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向量自回归与现实AI 解读

This article questions the statistical significance of variance decompositions and impulse response functions for unrestricted vector auto regressions. It suggests that previous authors have failed to provide confidence intervals for variance decompositions and impulse response functions. Two methods of computing such confidence intervals are developed: first, using a normal approximation; second, using bootstrapped resampling. An example from Sims's work is used to…

测量误差诊断与性别歧视问题AI 解读

Numerical and graphical diagnostic tools are presented for studying the effect of explanatory-variable measurement errors on regression results when very rough knowledge about the measurement-error variances or reliabilities is available. These methods are exhibited on an example of sex discrimination in which male and female salaries are compared after adjustment for individual qualifications but the observed qualification variables are only proxies for what is actually…

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医疗服务需求的普通最小二乘与样本选择模型：蒙特卡洛比较AI 解读

Joel W. Hay, Robert Leu, Paul Rohrer, Ordinary Least Squares and Sample-Selection Models of Health-Care Demand: Monte Carlo Comparison, Journal of Business & Economic Statistics, Vol. 5, No. 4 (Oct., 1987), pp. 499-506

计量经济模型中的结构敏感性AI 解读

Essentials of Model Structure Procedures for Model Understanding Some Properties of the MQEM Preliminary Complete Model Dynamics Multiplier and Parameter Perturbations in the MQEM Reduced Models and the MQEM Bibliography Index.

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欧洲经济共同体生产调查预期的形成与预测表现：时间序列研究AI 解读

This article provides an empirical analysis of manufacturers' survey responses on short-term production expectations. If such surveys provide valid anticipations of production activity in customer industries, they should be valuable information to management in supplier industries. Two major questions are considered: (a) Are survey expectations valid predictors of future production activity as reported later by the manufacturers and/or as measured by official statistics? (b)…

医疗需求的普通最小二乘与样本选择模型：蒙特卡洛比较AI 解读

This article examines alternative econometric models for health-care demand estimation. The analysis compares the Rand Health Insurance Study two-part model with sample-selection model estimators in a Monte Carlo simulation experiment designed to approximate individual-level health-care demand conditions. The underlying variable distributions are taken from cross- sectional data for a Swiss 1981 population survey. Three sets of error distribution assumptions are…

单变量时间序列二阶差分的对称检验AI 解读

A test for the null hypothesis that a time series has characteristic equations with two unit roots is presented. The test, based on a standard regression computation, is shown to have good power properties when compared to previously existing tests.

交易日效应时间序列模型中的多重共线性问题AI 解读

This article discusses the multicollinearity problems associated with the estimation of time series models influenced by trading-day variation. An analysis of the design matrix is performed, and measures of the degree of multicollinearity are computed. The characteristics of the design matrix of a popular parameterization are also analyzed, and it is shown that in some cases use of this reparameterization significantly alleviates the multicollinearity problem.

似不相关 Tobit 回归的 EM 算法估计AI 解读

An expectation-maximum (EM) likelihood algorithm is used to estimate two seemingly unrelated Tobit regressions in which the dependent variables are truncated normal. An illustrative example on the determination of the life-health insurance and pension benefits is also given.

预测小麦出口：汇率是否重要？AI 解读

A vector autoregression is fit to recent U.S. data on wheat prices, wheat export sales, wheat export shipments, and exchange rates. Forecast error decompositions and out-of-sample forecasts indicate that exchange rates have little influence on wheat sales and shipments.

过度差分与季节模型等价性：⊖=1 时的月度均值与季节 ARIMA 模型AI 解读

Two general models for monthly seasonal time series are considered, one in which seasonality is modeled with monthly means and another in which seasonality is modeled with a (0, 1, 1)12 ARIMA structure. The models are shown to be equivalent if the seasonal moving average parameter (⊖) is 1 and if the same assumptions about the 12 initial observations are made for both models. The role of the assumptions about the initial observations is analyzed, and it is argued that for…

贝叶斯框架下归类、总体区分与概率确定中的影响观测检测AI 解读

Normal theory separation and allocation problems are discussed from a predictive point of view. Influence statistics are defined and employed to ascertain the impact that particular observations will have on the inferential goals—allocation of future observations, separation between populations, and the determination of probabilities for future cases. Methods are illustrated on a collection of financial data taken from Johnson and Wichern (1982).

Beta–二项模型的贝叶斯估计与预测AI 解读

The beta-binomial distribution, which is generated by a simple mixture model, has been widely applied in the social, physical, and health sciences. Problems of estimation, inference, and prediction have been addressed in the past, but not in a Bayesian framework. This article develops Bayesian procedures for the beta-binomial model and, using a suitable reparameterization, establishes a conjugate-type property for a beta family of priors. The transformed parameters have…

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含交易日变化的时间序列建模中的多重共线性问题AI 解读

Teresita S. Salinas, Steven C. Hillmer, Multicollinearity Problems in Modeling Time Series with Trading-Day Variation, Journal of Business & Economic Statistics, Vol. 5, No. 3 (Jul., 1987), pp. 431-436

未来需求的概率分布AI 解读

The bootstrapping technique of Efron (1979) is used to estimate the probability distribution of future electricity demand for Hydro Quebec. The application follows the regression approach of Freedman and Peters (1984a,b) but also allows for serially correlated disturbances and uncertainty in the independent variable forecasts.