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美国生育率的联立方程分析：评论AI 解读

Comments on a study by Conger and Campbell which postulated a 6 equation dynamic model including a fertility equation, estimated by 2 stage least squares on the basis of aggregate data for the U.S. The authors present a table with 3 sets of estimates for each of the 6 structural equations specified in the earlier study; 2 stage least squares estimates obtained for 1946-70 and 1946-76 and the estimates obtained by Conger and Campbell are indicated. The authors report that…

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线性假设检验与 L1 估计AI 解读

statistics of a linear hypothesis in the standard linear model. These test statistics, which correspond to Wald, likelihood ratio, and Lagrange multiplier tests, are shown to have the same limiting chi-square behavior under mild regularity conditions on design and the distribution of errors. The asymptotic theory of the tests is derived for a large class of error distributions; thus in Huber's [10] terminology we investigate the behavior of the likelihood ratio test under…

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策略性信息传递AI 解读

This paper develops a model of strategic communication, in which a better-informed Sender (S) sends a possibly noisy signal to a Receiver (R), who then takes an action that determines the welfare of both. We characterize the set of Bayesian Nash equilibria under standard assumptions, and show that equilibrium signaling always takes a strikingly simple form, in which S partitions the support of the (scalar) variable that represents his private information and introduces noise…

指数的经济理论与投入、产出及生产率度量AI 解读

Douglas W. Caves, Laurits R. Christensen, W. Erwin Diewert, The Economic Theory of Index Numbers and the Measurement of Input, Output, and Productivity, Econometrica, Vol. 50, No. 6 (Nov., 1982), pp. 1393-1414

建设时滞与总量波动AI 解读

The equilibrium growth model is modified and used to explain the cyclical variances of a set of economic time series, the covariances between real output and the other series, and the autocovariance of output. The model is fitted to quarterly data for the post-war U.S. economy. Crucial features of the model are the assumption that more than one time period is required for the construction of new productive capital, and the non-time-separable utility function that admits…

非线性完全信息极大似然估计的一致性AI 解读

Examples are given which show that:(i) normality is not Necessary for the consistency of the quasi maximum likelihood estimator in the nonlinear simultaneous equations model (nonlinear FIML) even when there are major departures from linearity; and (ii) the lemma which is used extensively by Amemiya [2] in the theoretical development of the properties of nonlinear FIML under the assumption of normality is, as presently stated, incorrect.

非线性理性预期模型的广义工具变量估计AI 解读

This paper describes a method for estimating and testing nonlinear rational expectations models directly from stochastic Euler equations. The estimation procedure makes sample counterparts to the population orthogonality conditions implied by the economic model close to zero. An attractive feature of this method is that the parameters of the dynamic objective functions of economic agents can be estimated without explicitly solving for the stochastic equilibrium.

基于微观数据的地方学校支出需求函数估计AI 解读

We devise and apply a new method for estimating demand for local public goods from survey data. Individuals' responses to questions about whether they wanted more, less, or the same amount of various local public goods are combined with observations of their incomes, tax rates, and the amounts of actual spending in their home communities. Parameter estimates turn out to be quite similar to those found with studies like Bergstrom and Goodman's study based on total…

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非嵌套回归模型不同检验的局部功效比较AI 解读

The paper derives and compares the local power of three different methods of testing non-nested regression models that are available in the literature. It shows that the asymptotic power of the orthodox F test against local alternatives is strictly less than that of Cox's non-nested test or the J test recently proposed by Davidson and MacKinnon [5], unless the number of non-overlapping variables of the alternative hypothesis over the null hypothesis is unity, in which case…

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有限信息极大似然估计量分布函数的计算AI 解读

T. W. Anderson, Naoto Kunitomo, Takamitsu Sawa, Evaluation of the Distribution Function of the Limited Information Maximum Likelihood Estimator, Econometrica, Vol. 50, No. 4 (Jul., 1982), pp. 1009-1027

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广义矩估计量的大样本性质AI 解读

This paper studies estimators that make sample analogues of population orthogonality conditions close to zero. Strong consistency and asymptotic normality of such estimators is established under the assumption that the observable variables are stationary and ergodic. Since many linear and nonlinear econometric estimators reside within the class of estimators studied in this paper, a convenient summary of the large sample properties of these estimators, including some whose…

自回归条件异方差与英国通胀方差估计AI 解读

Traditional econometric models assume a constant one-period forecast variance. To generalize this implausible assumption, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced in this paper. These are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances. For such processes, the recent past gives information about the one-period…

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单因子多项 Probit 模型的高效数值求积方法AI 解读

A PROBLEM OF ESTIMATION that has long confronted many economists is the difficulty of estimating the parameters of equations with limited dependent variables on cross-section time-series (i.e., panel) data. While there are widely available packaged computer programs for estimating either (a) cross-section probit and Tobit models or (b) simple permanent-transitory, random-effects panel models with continuous dependent variables, there are no available computationally feasible…

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