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利用汇总数据估计时变马尔可夫过程AI 解读

The exact stochastic character of observed data from a Markov process is derived for the case where only aggregate stocks, as opposed to individual transitions, are observed. Particular attention is devoted to the distinction between data generated by a panel study, where a single group of individuals is followed over time, and that generated by random sampling, where the observed groups are not identical over time. Several alternative estimators are developed which take…

工作、闲暇与家务时间配置的估计AI 解读

Previous attempts to estimate labor supply functions based upon the constrained maximization of a utility function with leisure and income as arguments have assumed that all time not spent at work on the job is leisure time. In this paper we formulate a model of a household in which time is allocated between work on the job, leisure, and housework, where leisure is defined to be net of time spent on housework. The model is estimated under two alternative stochastic…

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联立系统中单个方程系数估计量的分布及其渐近展开AI 解读

T. W. Anderson, Takamitsu Sawa, Distributions of Estimates of Coefficients of a Single Equation in a Simultaneous System and Their Asymptotic Expansions, Econometrica, Vol. 44, No. 6 (Nov., 1976), p. 1329

杜宾–沃森检验统计量分布函数的计算算法AI 解读

IN REGRESSION ANALYSIS most empirical economists use the well-known Durbin-Watson (DW) procedure [1] to test the hypothesis of no autocorrelation among the disturbances of a linear regression model against the hypothesis of a first-order autocorrelation. The use of this procedure is compromised by the fact that it is a bounds text and, hence, cannot discriminate between the two competing hypotheses for a range of intermediate values of the test statistic. This shortcoming…

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自回归扰动线性回归模型中检验程序的冲突AI 解读

Silvey [10]. For a model with nonstochastic regressors we show that a systematic inequality relation exists among the test statistics; namely, the value of the Wald statistic is greater than or equal to that of the LR statistic which, in turn, is greater than or equal to that of the LM statistic. When the null hypothesis is true, we find that the Wald, LR, and LM test statistics have identical limiting chi-square distributions. Since for a large sample test the three…

控制问题中最小二乘估计统计性质的实验结果AI 解读

The statistical properties of the certainty equivalence control rule and of the least squares estimates generated by this rule are examined experimentally in a linear model with two unknown parameters. It is found that the least squares certainty equivalence rule converges to its true value with probability one and is asymptotically efficient, having an asymptotic distribution with a variance as small as any other strongly consistent rule. However, while a linear combination…

若干澳大利亚季度时间序列的 ARMA 表示对数据修订的不敏感性AI 解读

Economic researchers are rarely able to conduct surveys or design experiments to obtain evidence with which to assess theories or hypotheses but must rely on information, such as the national income accounting data, compiled by the government bureau of statistics. The bureau revises its national income estimates as more information becomes available or as a result of changes in methods of estimation or minor changes in definitions or classifications. The purpose of this…

广义消费者剩余度量的计量评价：Mineral King 争议AI 解读

Charles J. Cicchetti, Anthony C. Fisher, V. Kerry Smith, An Econometric Evaluation of a Generalized Consumer Surplus Measure: The Mineral King Controversy, Econometrica, Vol. 44, No. 6 (Nov., 1976), pp. 1259-1276

关于 Almon 分布滞后估计量偏差的札记AI 解读

IN A RECENT PAPER Cargill and Meyer [1] use Monte Carlo simulations to examine the behavior of some distributed lag estimators when the lag structure is misspecified. The authors hold that it is not easy to compare the Almon polynomial lag method and OLS analytically if the restrictions imposed by the Almon procedure are not correct. It is our intention to derive analytical expressions for the bias in the Almon estimator. We postulate a linear distributed lag model

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计量与谱分析程序 EASAI 解读

and FORTRAN IV which is designed to accommodate most researchers' everyday econometric needs. However, this program is particularly useful when spectral methods are combined (in an ex post sense) with regression and simultaneous equations estimation., Residuals from regression or simultaneous equations estimation are easily saved by EAS and used in later spectral computations by using only two program statements.1 All spectral computations are highly efficient since the fast…

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关于聚合过程中的识别与信息损失的札记AI 解读

DISCUSSIONS OF IDENTIFICATION of parameters in simultaneous equation econometric models almost invariably assume that data are in the form of aggregative time series, i.e., only one measurement of each variable is available in each time period. This note shows that parameters in a model which is underidentified by the usual rank and order criteria at the aggregative level may be identified when disaggregated data aie available. The argument is presented in terms of a…

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