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嵌套 Logit 模型的有效估计AI 解读

This article examines the sequential, full information maximum likelihood (FIML), and linearized maximum likelihood (LML) estimators for a nested logit model of time-of-day choice for work trips. These estimators are compared using a Monte Carlo study based on specification and data from a previously published empirical study. The sequential estimator is found to be much less efficient than LML or FIML, and its uncorrected second-stage standard-error estimates are strongly…

创新扩散：方法论的重新审视AI 解读

Studies of diffusion have traditionally relied on specific distributions, primarily the logistic, to characterize and estimate those processes. We argue that such an approach gives rise to serious problems of comparability and interpretation and may result in large biases in the estimates of the parameters of interest. We propose instead the Gini's expected mean difference as a measure of diffusion speed. We discuss its advantages over the traditional approach, present a…

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一份来自前线的报告AI 解读

This study provides quantitative evidence of the professional impact of the Bayesian viewpoint as measured by the percentage of pages devoted to Bayesian topics in econometrics textbooks and leading econometrics and statistics journals.

多元时间序列结构稳定性的预测检验AI 解读

Comparing forecasts with actually observed values is one possible way to check the structural stability of time series. In this study, prediction tests based on this principle are investigated in the context of multiple time series analysis. It is found that the power of tests based on univariate series may exceed that of tests based on multivariate series and vice versa. Therefore, it is proposed to use both kinds of tests in practice. The tests are used to investigate the…

时间序列模型适切性检验的蒙特卡洛研究AI 解读

In this article, we conduct a Monte Carlo experiment of several computationally attractive tests of model adequacy in time series analysis. The experiment is designed to examine the small-sample properties of tests of fitted autoregressive and moving average models, to compare the performances of asymptotically equivalent procedures, to consider the effects on estimated significance levels and powers of testing against both appropriate and inappropriate alternatives, to…

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对 Freedman 无应答案例研究的另一种解释AI 解读

Further analysis of the response–nonresponse data presented by Freedman (1986) shows evidence of a nonresponse bias. Covariates can be useful in comparing respondents with nonrespondents; however, we argue that they were not effective in this case. Follow-up sampling would provide stronger evidence concerning the similarity of the two groups.

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周期自回归模型预测英国季节性消费的表现AI 解读

The parameters of a periodic model are allowed to vary according to the time at which observations are made. Periodic autoregressive models are fitted to the quarterly values of seasonally unadjusted real nondurable consumers' expenditure for the United Kingdom and its components. The periodic model offers no improvement over conventional specifications if the aggregate is modeled directly. On the other hand, periodic models generally perform well for the components, which…

使用杂乱数据估计基于生产前沿的技术效率：影响与后果AI 解读

An empirical study of efficiency at the plant level, requiring production and financial data, was done using frontier function specifications. It is not evident from the implementation of the production-frontier models that different methodologies will consistently flag the same observations as being efficient or inefficient. As a result, outlier diagnostics for individual observations and for subsets of observations are used to achieve a relative index of influentiality…

修订后月度进口统计的备选估计量比较AI 解读

The import carryover problem and the estimator of revised monthly import level are described. Two alternative estimators are developed. The performance of these estimators and the estimators of month-to-month change derived from them are investigated.

Using a generalized specification of the single-index market model, this study examines the sources of statistical anomalies previously found in estimating the market model. Two generalized models are developed for juxtaposition with the traditional linear specification. The most general model is a Box–Cox model with different λ's and heteroscedastic errors. The empirical results indicate that previous findings of significant “nonlinearities” are primarily attributable to…

Under given concrete exogenous conditions, the fraction of identifiable records in a microdata file without positive identifiers such as name and address is estimated. The effect of possible noise in the data, as well as the sample property of microdata files, is taken into account. Using real microdata files, it is shown that there is no risk of disclosure if the information content of characteristics known to the investigator (additional knowledge) is limited. Files with…

十九个 OECD 国家实际 GDP 的长期与周期行为：1957—1983年AI 解读

Log per capita real gross domestic product is modeled as a third-order autoregression with a pair of complex roots whose amplitude is smaller than the amplitude of the real root. The behavior of this terms series is interpreted in terms of these two amplitudes, the periodicity of the complex roots, and the standard deviation of the disturbance. Restrictions are evaluated and inference is conducted using the likelihood principle, applying Monte Carlo integration with…

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Janson is to be commended for elements of his study. His insistence on using a priori knowledge of the system that he is modeling and his critical examination of the data are two demonstrably worthwhile steps that, although well known to many, are all too often ignored by many others. This article thus provides important reminders, and applause is in order. Unfortunately, there are also substantive grounds for criticism. First, the author does not fully discover important…

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