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水泥生产燃料系数的估计：非线性回归的固定效应方法AI 解读

Fuel coefficients of cement production--one for each process of production--are estimated by explicitly accounting for the multiple-kiln structure of cement plants. Unobserved heterogeneity across plants is found to be significant. Furthermore, since the estimable model is nonlinear in exogenous variables and parameters, a fixed-effects estimator for nonlinear regression is used to obtain the estimates.

非参数检验功效的一个下界AI 解读

This note provides relatively simple algebraic expressions that may be used to obtain a lower bound for the power of nonparametric tests such as the generalized axiom of revealed preference. Bounds are calculated for several data sets in which it is found that the lower bound developed here may be useful in establishing the ability to detect violations of rational decision-making under the alternative hypothesis of random behavior.

两种基于多项分布的会计总体高估误差总额下界方法的性能比较AI 解读

Accurately estimating a lower bound on the total overstatement error in an accounting population is important in many audit decision situations. This article reports the results of a simulation study of three lower-bound estimation procedures based on a multinomial model with a dollar-unit sampling scheme. The ability of each procedure to attain a specified confidence level is assessed with respect to changes in error rate and random sampling method. The simulation study…

轮换面板两阶段抽样下的价格指数方差估计AI 解读

Price index estimation is often based on complex rotating panel surveys. At each period, a time series of data is available for use in estimation. This paper examines how best to combine data for estimation of long-term and short-term changes and how to estimate the variances of the estimators in the context of two-stage sampling. Linearization estimators of variance for indexes of long- and short-term change are derived. The theory is supported by a simulation study using…

半参数 ARCH 模型AI 解读

A semiparametric ARCH model is introduced with conditional first and second moments given by ARMA and ARCH formulations, and a conditional density that is approximated by a nonparametric density estimator. For several densities, the relative efficiency of the quasi-maximum likelihood estimator is compared with maximum likelihood under correct specification. These potential efficiency gains for a fully adaptive procedure are compared in a Monte Carlo experiment with the…

摘要暂缺

部分调整模型中调整速度的估计AI 解读

We reexamine a recent controversy in the inventory literature regarding the impact of estimator choice on estimated speeds of adjustment in partial adjustment models. We compare the properties of two asymptotically equivalent estimators, the residual-adjusted Aitken (RAA) and nonlinear least squares (NLS) estimators. Our results indicate that (a) the RAA estimator is very sensitive to the quality of the instrument used in first-round estimation, and (b) model…

This article considers testing for first-order moving average against first-order autoregressive disturbances in the linear-regression model. Tests investigated include approximate point-optimal invariant (POI) tests, an asymptotic test of the second-order residual autocorrelation coefficient, and a Lagragne multiplier (LM) test. A Monte Carlo experiment compares their small-sample performances. Of the asymptotic tests, the LM test has the most satisfactory sizes, but its…

The goodness-of-fit statistic for fixed effects models is shown to simplify to the degrees of freedom times the R(superscript "2") from a regression of analysis of covariance residuals on right hand side variables. This result is applied to test models for union wage effects. Identification and estimation of the return to schooling in models with fixed effects is also discussed. Analysis of covariance estimates of the returns to schooling are precisely estimated and roughly…

A stochastic macroeconomic model with no free parameters can be tested by comparing its features, such as moments, with those of data. Repeated simulation allows exact tests and gives the distribution of the sample moment under the null hypothesis that the model is true. The authors calculate the size of tests of the model studied by R. Mehra and E. C. Prescott. The approximate size of their test (which seeks to match model-generated, mean, risk-free interest rates and…

This article reviews several techniques useful for forming point and interval predictions in regression models with Box-Cox transformed variables. The techniques reviewed--plug-in, mean squared error analysis, predictive likelihood, and stochastic simulation--take account of nonnormality and parameter uncertainty in varying degrees. A Monte Carlo study examining their small-sample accuracy indicates that uncertainty about the Box-Cox transformation parameter may be…

反向回归、共线性与就业歧视：一则札记AI 解读

This note refutes M. M. Whiteside and A. Narayanan's (1989) recent assertion that the conflict between direct and reverse regression for discrimination assessment (as pointed out by D. A. Conway and H. V. Roberts [1986] and others) is due to the collinearity in the data. Their mistake stems from misunderstanding of the elementary relationship between partial and multiple correlation coefficients.

