日期精度：到日 0 篇 · 到月 1673 篇 · 到年 425 篇 · 未提供 14 篇
随机差分方程相关的有限样本分布：若干实验性证据
R. L. Basmann, D. H. Richardson, R. J. Rohr, Finite Sample Distributions Associated with Stochastic Difference Equations--Some Experimental Evidence, Econometrica, Vol. 42, No. 5 (Sep., 1974), pp. 825-839
若干连续时间模型的估计
When a continuous time model is estimated from its non-recursive discrete approximation, the presence of identities and exogenous variables in the system does not preclude the use of standard procedures. However, if we wish to use the exact discrete model for estimation purposes, the treatment of identities and exogenous variables is not so straightforward. It is found that the procedure based on the exact discrete model is unlikely to be affected by the presence of…
In the first section of this paper the overidentifying restrictions on a system of linear simultaneous equations are expressed in terms of restrictions on the reduced form parameters. These restrictions provide the basis of a test of the structure using only the unrestricted reduced form parameter estimates. Under Ho the test proposed is asymptotically equivalent to a likelihood ratio test. The test may be applied as a single equation or complete system procedure and it may…
The paper compares the power functions of the conventional tests of significance based on asymptotic theory with those of some alternative tests suggested by Dhrymes and Richardson and Rohr and also a test that was suggested earlier by Anderson and Rubin in a simple two equation model by means of Monte Carlo experiments.
含滞后因变量回归模型中 Durbin 序列相关检验的若干小样本性质
James L. Kenkel, Some Small Sample Properties of Durbin's Tests for Serial Correlation in Regression Models Containing Lagged Dependent Variables, Econometrica, Vol. 42, No. 4 (Jul., 1974), pp. 763-769
含三个内生变量方程中结构参数两阶段最小二乘估计量的精确均值
Aman Ullah, A. L. Nagar, The Exact Mean of the Two-Stage Least Squares Estimator of the Structural Parameters in an Equation Having Three Endogenous Variables, Econometrica, Vol. 42, No. 4 (Jul., 1974), pp. 749-758
动态计量模型中结构估计量与检验统计量的实验研究
R. L. Basmann, D. H. Richardson, R. J. Rohr, An Experimental Study of Structural Estimators and Test Statistics Associated with Dynamical Econometric Models, Econometrica, Vol. 42, No. 4 (Jul., 1974), pp. 717-730
A nonparametric framework for deriving the asymptotic MSE-optimal predictor for a multiplicative model is presented. The resulting predictor is compared to several known competitors in a limited Monte Carlo experiment. RECENT PAPERS BY Zellner [10] and Teekens and Koerts [7] address themselves to the problem of minimum-MSE prediction in a Cobb-Douglas-type multiplicative model under a lognormal distribution assumption for the disturbance term. Each derives the finite sample…
异方差下 Chow 检验的使用
the assumption of equality of variances of error terms between two separate sample regimes. It is shown that the test is well behaved when there are variations of variances if at least one of two sample sizes is very large. However, if two samples are of small size, even moderate heteroscedasticity has considerable effect on the level of significance of the test. In what follows, it is assumed that T1 samples belong to the first regime and T2 samples to the second regime;…
随机解释变量与扰动独立性的替代检验：有限样本结果
RegWuTest performs a Wu (or Durbin-Wu-Hausman) specification test on a regression just estimated by instrumental variables. Because it works off the last regression, there are no parameters. Wu(1973), Alternative tests of independence between stochastic regressors and disturbances, Econometrica vol 42, 529-546.(This abstract was borrowed from another version of this item.)
联立方程框架中的随机参数：识别与估计
problems of a particular equation in the model. Examples are given. Further generalizations are also considered but only conditional results are given. Further work is suggested.
走向重置投资的经济理论
This paper develops an economic theory of replacement investment that can provide a basis for specifying an econometric model of investment behavior. The long-run and short-run effects of changes in the interest rate and in tax laws are examined. The paper also investigates several reasons why the common assumption of a technologically constant rate of replacement is incorrect even as an asymptotic limit. LARGE VARIATIONS in capital spending continue to motivate econometric…
Peter Schmidt, The Algebraic Equivalence of the Oberhofer-Kmenta and Theil-Boot Formulae for the Asymptotic Variance of a Characteristic Root of a Dynamic Econometric Model, Econometrica, Vol. 42, No. 3 (May, 1974), pp. 591-592
合并估计的设定错误问题：一则札记
THE PRACTICE of pooling cross section data with time series has been found to be very useful in applied econometric work. Frequently, investigators have estimated some parameters from a single cross section sample and have used these estimates as prior restrictions in the time series equation. Tobin's study of demand for food [2] is a classic example of this. Tobin estimated the income elasticity of demand for food from family budget data for 1941 and used this as prior…
异方差或自回归误差引致的回归系数方差界
In applications of linear regression analysis, the unknown error covariance matrix has to be somehow estimated. This can lead to biased estimates of the covariance matrix of the regression coefficients. Since such bias is difficult to eliminate completely, its sensitivity to alternative estimates of error covariances is studied by Watson, Theil, Malinvaud, and others with the help of bounds on the bias derived under certain assumptions. This paper gives similar bounds under…
自相关误差动态联立方程模型中若干有限信息估计量的比较
Phoebus J. Dhrymes, R. Berner, D. Cummins, A Comparison of Some Limited Information Estimators for Dynamic Simultaneous Equations Models with Autocorrelated Errors, Econometrica, Vol. 42, No. 2 (Mar., 1974), pp. 311-332