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IN THEIR ARTICLE [5], Liu and Breen propose a new estimator of the large-sample asymptotic covariance matrix for the limited information maximum likelihood estimator in simultaneous equations, and express surprise that their estimator is different from the estimator proposed by Chernoff and Divinsky [1]. Additionally, they question the interpretation of a statistic used in the past to test over-identifying restrictions.

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计量经济学：统计基础与应用AI 解读

1. Elementary Aspects of Multivariate Analysis.- 1.1 Preliminaries.- 1.2 Joint, Marginal, and Conditional Distributions.- 1.3 A Mathematical Digression.- 1.4 The Multivariate Normal Distribution.- 1.5 Correlation Coefficients and Related Topics.- 1.6 Estimators of the Mean Vector and Covariance Matrix and their Distribution.- 1.7 Tests of Significance.- 2. Applications of Multivariate Analysis.- 2.1 Canonical Correlations and Canonical Variables.- 2.2 Principal Components.-…

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季度回归方程中四阶自相关的检验AI 解读

A test for fourth order autocorrelation in the error term of a regression equation estimated from quarterly data is described. The development draws on the finite sample results of Durbin and Watson and illustrates how their procedure for the first order case can be generalized. In the model y = X,B + u where X is a matrix of fixed regressors and u, = put-4 + Bt, an appropriate test statistic for Ho: p = 0 is the statistic d4 = {z- )2/z2 computed from the least squares…

Economic Models, Estimation and Risk Programming: Essays in Honor of Gerhard Tintner. Lecture Notes in Operations Research and Mathematical Economics 15 by K. A. Fox; J. K. Sengupta; G. V. L. Narasimham

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IN THEIR PAPER [1] with the above title, Blattberg and Sargent have suggested a method for estimating regression parameters when disturbances are generated by a symmetric stable law. This procedure was originally suggested by John Wise [4]. Wise arrived at this estimator by confining attention to the class of linear unbiased estimators and minimizing the scale parameter. He also suggested that his procedure might be considered as a generalization of the classical least…

Tables of critical points for the noncentral F are presented with noncentrality equal to 1/2 of numerator degrees of freedom for denominator degrees of freedom of 1-30, 40, 60, 120, 200, 400, and 1,000, and numerator degrees of freedom of 1-30, 40, 60, 120, and 200, and type one errors of 0.05, 0.10, 0.25, and 0.50. These critical points can be used to test the second weak MSE criterion discussed in the companion paper [2]. An approximation is suggested for noncentral F(θ),…

The standard F test for linear restrictions in regression is relevant as a criterion but fails to capture the notion of tradeoff between bias and variance. Average squared distance criteria yield operational tests that are more appropriate, depending upon objectives. In the present paper two alternative criteria are developed. The first allows testing of the hypothesis that the average squared distance of a restricted estimator from the parameter point in k space is less…

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对《国防订单库存影响估计的一致性评论》的回应AI 解读

Gramlich and Galper (hereafter referred to as GG) indeed have performed a useful service by pointing out that an erroneous equation was included in my paper [3]. The corrected inventory change equation, the equation with all lagged orders included, was almost identical with the results obtained by applying GG's method (ii) to the order-inventory stock equation presented in Column (2), Table IV of my paper [3, p. 161]. The results are consistent when GG's methods (ii) and…

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市场需求曲线的极限函数形式AI 解读

On the basic assumption that individual consumption of a good is a stochastic phenomenon, the first part of this article shows that under general conditions market quantity demanded is asymptotically (as n, the number of individuals in the market, increases) distributed as normal with and variance a function of own price given all other prices and individual incomes. Next, by the use of integral transforms, it is shown that the unknown market demand function can be…

根据利率期限结构中的平均收益率差估计期限溢价AI 解读

The fact that long term interest rates have been higher on average than short rates in the twentieth century has often been interpreted in the term structure literature as evidence of the existence of positive or term premiums. The purpose of this paper is to point out that an average differential between long and short rates does not necessarily represent a differential between returns realized by holders of long versus short term bonds. In particular, it is shown that if…

误差分量回归模型系数估计量的精确有限样本性质AI 解读

Wallace and Hussain (1969) considered the use of an error components regression model in the analysis of time series of cross-sections and developed an estimator of the coefficient vector based on an estimated variance-covariance matrix of error terms. In this paper, we have shown that under the set of assumptions adopted by Wallace and Hussain there are an infinite number of estimators which have the same asymptotic variancecovariance matrix as the Wallace-Hussain estimator…