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经典生产理论中连续与离散混合因变量模型的构建与统计分析AI 解读

Data sets which contain jointly endogenous discrete and continuous variables often occur in practice. This paper presents a model of the economic and stochastic processes generating such data as well as methods of estimation. A maximum likelihood estimator is examined and found to exhibit the usual optimality but it is computationally burdensome. A simpler estimator, the QREG, which is a simple weighted average of separate probit (or logit) and regression estimates is…

异方差一致的协方差矩阵估计量与异方差直接检验AI 解读

This paper presents a parameter covariance matrix estimator which is consistent even when the disturbances of a linear regression model are heteroskedastic. This estimator does not depend on a formal model of the structure of the heteroskedasticity. By comparing the elements of the new estimator to those of the usual covariance estimator, one obtains a direct test for heteroskedasticity, since in the absence of heteroskedasticity, the two estimators will be approximately…

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横截面数据的非线性回归AI 解读

This paper is a revised version of a paper originally en.titled "Asymptotic Properties of Nonlinear Weighted Least Squares Estimators with Independem not Identically Distributed Regressors." In Section 2, the strong consistency of a class of weighted least squares (WLS) estimators is proven under general conditions, as well as the strong consistency of weighted least squares with estimated weights (EWLS). Conditions which ensure asymptotic normality of the estimators are…

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隐式非线性联立方程模型中基于最大似然估计的统计推断AI 解读

A. Ronald Gallant, Alberto Holly, Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Mode in the Context of Maximum Likelihood Estimation, Econometrica, Vol. 48, No. 3 (Apr., 1980), pp. 697-720

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含选择机制的联立方程模型中两阶段 Probit 与 Tobit 方法的渐近协方差矩阵AI 解读

Lung-Fei Lee, G. S. Maddala, R. P. Trost, Asymptotic Covariance Matrices of Two-Stage Probit and Two-Stage Tobit Methods for Simultaneous Equations Models with Selectivity, Econometrica, Vol. 48, No. 2 (Mar., 1980), pp. 491-503

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k 类估计量矩的存在性AI 解读

For the regression equation C = A,B + e where A is a p x q stochastic matrix whose elements are independently distributed and contemporaneously correlated with the elements of 8, the lth moment of the least squares estimator of (3 exists if and only if l < p - q + 1. In particular, this implies that the lth moment of the k-class estimator of the coefficients of the G1 -1 non-normalizing endogenous variables of an equation with K1 included and K2 excluded exogenous variables…

Prais–Houthakker 家庭等价尺度模型的估计AI 解读

Given a preference basis for the model, a household's general equivalence scale is seen to be a cost of living index relative to the reference household type defined at constant prices. A maximum likelihood estimation procedure which can be applied both to cross-section data and pooled time-series/cross-sections is derived. The lack of identification of the model is established theoretically and checked empirically on British family expenditure survey data. With prior…

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联立方程系统中的非均衡计量经济学AI 解读

This paper considers the econometric problems raised by multi-market disequilibrium models. It uses a specification which is derived from general disequilibrium theory and, therefore, provides a first bridge between the economic theory approach and the econometric theory approach of disequilibrium. The model is piecewise linear; the problem of the existence of a reduced form, which is a crucial issue in nonlinear models, is solved. Limited information estimators as well as…

理性预期假说的计量经济学含义AI 解读

The implications for applied econometrics of the assumption that unobservable expectations formed rationally in Muth's sense examined. The statistical properties of the resulting models and their distributed lag and time series representations described. Purely extrapolative forecasts of endogenous variables can be constructed, as alternatives to rational expectations, but less efficient. Identification and estimation considered: an order condition is that no more…

宏观经济学与现实AI 解读

Existing strategies for econometric analysis related to macroeconomics are subject to a number of serious objections, some recently formulated, some old. These objections are summarized in this paper, and it is argued that taken together they make it unlikely that macroeconomic models are in fact over identified, as the existing statistical theory usually assumes. The implications of this conclusion are explored, and an example of econometric work in a non-standard style,…

联立方程系统中单个系数 k 类估计量分布的鞍点近似AI 解读

A. Holly, P. C. B. Phillips, A Saddlepoint Approximation to the Distribution of the k-Class Estimator of a Coefficient in a Simultaneous System, Econometrica, Vol. 47, No. 6 (Nov., 1979), pp. 1527-1547

不同长期利率预期模型下的投资者组合行为：Unitary、理性或自回归预期AI 解读

Benjamin M. Friedman, V. Vance Roley, Investors' Portfolio Behavior under Alternative Models of Long-Term Interest Rate Expectations: Unitary, Rational, or Autoregressive, Econometrica, Vol. 47, No. 6 (Nov., 1979), pp. 1475-1497

连续时间模型中的预期一致性、信息滞后与预期形成AI 解读

Malcolm R. Gray, Stephen J. Turnovsky, Expectational Consistency, Informational Lags, and the Formulation of Expectations in Continuous Time Models, Econometrica, Vol. 47, No. 6 (Nov., 1979), pp. 1457-1474

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