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带约束的间接最小二乘估计量AI 解读

An over-identified model could be defined as an exactly identified model that is subject to over-identifying restrictions. One could therefore define a constrained indirect least squares estimator for systems of equations similar to generalized least squares estimators under constraints for single equations. The estimator differs from three stage least squares in using the indirect least squares estimated covariance instead of the two stage least squares estimated…

定性选择的条件 Probit 模型：考虑相互依赖与异质偏好的离散决策AI 解读

Jerry A. Hausman, David A. Wise, A Conditional Probit Model for Qualitative Choice: Discrete Decisions Recognizing Interdependence and Heterogeneous Preferences, Econometrica, Vol. 46, No. 2 (Mar., 1978), pp. 403-426

Gorman 极形式生成的需求系统估计：S 分支效用树的推广AI 解读

Charles Blackorby, Richard Boyce, R. Robert Russell, Estimation of Demand Systems Generated by the Gorman Polar Form; A Generalization of the S-Branch Utility Tree, Econometrica, Vol. 46, No. 2 (Mar., 1978), pp. 345-363

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计量经济模型的通用计算程序：SHAZAMAI 解读

to prepare and allow a large number of options. The program can be run in batch mode or interactively at a computer terminal. Computer core storage is dynamically allocated so that large problems are only limited by the size of the machine. SHAZAM is designed to grow so that new algorithms and procedures can easily be added by any programmer familiar with the internal structure of the program. Features of SHAZAM include ordinary least squares, two-stage least squares,…

计量经济模型的随机模拟程序AI 解读

model. Many results (observed value, deterministic solution, computed mean among the replications, minimum and maximum of the stochastic solution, first relative differences of the observed, deterministic and mean stochastic values) are displayed and several empirical indicators of goodness of fit are computed: (1) the mean over the simulation period of the actual, deterministic and mean stochastic values; (2) the root mean square error (RMSE) of the deterministic and mean…

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观测数不足时 Chow 检验的不确定性AI 解读

THE CHOW TEST is a widely used procedure for testing for the equality of sets of coefficients in two linear regression models. However, when the number of observations in one of the models is less than the number of regression coefficients, the Chow test is incapable of testing the hypothesis of equality against that of inequality. It can never be concluded from the Chow test itself that the two sets are equal, although at times it may be possible to conclude that they are…

工具变量估计方程中使用 Durbin h 检验的说明AI 解读

THE PURPOSE OF THIS PAPER is to consider the validity of Durbin's [1] h test when the h statistic is calculated from instrumental variable estimates of an autoregressive model. It seems useful to provide such an analysis since h tests based upon instrumental variable results have been reported in the empirical literature (for example, see McCallum [3]). The validity of the h test is investigated by deriving the asymptotic distribution (under the null hypothesis) of an…

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回归分位数AI 解读

A simple minimization problem yielding the ordinary sample quantiles in the location model is shown to generalize naturally to the linear model generating a new class of statistics we term “regression quantiles.” The estimator which minimizes the sum of absolute residuals is an important special case. Some equivariance properties and the joint asymptotic distribution of regression quantiles are established. These results permit a natural generalization to the linear model of…

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自相关误差回归的极大似然估计程序AI 解读

The widely used Cochrane-Orcutt and Hildreth-Lu procedures for estimating the parameters of a linear regression model with first-order autocorrelation typically ignore the first observation. An alternative maximum likelihood procedure which incorporates the first observation and the stationarity condition of the error process is proposed in this paper. It is similar to the Cochrane-Orcutt procedure, and appears to be at least as computationally efficient. This estimator is…

谱估计量精确有限样本分布的近似AI 解读

In this paper an explicit and computationally convenient expansion of the exact finite sample distribution function of a quasi-maximum likelihood spectral estimator is given. In the majority of practical situations it will be necessary to estimate certain nuisance parameters of the distribution. Therefore, a method of evaluating these parameters is suggested and some Monte-Carlo evidence concerning the practical implementation of the results is given. 1 INTRODUCTfON AN…

方程系统参数的贝叶斯估计：蒙特卡洛积分的应用AI 解读

textabstractMonte Carlo (MC) is used to draw parameter values from a distribution defined on the structural parameter space of an equation system. Making use of the prior density, the likelihood, and Bayes' Theorem it is possible to estimate posterior moments of both structural and reduced form parameters. The MC method allows a rather liberal choice of prior distributions. The number of elementary operations to be preformed need not be an explosive function of the number of…

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极端样本量或较多回归变量下的 Durbin–Watson 序列相关检验AI 解读

Recent studies by Durbin and Watson [5], L'Esperance and Taylor [10], Koerts and Abrahamse [8], Tillman [15], Vinod [16], Savin and White [14] and others have shown increasing interest in the test of autocorrelation based on the d statistic proposed by Durbin and Watson [3 and 4]. The focus of these papers has been the computation of the exact distribution of d and the power of the test based on d. The exact distribution of d has been developed by Imhof [7] and Pan Jie-Jian…