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计量经济学的统计方法AI 解读

This now classic volume aims at a systematic presentation of the statistical methods used for the analysis of economic data. The properties of the various procedures are studied within the framework of theoretical stochastic models. Their relevance for inference on the economic phenomena is discussed at length. This third edition has been updated in many respects. Chapter 8 (Regression in Various Contexts) has been rewritten and now provides a full discussion of estimation…

精确抽样分布未知时估计量有限样本矩的近似AI 解读

The exact sampling distributions of estimators of structural parameters of econometric models are unknown except for a few simple cases. In this situation two alternative approaches towards evaluating finite sample properties of various estimators have been adopted in the literature: (i) Monte Carlo experiments, and (ii) the approach pioneered by Nagar and his students in which the sampling error of an estimator is expressed as the sum of an infinite series of random…

非线性发展规划模型的数值求解AI 解读

The use of numerical techniques for solving dynamic nonlinear multisectoral models for development planning is analyzed. A four sector model with nonlinear welfare, production, and investment functions is developed and solved using conjugate gradient and neighboring extremal methods. The model draws on recent developments in nonlinear theoretical growth models and linear development planning models. Sensitivity tests on the turnpike properties of the model and on changes in…

In this paper various methods for the estimation of simultaneous equation models with lagged endogenous variables and first order serially correlated errors are discussed. The methods differ in the number of instrumental variables used. The asymptotic and small sample properties of the various methods are compared, and the variables which must be included as instruments to insure consistent estimates are derived. A suggestion on how to estimate the approximate covariance…

This article shows how to transform residuals from regression on an arbitrary set of k regressors to a set of values having the same joint distribution as the residuals from regression on a different set L of k regressors. Let d′ denote the value of the statistic $\\Sigma (z_{t}-z_{t-1})^{2}/\\Sigma z_{t}^{2}$ calculated from these values. It is shown that for a suitable choice of L the distribution of d′ is the same as that of $d_{U}$ , the significance values of which are…

The construction of tests of model specification is considered from a general point of view. The results are applied to testing the serial independence of the disturbances in a regression model where some of the regressors are lagged dependent variables. It is shown that the asymptotic distribution of the lag-1 serial correlation coefficient calculated from the least-squares residuals differs from that of the coefficient calculated from the true disturbances. A consequence…

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随机系数回归模型中的有效推断AI 解读

Computes a GLS matrix weighted estimator for a panel data set. meangroup.src does a similar estimator, but uses simple weighted average rather than a matrix-weighted average. Swamy(1970), Efficient Inference in a Random Coefficient Regression Model, Econometrica, vol 38, 311-323. (This abstract was borrowed from another version of this item.)

不使用成本数据估计成本函数参数：方法示例AI 解读

FOR VARIOUS REASONS, data availability being not the least of these, empirical studies of production processes can often be carried out more conveniently in terms of cost functions instead of production functions. Assuming cost minimizing behavior by entrepreneurs, cost function studies can, in principle, reveal the same information [23, 26]. Such dual cost functions have an empirical difficulty in common with production functions, however. They must be concave and linear…

季度投资行为计量模型的预测表现AI 解读

In this paper four alternative quarterly econometric models of investment behavior are compared with regard to predictive performance. Predictive performance may be assessed in two ways: (i) We compare prediction errors for a period of prediction with errors for a period of fit. (ii) We fit investment functions for both periods and test for structural change. These two procedures may be viewed as alternative tests of the hypothesis of structural change; the second is more…

季度投资行为的替代计量模型比较AI 解读

In this paper four alternative quarterly econometric models of investment behavior are fitted to a common set of data for individual manufacturing industries in the United States. Goodness of fit and absence of autocorrelation of errors are used as a basis for comparison of the performance of the alternative models. The econometric models are compared with each other and with alternative explanations of data on investment based on surveys of anticipated investment and on…

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联立方程模型的对应原理AI 解读

Simultaneity as a LimitA well-known and highly convincing position on the nature of simultaneity in econometric models is that such models are only approximations to the true state of affairs.In fact, causation takes time, and the reactions given by the equations of the model truly occur not instantaneously but with a very small time lag.Unfortunately, however, data do not come to us sufficiently finely divided in time to allow us to observe such fastmoving reactions, so we…

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This paper reports on a study of the timing of the economic impact of government defense procurement. By assuming that the letting of new orders signals the beginning and shipments signal the end of the impact of defense procurement, this research investigates the effects of changes in product mix and capacity utilization on the duration of such impacts. The effects of changes in product mix and capacity utilization on inventory accumulation are also investigated. RECENT…

A. L. Nagar, Y. P. Gupta, The Moment Matrix of the Two-Stage Least-Squares Estimator of Coefficients in Different Equations of a Complete System of Simultaneous Equations, Econometrica, Vol. 38, No. 1 (Jan., 1970), pp. 39-49