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《用结构模型与 Box–Jenkins 模型预测经济时间序列：案例研究》答复AI 解读

A. C. Harvey, P. H. J. Todd, [Forecasting Economic Time Series with Structural and Box-Jenkins Models: A Case Study]: Response, Journal of Business & Economic Statistics, Vol. 1, No. 4 (Oct., 1983), pp. 313-315

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有理分布滞后结构模型中的滞后设定AI 解读

This article presents methods for the preliminary specification of distributed lags in structural models in the absence of sufficient a priori information. It is argued that an instrumental-variables procedure produces good results as long as the goodness of fit in the instrument equations is satisfactory. When this is not the case, simple OLS specification is preferable to more complex instrumental-variables methods, even though it may produce some spurious parameters. The…

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用多项式改变线性回归模型的系数AI 解读

Polynomials are commonly used in linear regression models to capture nonlinearities in explanatory variables. It is less common, however, that polynomials are used to shift the regression coefficients, an exception being the use of polynomially distributed lag coefficients. This note recommends the technique for a wider range of applications and suggests the Lagrangian interpolation representation as the most convenient for practitioners.

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讨论：位似可分性对份额方程价格弹性的含义AI 解读

The assumption of homothetically separable utility (HSU) has been widely used in many recent studies of consumer demand. Atkinson (1979,1981), Caves and Christensen (1980), and Lau and Lillard (1979) maintain rather than test HSU in estimating price elasticities for electricity time-of-use pricing experiments, because of the nature of the data collected. Maintaining HSU when it cannot be supported by the structure of consumer preferences may lead to substantial biases in…

检验生产的随机结构：一种灵活的矩方法AI 解读

Conventional production function specifications are shown to impose restrictions on the probability distribution of output that cannot be tested with the conventional models. These restrictions have important implications for firm behavior under uncertainty. A flexible representation of a firm's stochastic technology is developed based on the moments of the probability distribution of output. These moments are a unique representation of the technology and are functions of…

利用相关序列进行数据分解AI 解读

Quarterly real GNP and implicit GNP deflator series are derived for the 1948–1970 period using the related series technique of Chow and Lin. These estimated series are compared with the official, revised series; to official, unrevised series; and to univariate proxies using regression, time series, and spectral methods. The derived series possess autocorrelation and turning point characteristics similar to those of the official, revised series. The derived series also…

位似可分性下价格弹性估计的偏误：对电力高峰负荷定价分析的含义——讨论AI 解读

Richard W. Parks, [The Bias in Price Elasticity Estimates under Homothetic Separability: Implications for Analysis of Peak-Load Electricity Pricing]: Discussion, Journal of Business & Economic Statistics, Vol. 1, No. 3 (Jul., 1983), pp. 221-225

《位似可分性下价格弹性估计的偏差：对电力峰荷定价分析的含义》答复AI 解读

Daniel F. Kohler, [The Bias in Price Elasticity Estimates under Homothetic Separability: Implications for Analysis of Peak-Load Electricity Pricing]: Response, Journal of Business & Economic Statistics, Vol. 1, No. 3 (Jul., 1983), pp. 226-228

《位似可分性下价格弹性估计的偏差：对电力峰荷定价分析的含义》讨论AI 解读

Douglas W. Caves, Laurits R. Christensen, [The Bias in Price Elasticity Estimates under Homothetic Separability: Implications for Analysis of Peak-Load Electricity Pricing]: Discussion, Journal of Business & Economic Statistics, Vol. 1, No. 3 (Jul., 1983), pp. 219-220

含趋势与季节性的时间序列预测AI 解读

A maximization of the expected entropy of the predictive distribution interpretation of Akaike's minimum AIC procedure is exploited for the modeling and prediction of time series with trend and seasonal mean value functions and stationary covariances. The AIC criterion best one-step-ahead and best twelve-step-ahead prediction models can be different. The different models exhibit the relative optimality properties for which they were designed. The results are related to open…

响应变量存在缺失观测的多元回归贝叶斯推断AI 解读

We discuss the case of the multivariate linear model Y = XB + E with Y an (n × p) matrix, and so on, when there are missing observations in the Y matrix in a so-called nested pattern. We propose an analysis that arises by incorporating the predictive density of the missing observations in determining the posterior distribution of B, and its mean and variance matrix. This involves us with matric-T variables. The resulting analysis is illustrated with some Canadian economic…

用普通最小二乘进行 Logistic 回归与判别分析AI 解读

If the observations for fitting a polytomous logistic regression model satisfy certain normality assumptions, the maximum likelihood estimates of the regression coefficients are the discriminant function estimates. This article shows that these estimates, their unbiased counterparts, and associated test statistics for variable selection can be calculated using ordinary least squares regression techniques, thereby providing a convenient method for fitting logistic regression…

用于时间序列分配的随机游走—马尔可夫模型AI 解读

This article describes a technique for distributing quarterly time series across monthly values. The method generalizes an approach described by Fernández (1981). The article also presents results of a test of the accuracy of these two approaches and of the accuracy of two standard procedures suggested by Chow and Lin (1971).

利用合并汇总数据估计家庭短期电力需求AI 解读

Short-run household electricity demand has been estimated with conditional demand models by a variety of authors using both aggregate data and disaggregate data. Disaggregate data are most desirable for estimating these models. However, in many cases, available disaggregate data may be inappropriate. Furthermore, disaggregate data may be unavailable altogether. In these cases, readily available aggregate data may be more appropriate. This article develops and evaluates an…

衡量统计成本分摊的精度AI 解读

This article examines the use of regression analysis for allocating indirect costs. When multiple regression is used to estimate the weights of several allocation factors, conventional standard errors and correlation coefficients can be misleading with respect to the statistical precision of the cost allocations. This article develops alternative allocation approaches and measures of precision that use linear prediction theory and Bayesian inference. The proposed methods are…

样本不足时 Zellner 最小期望损失与完全信息极大似然估计的进一步结果AI 解读

The article presents a consistent set of conditions that a prior pdf for the reduced-form parameters must satisfy if Zellner's MELO estimators for the structural coefficients of a linear structural econometric model are to exist in all normal cases where the available sample is undersized. Also, the conditions under which the full information maximum likelihood estimators of structural coefficients exist are given. Finally, the article reports application of MELO estimation…

收入分布模型的若干抽样性质AI 解读

A recently proposed model for describing the distribution of income over a population, based on the Burr distribution, has been shown to fit better than the commonly used lognormal or gamma distributions. The current article extends that analysis by deriving the large-sample properties of the maximum likelihood estimates for this three-parameter model. Consequently, resulting confidence intervals for some measures of income inequality (including the Gini index) are used to…

非线性时间序列预测的一项应用AI 解读

By means of a real application, it is seen how ARIMA forecasts can be improved when nonlinearities are present. The autocorrelation function (ACF) of the squared residuals provides a convenient tool to check the linearity assumption. Once nonlinearity has been detected, parsimonious bilinear processes seem rather adequate to model it. The detection of nonlinearity and the forecast improvement appear to be rather robust with respect to changes in the linear and bilinear…