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面板数据与不可观测个体效应AI 解读

Abstract An important purpose in pooling time-series and cross-section data is to control for individual-specific unobservable effects which may be correlated with other explanatory variables, e.g. latent ability in measuring returns to schooling in earnings equations or managerial ability in measuring returns to scale in firm cost functions. Using instrumental variables and the time-invariant characteristics of the latent variable, we derive: 1. (1) a test for the presence…

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最优税收与偏好结构AI 解读

If optimal tax theory is to be the basis for calculating tax rates, a close understanding is required of the relationship between the structure of preferences and the configuration of optimal tax rates. Otherwise hypotheses chosen by the econometrician for practical convenience may completely determine the results, independently of measurement. This paper explores the relationship between various types of separability, particularly weak and implicit separability, and optimal…

向量自回归误差下动态联立方程模型的预测AI 解读

The asymptotic distribution of prediction is derived for the general simultaneous equation model with lagged endogenous variables and vector autoregressive errors. The results turn out to be particularly simple when no lagged endogenous variables are present. errors. It seems worthwhile to extend Schmidt's results, since the estimation of dynamic simultaneous equation models with autoregressive errors is now fairly commonplace in the literature. Also, as noted by Schmidt…

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似然比识别检验统计量的精确密度与近似临界域AI 解读

The exact finite-sample density function of the likelihood ratio (LR) test of overidentifying restrictions in linear equations with any number of included endogenous and exogenous variables is presented, along with its derivation. Properties of the density function and the LR test are presented and discussed. A new approximation for the LR test critical region is proposed and studied. 1. INTRODUCTION AND SUMMARY THE CRITICAL NATURE of identification in simultaneous equation…

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存在备选假设时的若干模型设定检验AI 解读

Several procedures are proposed for testing the specification of an econometric model in the presence of one or more other models which purport to explain the same phenomenon.These procedures are shown to be closely related, but not identical, to the non-nested hypothesis tests recently proposed by Pesaran and Deaton [7], and to have similar asymptotic properties..They are remarkably simple both conceptually and computationally, and, unlike earlier techniques, they may be…

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不恰当去趋势造成的时间序列虚假周期性AI 解读

Econometric analysis of time series data is frequently preceded by regression on time to remove a trent component in the date. The resulting residuals are then treated as a stationary series to which procedures requiring stationarity, such as spectral analysis, can be applied. The objective is often to investigate the dynamics of transitory movements in the systems, for example, in econometric models of the business cycle. When the data does consist of a deterministic…

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隐式非线性联立方程模型中最大似然估计框架下的统计推断AI 解读

A. Ronald Gallant, Alberto Holly, Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Model in the Context of Maximum Likelihood Estimation, Econometrica, Vol. 49, No. 2 (Mar., 1981), p. 554

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Tobit 模型普通最小二乘估计量的渐近偏差AI 解读

This paper presents a precise characterization of the bias of least squares in two limited dependent variable models, the Tobit model and the truncated regression model. For the cases considered, the method of moments can be used to correct the bias of OLS. For more general cases, the results provide approximations which appear to be relatively robust. 13, and o, . In this paper we present a precise characterization of that bias for the particular case in which xt, as well…

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无截距回归中的 Durbin–Watson 序列相关检验AI 解读

and where tl, 2, ... , n-k is a set of independent standard normal variates. The significance points of dM, dL, and du may be evaluated by the methods of Imhof [3] and Pan [8]. Savin and White [9] have noted that Koerts and Abrahamse's [5, pp. 159-160] FORTRAN implementation of Imhof's procedure fails to converge when the significance point is near A1. This defect is easily remedied by replacing Imhof's lower bound for the inverse of the truncation error by

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