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两阶段最小二乘估计量的偏差与均方误差随样本量单调不增的证明AI 解读

A. D. Owen, A Proof that Both the Bias and the Mean Square Error of the Two-Stage Least Squares Estimator are Monotonically Non-Increasing Functions of Sample Size, Econometrica, Vol. 44, No. 2 (Mar., 1976), pp. 409-411

回归预检验的最优临界值AI 解读

In this paper we derive and present optimal critical points for pre-tests in regression using a minimum average relative risk criterion. We use the same type risk functions as Sawa and Hiromatsu [8] who, in a recent paper in this journal, derived pre-test critical values using a minimax regret criterion. Since James-Stein type estimators can be shown to dominate any pre-test estimator for the risk functions used here and in [8], no normative claims are made for the critical…

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具有相关扰动的线性模型之间的判别AI 解读

PROBLEMS OF COMPARING or choosing among models of a stochastic process are frequently encountered in empirical research. In many such situations, conventional statistical procedures offer little guidance since they assume that the model is given. If the alternative models can be nested in a more general model, standard estimation and testing procedures can be employed. Often, however, such general models are not readily available and other considerations may dictate against…

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This paper considers the effect of aggregation on the variance of parameter estimates for a linear regression model with random coefficients and an additive error term. Aggregate and microvariances are compared and measures of relative efficiency are introduced. Necessary conditions for efficient aggregation procedures are obtained from the Theil aggregation weights and from measures of synchronization related to the work of Grunfeld and Griliches.

Thomas W. Epps, Mary Lee Epps, The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis, Econometrica, Vol. 44, No. 2 (Mar., 1976), pp. 305-321

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通胀横截面预测中的自回归与非自回归成分AI 解读

Using cross-section data collected from a panel of institutional investors in 1969, 1970, 1972, this paper focuses on how knowledgeable individuals formulate forecasts of future rates of price inflation, We estimate return-to-normality and error-learning forecasting models and inquire whether such equations can be interpreted simply as reduced forms of an autoregressive forecasting structure. Assuming that respondents' expectations were formed rationally in the sense of…

This paper analyzes three quarterly investment models for the detection of certain specifi- cation errors. The models are those of Anderson (1 and 2), Eisner (4), and Meyer-Glauber (10). The models are applied to thirteen manufacturing industries. A set of specification error tests developed by Ramsey (12, 13, and 14) are applied to the above models so as to detect the specification errors of omission of variables, incorrect functional form, simul- taneous equation problems,…

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预期形成的实验研究AI 解读

This paper reports on an experimental study of expectation formation-and revision in a time series context. In an adaptive expectations framework, it is shown that the speed of adjustment seems to fall in turning point periods. Expectations are considered as probability density functions, and a scoring system is devised and employed that gives subjects an incentive to report a measure of the dispersion of these functions. This measure, which is inversely related to the…

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多期决策问题的自适应学习规则AI 解读

Zellner [11], and Chow [3], is to deal with the uncertainty by treating the model parameters as independent, identically distributed random variables in each period,' yielding what Zellner calls rules. Although the sequential updating rules do capture the uncertainty, they ignore the possibility of ongoing estimation in the formulation of decision rules. The purpose of this paper is to develop an adaptive learning decision rule for the multiperiod problem. This rule…

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柯布—道格拉斯生产函数的估计AI 解读

WE CONSIDER THE PROBLEM of estimating the coefficients of the Cobb-Douglas production function when observations are obtained from a cross section of firms. Under the assumptions that the firms operate in competitive markets and maximize actual profits, a stochastic model of production of the firms can be represented

线性与若干非线性计量模型全信息估计量的工具变量方法AI 解读

FIML is shown to be an instrumental variables estimator where the instruments embody all the over-identifying a priori restrictions. FIML is compared to the two alternative estimators 3SLS and full information instrumental variables. 3SLS differs from FIML in not using all a priori restrictions in forming the instruments. The full information instrumental variables estimator when iterated to convergence yields the FIML estimate. For the case of nonlinearity in the parameters…

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