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连续时间分布滞后模型的离散近似AI 解读

A model is considered in which a covariance-stationary exogenous process is related to an endogenous process by an unrestricted, infinite, linear distributed lag. It is shown that when an underlying continuous time model is sampled at unit intervals to yield endogenous and exogenous discrete time processes, the discrete time processes are related by a discrete time equivalent of the underlying continuous model. The relationship between the underlying continuous lag…

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A theory of identification is developed for general stochastic model whose probability law is determined by finite number of parameters. It is shown under weak regularity conditions that local identifiability of the unknown parameter vector is equivalent to nonsingularity of the information matrix. The use of reduced-form parameters to establish identifiability is also analyzed. The general results are applied to the familiar problem of determining whether the coefficients…

In two stage least squares estimation, when the matrix Z of predetermined variables has less than full column rank, Z'Z is singular. It is shown that in this situation 2SLS still can be used and that Y-the result of the first stage-is still uniquely determined; also shown is that 2SLS will often be equivalent to OLS. IN A LARGE SYSTEM containing many equations and many predetermined variables, it is a common occurrence to find that the second moment matrix involving all of…

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合并横截面与时间序列数据中的方差分量模型AI 解读

The paper argues that variance components models are very useful in pooling cross section and time series data because they enable us to extract some information about the regression parameters from the between group and between time-period variation-a source that is often completely eliminated in the commonly used dummy variable techniques. The paper studies the applicability and usefulness of the maximum likelihood method and analysis of covariance techniques in the…

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coefficients from the generalized least squares equations using estimates of unknown variance components, ' ' is needed. Wallace and Hussain obtain Z- ' trial, error, and generalization. This note calls attention to a simple, direct method of obtaining this inverse that was developed by Henderson [1] in the late 1940's. To facilitate discussion of the Wallace-Hussain problem we will reformulate it in the notation of the general mixed model by which any general variance…

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This paper develops approximations of the Gram-Charlier type to the cumulative distribution function of the instrumental variables estimator on classical assumptions. In the special case where there are only two endogenous variables in the estimated equation, exact values of the cumulative distribution function are computed by numerical integration and compared with the approximations. Although the error in the approximation depends critically on the parameters of the…

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结构形式发生变化时的两阶段最小二乘估计AI 解读

1. IN THIS NOTE we consider the estimation of linear models when the coefficients of the structural form are not the same for all observations for which the model is postulated to be valid. An example of such a model is given in [3], where some structural relations have a piecewise linear form. Another example is the water melon market model of Suits [2] where there are two alternative harvest supply schedules. Also discussed here is the case where for one part of the sample…

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分布滞后模型分析及其在消费函数估计中的应用AI 解读

SINCE KOYCK'S pioneering work, distributed lag models have come to play an important role in econometrics and much work has been done to develop methods for analyzing them-see e.g. Koyck [15], Klein [12], Solow [20], Fuller and Martin [5], Malinvaud [18], Hannan [9], Liviatan [17], Amemiya and Fuller [1], Zellner and Park [25], Thornber [21], Waud [23], Dhrymes [3], and Griliches [7]. In the present paper we present maximum likelihood and Bayesian estimation procedures for…

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联立方程最小绝对值与最小二乘估计量的小样本性质比较AI 解读

In this paper a distribution sampling study consisting of four major experiments is described. The L1 norm is employed in two new estimating techniques, direct least absolute (DLA) and two-stage least absolute (TSLA), and these two are compared to direct least squares (DLS) and two-stage least squares (TSLS). Four experiments testing the normal distribution case, a multicollinearity problem, a heteroskedastic variance problem, and a misspecified model were conducted. Two…