equilibrium process for empl oyment and real wages is a restricted…
平稳一阶自回归模型中的Student t近似
The exact distribution of the regression t statistic for testing the value of the AR parameter in a Gaussian first ord er autoregressive model is investigated by Monte Carlo methods. The S tudent's t distribution is not a satisfactory approximation for sampl es typical in economic applications. The main problem is the location of the distribution of the t statistic rather than the shape. Once t he t statistic is adjusted so that it has the same mean and standard deviation as…
股利创新与股票价格波动
A standard efficient markets model states that a stock price equals the expected present discounted valu e of its dividends, with a constant discount rate. This is shown to i mply that the variance of the innovation in the stock price is smalle r than that of a stock-price forecast made from a subset of the marke t's information set. The implication follows even if prices and divid ends require differencing to induce stationarity. The relation betwee n the variances appears…