日期精度：到日 997 篇 · 到月 1360 篇 · 到年 24 篇
实验面板数据中的样本流失与劳动供给反应：替代校正程序研究
Philip K. Robins, Richard W. West, Sample Attrition and Labor Supply Response in Experimental Panel Data: A Study of Alternative Correction Procedures, Journal of Business & Economic Statistics, Vol. 4, No. 3 (Jul., 1986), pp. 329-338
分段线性预算约束的计量经济学：综述与最大似然方法阐释
Robert Moffitt, The Econometrics of Piecewise-Linear Budget Constraints: A Survey and Exposition of the Maximum Likelihood Method, Journal of Business & Economic Statistics, Vol. 4, No. 3 (Jul., 1986), pp. 317-328
系统性缺失观测下向量 ARMA 过程的预测
The following two predictors are compared for time series with systematically missing observations: (a) A time series model is fitted to the full series Xt , and forecasts are based on this model, (b) A time series model is fitted to the series with systematically missing observations Y τ, and forecasts are based on the resulting model. If the data generation processes are known vector autoregressive moving average (ARMA) processes, the first predictor is at least as…
幂指数分布族内的正态性诊断检验
This article develops the locally uniformly most powerful unbiased Lagrange multiplier test of normality of regression disturbances within the family of power exponential distributions. The small sample power properties of the test are compared in a Monte Carlo study with 6 well-known tests across 12 alternative nonnormal distributions. In addition, the finite sample power properties for nonnormal alternatives within the power exponential family are summarized by estimating…
分段线性预算约束的计量经济学
In this article maximum likelihood techniques for estimating consumer demand functions when budget constraints are piecewise linear are exposited and surveyed. Consumer demand functions are formally derived under such constraints, and it is shown that the functions are themselves nonlinear as a result. The econometric problems in estimating such functions are exposited, and the importance of the stochastic specification is stressed, in particular the specification of both…
岭回归中自助法与交叉验证的应用
Several existing methods for the choice of the ridge parameter are reviewed, and a bootstrap method is proposed. The bootstrap provides independent measures of prediction errors based on multiple predictions along with an estimate of the standard error of prediction. The bootstrap and selected competitors are compared through Monte Carlo simulations for various degrees of design matrix collinearity and varying levels of signal-to-noise ratio. The procedure is also…
线性 logit 模型中的奇异性与自回归扰动
The implications of including autoregressive disturbances in linear logit models of demand systems are explored. It is argued that the normality assumption of the error terms is more appropriate in the linear logit model than in a share equation model with additive disturbances (commonly found in the literature). Autoregressive disturbances and their implications for model estimation are discussed in that context. Both theoretical arguments and empirical evidence are…
利用 Kalman 滤波估计不可观测的月度预期通胀
Hamilton developed a technique for estimating financial market expectations of inflation based on the observed time-series properties of interest rates and inflation. The technique is based on a state-space representation derived from an underlying vector autoregressive process of the expected real interest rate and the expected inflation rate on lagged expectations and lagged values of the observed Treasury bill rate and the actual inflation rate. This article extends this…
分组数据估计的基尼及相关不平等指数界限的大样本理论
The joint asymptotic distribution of the upper and lower bounds for the Gini index derived by Gastwirth for grouped data are obtained. From them a conservative asymptotically distribution-free confidence interval for the population Gini index is presented. The methods also yield similar results for other indices of inequality (e.g., Theil's and Atkinson's).