平稳时间序列长期性质的检验AI 解读

In this article, a Wald test is developed for testing long-run properties of stationary time series. The authors specialize the test and consider testing the long-run independence of two time series. They examine two applications of the test for long-run independence.

实际产出的跨期性质：贝叶斯分析AI 解读

This paper analyzes the univariate properties of real output and extends traditional analyzes in three ways: (1) a Bayesian approach is taken; (2) extensive cross-country comparisons are performed; and (3) a model is developed which allows for the possibility that real output may be fractionally integrated. In addition, standard comparisons between ARIMA and deterministic trend models are made. The class of fractionally integrated processes, while possessing certain…

统计异常值分析用于监测医疗质量的有效性AI 解读

Researchers have proposed that hospitals with excessive statistically unexplained mortality rates are more likely to have quality of care problems. The U.S. Health Care Financing Administration uses this statistical "outlier" approach to screen for poor quality hospitals. Little is known, however, about the validity of this technique because direct quality measures are difficult to obtain. Monte Carlo methods are employed to evaluate outlier technique performance as…

Box–Cox 回归模型的预测方法AI 解读

This article reviews several techniques useful for forming point and interval predictions in regression models with Box-Cox transformed variables. The techniques reviewed--plug-in, mean squared error analysis, predictive likelihood, and stochastic simulation--take account of nonnormality and parameter uncertainty in varying degrees. A Monte Carlo study examining their small-sample accuracy indicates that uncertainty about the Box-Cox transformation parameter may be…

线性回归模型中移动平均扰动与自回归扰动的检验AI 解读

This article considers testing for first-order moving average against first-order autoregressive disturbances in the linear-regression model. Tests investigated include approximate point-optimal invariant (POI) tests, an asymptotic test of the second-order residual autocorrelation coefficient, and a Lagragne multiplier (LM) test. A Monte Carlo experiment compares their small-sample performances. Of the asymptotic tests, the LM test has the most satisfactory sizes, but its…

This article calculates jackknife variance estimators for parameters of the Gini method. For nonstratified samples, the calculation of the jackknife variance estimation requires only two runs over the data. Therefore, it enables users of the Gini method to calculate standard errors of the estimates using a standard personal computer.

普通股收益分布偏度与尾部延展性的数据分析AI 解读

This article explores the nature of skewness and elongation in daily common-stock-return distributions of individual firms using estimates of g (for skewness) and h (for elongation) obtained form Turkey's g and h distributions. Both parametric and nonparametric (bootstrap) estimates of standard errors of the g estimates are computed and compared. Daily return distributions are first examined cross-sectionally over a large sample of firms. The estimates of the skewness…

One of the most common practical problems in statistics and econometrics is the estimation of linear regression models with heteroscedastic errors. This article reports the results of a Monte Carlo comparison of various parametric and semiparametric estimated generalized least squares (EGLS) estimators. In small-sized (20) and sometimes medium-sized (50) samples, ordinary least squares dominated the other techniques for low levels of heteroscedasticity. In medium-sized…

摘要暂缺

I consider estimation and seasonal adjustment of population means based on rotating panel surveys carried out at regular time intervals. The analysis uses a dynamic structural model that assumes a decomposition of the mean into a trend-level component and a seasonal component. The model accounts for the correlations between individual panel estimators and for possible rotation group effects. It can be applied to general rotation patterns using either the individual panel…

新古典宏观框架下名义货币与实际产出的贝叶斯分析AI 解读

This study investigates the empirical evidence on the effects of unanticipated changes in nominal money on real output in 47 countries when viewed through a window (i.e., likelihood function) that assumes the neutrality of anticipated changes. Using a Bayesian predictivist approach, it provides a pedagogical Bayesian analysis of generated regressor models in the face of specification uncertainty involving, among other things, multiple unit root and trend stationary…

能否改进非农就业增长的初步估计？AI 解读

We explore the feasibility of improving upon the preliminary estimates of payroll employment growth from the U.S. Bureau of Labor Statistics by predicting subsequent revisions to these estimates, using the preliminary estimates themselves and other information available concurrently. Results of statistical tests suggest that the preliminary estimates can be improved upon; that is, they are not "efficient forecasts" of the revised estimates. The improvement of preliminary…