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收入增长对分组收入分布、对应洛伦兹曲线与基尼指数的影响AI 解读

The purpose of this paper is to indicate the problems connected with the intertemporal comparability of Lorenz curves and Gini indices estimated by standard numerical approaches in the case of the classified empirical income distribution and a growth of individual income at a fixed rate. Collector effects of the higher intervals lead to shifts of the Lorenz curve to the right or to the left; accordingly the Gini index may rise or fall. This class phenomenon occurs although…

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作为模型设定错误的样本选择偏误AI 解读

Sample selection bias as a specification error This paper discusses the bias that results from using non-randomly selected samples to estimate behavioral relationships as an ordinary specification error or «omitted variables» bias. A simple consistent two stage estimator is considered that enables analysts to utilize simple regression methods to estimate behavioral functions by least squares methods. The asymptotic distribution of the estimator is derived.

具有自回归移动平均误差的随机线性差分方程的极大似然估计AI 解读

A method is proposed for the estimation of a general class of scalar linear time series models. The model takes the form of a stochastic difference equation for the dependent variable with exogenous variable inputs, and the disturbances are autocorrelated through an autoregressive moving average process. In the present paper an asymptotically efficient yet computationally simple estimation procedure (in the time domain) is derived for this model. The resulting estimator is…

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残差自相关时线性趋势最小二乘估计的效率AI 解读

first-order stationary Markoff process with zero mean and autocorrelation coefficient p, - 1 < p < 1, the greatest lower bound for the efficiency of the least-squares estimator of 8 (relative to the Gauss-Markoff estimator) over the interval 0;p < 1 is .753763. This compares with a greatest lower bound of .535898 for the relative efficiency of the Cochrane-Orcutt estimator of 38.

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估计不确定性下的决策AI 解读

This paper provides necessary and sufficient conditions for it to be optimal to base decisions on estimates of the parameters that characterize a decision problem (e.g., profit maximization with an estimated price elasticity of demand). We show that the separation of parameter estimation from decision making generally yields lower utility than an integrated approach which takes account of estimation uncertainty. We evaluate the decision in the parameter estimation method and…

线性与非线性联立方程模型中全信息极大似然估计的迭代广义最小二乘计算AI 解读

THE PURPOSE OF THIS PAPER is threefold: (i) to provide a unified iterative generalized least squares approach for computing FIML estimates for both linear and nonlinear simultaneous equations models of medium size (containing about 50 parameters in the nonlinear case and 75 in the linear case); (ii) to suggest a useful procedure to determine the length of the step to be made at each iteration of the algorithm; (iii) to report on numerical results which illustrate the…

线性计量模型中的一类参数异方差检验AI 解读

A class of parametric for heteroscedasticity in linear models is discussed. For models with nonstochastic regressors, new exact within this class are suggested which utilize existing tables of the distribution of the von Neumann ratio and of the Durbin-Watson bounding ratios. Bound tests for heteroscedasticity in least squares regression are proposed. A rigorous treatment of within this class for heteroscedasticity in the errors of structural relations in dynamic…

回归变量含滞后因变量时对一般自回归与移动平均误差模型的检验AI 解读

Since dynamic regression equations are often obtained from rational distributed lag models and include several lagged values of the dependent variable as regressors, high order serial correlation in the disturbances is frequently a more plausible alternative to the assumption of serial independence than the usual first order autoregressive error model. The purpose of this paper is to examine the problem of testing against general autoregressive and moving average error…

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计量经济学中的模型设定检验AI 解读

Using the result that under the null hypothesis of no misspecification an asymptotically efficient estimator must have zero asymptotic covariance with its difference from a consistent but asymptotically inefficient estimator, specification tests are devised for a number of model specifications in econometrics. Local power is calculated for small departures from the null hypothesis. An instrumental variable test as well as tests for a time series cross section model and the…