卡方拟合优度检验在离散普通股收益中的应用
This article presents the “centered” method for establishing cell boundaries in the X 2 goodness-of-fit test, which when applied to common stock returns significantly reduces the high bias of the test statistic associated with the traditional Mann–Wald equiprobable approach. A modified null hypothesis is proposed to incorporate explicitly the usually implicit assumption that the observed discrete returns are “approximated” by the hypothesized continuous density. Simulation…
认股权证价格对股票价格变化的调整速度
This article reports on work designed to measure the time required for a change in a stock's price to be fully reflected in the price of a warrant on that stock. The method employed to measure the adjustment speed is the bivariate transfer function technique of Box and Jenkins. An interesting aspect of the study is the use of trade-by-trade data for measuring stock and warrant returns. The evidence presented here suggests that warrant prices adjust quickly to changes in…
资本服务价格定义对要素替代判断的系统性影响
Earlier attempts at reconciling disparate substitution elasticity estimates examined differences in separability hypotheses, data bases, and estimation techniques, as well as methods employed to construct capital service prices. Although these studies showed that differences in elasticity estimates between two or three studies may be attributable to the aforementioned features of the econometric models, they have been unable to demonstrate this link statistically and…
结合显著性预检验的最优样本设计
A common problem faced in social experiments is that of designing a sampling strategy before it is known whether various control groups can be pooled. The classical sample choice is between a large supposedly unpoolable sample or a smaller supposedly poolable sample. This article suggests a compromise strategy between these two extremes based on preliminary tests of significance that allow one to embed judgments about the likelihood of pooling into a classical sample design…
管理决策的定量方法
ciation of the exchange rate. Then Lopez-Claros argues that this was not practical, since interest rate data were inaccurate for Latin American countries, in part because of the numerous government regulations. The final modeling paper is written by Adcock. He develops a model to forecast the percentage of network terminating points on a given network service as a function of time and data transmission speed. Also described is a model for the take-up of a new service.
非正态误差与二次损失下的位置参数估计
Assuming a statistical model in which the joint distribution of the unobservable errors is drawn from independent univariate Student t's that are identically and symmetrically distributed, the sampling performance of traditional robust estimators and a family of Stein-like estimators are compared and evaluated. These results suggest that under thick-tailed distributions, the relative sampling performances and risk characteristics for a range of nonconventional Stein…
有助于实施 Litterman 时间序列插值程序的两项结果
Litterman (1983) recently suggested a modification to the rameter to be accurate. Litterman's notation is followed Chow and Lin (1971) and Fernandez (1981) procedures for throughout. interpolating monthly data from an observed quarterly time series. ~riefl~ stated, the Litterman proceduri involves obtaining generalized least squares (GLS) forecasts of the monthly 2. THE LITTERMAN PROCEDURE IN BRIEF values of interest-the GLS estimates determined from quar- Letting Y* denote…
轮换组偏差对失业估计的影响
Previous analysis of rotation group bias in the Current Population Survey has concluded that if the biases are additive, the ratio and composite estimators of month-to-month change in unemployment are unbiased. This article shows that if the biases contain a multiplicative aspect, both estimators of change are then biased. The article also presents some empirical results that cast doubt on the validity of a purely additive model.
ARCH 与双线性时间序列模型：比较与结合
Two extensions to the ARMA model, bilinearity and ARCH errors are compared, and their combination is considered. Starting with the ARMA model, tests for each extension are discussed, along with various least squares and maximum likelihood estimates of the parameters and tests of the estimated models based on these. The effects each may have on the identification, estimation, and testing of the other are given, and it is seen that to distinguish between the two properly, it…
缺失季度观测的近似构造与使用：基于模型的方法
We use a model-based approach to derive quarterly figures on several variables for the aggregate labor market in the Netherlands that are only observed annually. These approximations are conditional expectations derived from univariate and bivariate quarterly time series models for the series under consideration. They are subsequently used as proxies to estimate and analyze the structural labor market equations. Attention is given to the properties of estimation procedures…
使用贝叶斯向量自回归进行预测：五年经验
The results obtained in five years of forecasting with Bayesian vector autoregressions (BVAR's) demonstrate that this inexpensive, reproducible statistical technique is as accurate, on average, as those used by the best known commercial forecasting services. This article considers the problem of economic forecasting, the justification for the Bayesian approach, its implementation, and the performance of one small BVAR model over the past five years.
不同技术的预测准确性：美国宏观经济预测比较
(1986). Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts. Journal of Business & Economic Statistics: Vol. 4, No. 1, pp. 5-15.
评论：借助 Freedman 式协变量处理无应答问题的贝叶斯视角
David Freedman has presented an ingenious and deceptively simple argument that should prove to be of value in many nonrespondent problems. I would like to discuss both the general form of the argument and the specific details from a subjective Bayesian viewpoint, as I believe the argument implicitly involves some delicate questions that are best understood from this viewpoint. The basic structure of Freedman's argument is that although he concedes in general that there may…
无应答的案例研究：原告诉加利福尼亚州税务均衡委员会
In any sample survey, nonresponse bias is a potential issue. Even with a moderately high nonresponse rate, however, covariates can sometimes be used to show that the nonresponse bias is likely to be small. This note presents such an argument, which was used by the winning side in a tax case.