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使用预定但非严格外生工具变量的时间序列模型近有效估计AI 解读

Particularly under the assumption of rational expectations, a model may have serially correlated errors and those errors may be uncorrelated with contemporaneous and lagged values of a predetermined instrument, yet the instruments may not be strictly exogenous. This paper proposes a method for transforming such a model to one without serial correlation, while keeping the instrument predetermined. Standard theory of instrumental variables estimation then applies. Furthermore,…

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外生儿童死亡率对生育的影响：含动态回归变量的等待时间回归AI 解读

In this paper [the authors] develop and implement an econometric methodology estimating a family-specific exogenous component of life-expectancy in order to determine the responsiveness of fertility to exogenous changes in child mortality. [They] use a generalized waiting time regression model applied to length of life which is viewed as the output of a production process. [They] allow for family-specific heterogeneity in duration of life and for time-varying explanatory…

经济增长的均衡轨迹AI 解读

THIS PAPER BELONGS to that part of economic dynamics of which the consumption turnpike theorems are typical results. However, rather than the usual formulation of the problem as a mathematical programming problem, we study it in the framework of dynamic equilibrium models which were first studied in [9]. In [9] we considered finite equilibrium trajectories for which the technology as well as demand functions were assumed constant in time. Here a more general model will be…

库存与价格不灵活性AI 解读

A firm maximizing expected discounted profits, taking account of the actions of its competitors, choosing price and output before (stochastic) demand is known, and holding inventories or unfilled orders to accommodate discrepancies between output and demand, is shown to respond to a change in demand by changing its output whether the demand change is transitory or permanent, but by changing the price it charges only if the demand change is permanent. This proposition is…

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从实际选择中恢复风险偏好AI 解读

SINCE ITS INTRODUCTION, the expected utility hypothesis has been widely used in the construction of economic models. More recently, attention has focused on the conditions under which it is possible in principle to recover individual investors' risk preferences from their demand for assets (Dybvig and Polemarchakis [2]). This paper represents a first attempt to recover preferences operationally from data on the actual demand for assets. Numerous difficulties are encountered…

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二元选择模型的分布无关极大似然估计量AI 解读

is a given function of the exogenous variables z and unknown parameters 9, representing the systematic component of the utility difference, and F is the distribution function of the random component of the utility difference. This paper describes a method of estimating the parameters 9 without assuming any functional form for the distribution function F, and proves that this estimator is consistent. F is also consistently estimated. The method uses maximum likelihood…

错设模型的极大似然估计AI 解读

This paper examines the consequences and detection of model misspecification when using maximum likelihood techniques for estimation and inference. The quasi-maximum likelihood estimator (QMLE) converges to a well defined limit, and may or may not be consistent for particular parameters of interest. Standard tests (Wald, Lagrange Multiplier, or Likelihood Ratio) are invalid in the presence of misspecification, but more general statistics are given which allow inferences to…

最小参数子集维数的一致估计AI 解读

For a general paramnetric model we consider the problem of consistently estimating that permissible subset of the parameter space that contains the true parameter point and has smallest dimension. The subset selection is done by means of a model selection criterion of

含选择性问题的广义计量经济模型AI 解读

During the recent years, there is substantial interest in the econometric models with qualitative and censored dependent variables. The important contributions on these topics by Amemiya [1973J, McFadden [1973J and Heckman [1974J among others stimulate the recent

有理谱密度模型中混叠问题的维度AI 解读

This paper reconsiders the aliasing problem of identifying the parameters of a continuous time stochastic process from discrete time data. It analyzes the extent to which restricting attention to processes with rational spectral density matrices reduces the number of observationally equivalent models. It focuses on rational specifications of spectral density matrices since rational parameterizations are commonly employed in the analysis of the time series data.

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检验非线性隐式约束与过度识别约束的广义 Wald 方法AI 解读

The Wald approach to testing direct explicit restrictions on a parameter vector is generalized to the case of nonlinear implicit constraints. When applied to subsystems of simultaneous equations models, the generalization enables the symmetric joint testing of nonlinear overidentifying structural restrictions under very wide conditions. By varying the choices of certain matrices used to construct the generalized Wald statistic, one produces a whole class of tests which have…

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多项离散选择模型中分布错设下极大似然估计一致性的充分条件AI 解读

Paul A. Ruud, Sufficient Conditions for the Consistency of Maximum Likelihood Estimation Despite Misspecification of Distribution in Multinomial Discrete Choice Models, Econometrica, Vol. 51, No. 1 (Jan., 1983), pp. 225-228

仅在变量上非线性的方程系统的识别问题AI 解读

This paper examines the identifiability of the coefficients of a single equation in a simultaneous equation model which is nonlinear only in the variables. The concept of identifiability in this model is motivated and developed using the closely related concept of observational equivalence. This framework is then utilized to develop necessary and sufficient conditions for identifiability when the disturbances are required to be independent of the exogenous variables. The…

检验最小二乘回归残差是否由高斯随机游走生成AI 解读

This paper considers the null hypothesis that the errors on a regression equation form a random walk. By using the standard Durbin-Watson assumptions, we derive three test statistics that are uniformly most powerful against the alternative hypothesis that the errors are being generated by the stationary first order Markoff process. Unfortunately, the tabulated lower and upper bounds are too wide apart and so we compare the powers of the three tests using simulated as well as…

高阶连续时间动态模型结构参数的高斯估计AI 解读

This paper is concerned with the efficient estimation of structural parameters in closed linear systems of higher order stochastic differential equations when the data are in discrete form and the model generally includes both stock and flow variables. A general existence and uniqueness theorem for the solution of such a system is proved and used in the rigorous derivation of exact discrete models satisfied by the various types of data. It is shown how these models can be…

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