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涵盖原则及其在非嵌套假设检验中的应用AI 解读

The encompassing principle is used to develop a testing framework which unifies the literature on non-nested testing, allowing analysis of the relationship between alternative tests and in particular enabling asymptotic and finite sample equivalences and identities to be established easily when they exist, as well as embracing nested hypothesis testing. The concept of the implicit null hypothesis of a test is introduced to show that the effective acceptance region for some…

关于线性模型中可行 GLS、准极大似然、稳健、自适应和谱估计量无偏性的札记AI 解读

Donald W. K. Andrews, A Note on the Unbiasedness of Feasible GLS, Quasi-Maximum Likelihood, Robust, Adaptive, and Spectral Estimators of the Linear Model, Econometrica, Vol. 54, No. 3 (May, 1986), pp. 687-698

联立方程 Tobit 模型的外生性检验及其劳动供给应用AI 解读

A test of weak exogeneity in the simultaneous equation Tobit model is proposed and illustrated using a female labour supply model estimated using cross-section data. The test statistic can be simply output from any standard Tobit maximum likelihood package, and is asymptotically efficient. The procedure provides consistent estimators for the simultaneous Tobit model whose asymptotic covariance matrix is a simple extension of the usual Tobit formula. We also provide the…

代理变量对回归系数影响的界限AI 解读

We consider a regression in which one of the observed variables is a proxy for some unobserved variable. Given a lower bound for the correlation between the proxy and the unobserved true variable for which it substitutes, we derive intervals in which the coefficients of the unobserved true regression must lie, regardless of any other correlations involving unobserved variables or disturbances. We present a simple solution for the important special case in which only the…

短面板数据的抽样设计AI 解读

On considere differents aspects de la conception et de l'analyse. On compare des facons alternatives d'observer des individus en temps discret via la matrice d'information de Fisher

马尔可夫假设下类别型面板数据的非因果性检验AI 解读

For many years, social scientists have been interested in obtaining testable definitions of causality (Granger 1969, Sims 1972). Recent works include those of Chamberlain (1982) and Florens and Mouchart (1982). The present paper first clarifies the results of these latter papers by considering a unifying definition of noncausality. Then, log-likelihood ratio (LR) tests for noncausality are derived for qualitative panel data under the minimal assumption that one series is…

连续时间下备选项选择的结构与简化式模型：保障就业计划中的青年就业AI 解读

Randall J. Olsen, D. Alton Smith, George Farkas, Structural and Reduced-Form Models of Choice among Alternatives in Continuous Time: Youth Employment under a Guaranteed Jobs Program, Econometrica, Vol. 54, No. 2 (Mar., 1986), pp. 375-394

投入产出模型的随机分析AI 解读

accuracy or precision of the results. Input-output analysis is no different. The results of input-output studies are almost always expressed as point estimates, and an assessment of the reliability of these estimates is left the reader. The stochastic analysis of errors is difficult undertake because of the lack of hard data of a probabilistic nature validate or refute empirically any conclusions drawn from such a study. This fact, combined with the complex…

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Edgeworth 展开有效性的一项定理AI 解读

On considere des equations autoregressives a variables exogenes et un terme de bruit blanc normal, ce qui generalise les modeles dynamiques etudies precedemment

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使用加权工具变量的联立方程模型稳健估计AI 解读

IN THIS PAPER we present a weighted-instrumental-variables estimator that is resistant2 to heavy-tailed errors, aberrant data in either the endogenous or exogenous variables, and certain other model failures. The estimator is analogous to the weighted-least-squares approach to robustness proposed by Krasker and Welsch [21] for ordinary regression. We will discuss the theory that motivated this estimator, derive some of its properties, describe our computational algorithm,…

关于选择偏差模型的一则札记AI 解读

On decrit une representation tabulaire simplifiee qui fait ressortir une hypothese structurale implicite importante dans des modeles de selection bases sur la censure

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非线性预算集的计量经济学AI 解读

This article surveys the development of nonparametric models and methods for estimation of choice models with nonlinear budget sets.The discussion focuses on the budget set regression, that is, the conditional expectation of a choice variable given the budget set.Utility maximization in a nonparametric model with general heterogeneity reduces the curse of dimensionality in this regression.Empirical results using this regression are different from maximum likelihood and give…

非线性约束的 Wald 检验构造AI 解读

On montre a partir de l'evidence de Monte Carlo que les differences dans la forme fonctionnelle des restrictions non lineaires sont importantes dans les petites tailles d'echantillons

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带学习的求职搜索时长与价值分布AI 解读

Expected value maximizing sequential search rules can be expressed in terms of reservation values. In search with learning the reservation value at any stage of the search is unknown until that stage is reached. Thus calculating ex ante (and subsequent) probabilities of search duration and the offer accepted is difficult if these probabilities are expressed in terms of reservation values. This paper shows, for a wide class of learning procedures, how re-expressing these…

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似不相关回归估计量的精确分布AI 解读

This paper derives the exact finite sample distribution of the two-stage generalized least squares (GLS) estimator in a multivariate linear model with general linear parameter restrictions. This includes the seemingly unrelated regression (SUR) model as a special case and generalizes presently known exact results for the latter system. The usual classical assumptions are made concerning nonrandom exogenous variables and normally distributed errors. The theoretical results of…

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税收抵扣对慈善捐赠水平影响的一致估计AI 解读

When charitable contributions are tax deductible, the marginal price of charitable giving in other consumption foregone per dollar of contributions is generally less than unity. Further, if the income tax schedule is a progressive step function, the marginal price of contributions is generally a rising step function of the level of contributions. The problem of estimating a contributions demand function for individuals is therefore complicated by the spurious correlation…

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