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一类间接推断估计量：高阶渐近性质与近似偏误校正AI 解读

In this paper, we define a set of indirect inference estimators based on moment approximations of the auxiliary estimators. Their introduction is motivated by reasons of analytical and computational facilitation. Their definition provides an indirect inference framework for some classical bias correction procedures. We derive higher‐order asymptotic properties of these estimators. We demonstrate that under our assumption framework, and in the special case of deterministic…

二元响应模型中基于准则函数的集合估计量的非标准收敛速度AI 解读

This paper establishes consistency and non‐standard rates of convergence for set estimators based on contour sets of criterion functions for a semi‐parametric binary response model under a conditional median restriction. The model can be partially identified due to potentially limited‐support regressors and an unknown distribution of errors. A set estimator analogous to the maximum score estimator is essentially cube‐root consistent for the identified set when a continuous…

个体固定效应线性动态面板模型的自助法推断AI 解读

This paper’s main contribution is to propose and theoretically justify the application of bootstrap methods for inference in autoregressive panel data models with fixed effects. Whereas the focus of the existing literature has been on bias correcting the standard fixed effects OLS estimator (due to the well known incidental parameter bias), our focus here is on improving the quality of inference by relying on the bootstrap instead of the standard normal distribution when…

随机效应元分析AI 解读

Meta-analysis is widely used to compare and combine the results of multiple independent studies. To account for between-study heterogeneity, investigators often employ random-effects models, under which the effect sizes of interest are assumed to follow a normal distribution. It is common to estimate the mean effect size by a weighted linear combination of study-specific estimators, with the weight for each study being inversely proportional to the sum of the variance of the…

AR(1) 模型中 t 统计量的二阶展开AI 解读

The purpose of this paper is to differentiate between several asymptotically valid methods for confidence set construction for the autoregressive coefficient in AR(1) models. We show that the nonparametric grid bootstrap procedure suggested by Hansen (1999, Review of Economics and Statistics 81, 594–607) achieves a second order refinement in the local-to-unity asymptotic approach when compared with a modified version of Stock’s (1991, Journal of Monetary Economics 28,…

厚尾分布的参数 bootstrapAI 解读

It is known that Efron’s bootstrap of the mean of a distribution in the domain of attraction of the stable laws with infinite variance is not consistent, in the sense that the limiting distribution of the bootstrap mean is not the same as the limiting distribution of the mean from the real sample. Moreover, the limiting bootstrap distribution is random and unknown. The conventional remedy for this problem, at least asymptotically, is either the m out of n bootstrap or…

交互固定效应面板模型的设定检验AI 解读

In this paper, we propose a consistent nonparametric test for linearity in a large dimensional panel data model with interactive fixed effects. Both lagged dependent variables and conditional heteroskedasticity of unknown form are allowed in the model. We estimate the model under the null hypothesis of linearity to obtain the restricted residuals which are then used to construct the test statistic. We show that after being appropriately centered and standardized, the test…

非线性估计量偏差与方差三阶修正的一般方法AI 解读

Motivated by a recent study of Bao and Ullah (2007a) on finite sample properties of MLE in the pure SAR (spatial autoregressive) model, a general method for third-order bias and variance corrections on a nonlinear estimator is proposed based on stochastic expansion and bootstrap. Working with concentrated estimating equation simplifies greatly the high-order expansions for bias and variance; a simple bootstrap procedure overcomes a major difficulty in analytically evaluating…

存在删失与内生性时的分位数回归AI 解读

In this paper we develop a new censored quantile instrumental variable (CQIV) estimator and describe its properties and computation. The CQIV estimator combines Powell (1986) censored quantile regression (CQR) to deal with censoring, with a control variable approach to incorporate endogenous regressors. The CQIV estimator is obtained in two stages that are nonadditive in the unobservables. The first stage estimates a nonadditive model with infinite dimensional parameters for…

嵌套预测模型比较：检验预测精度相等的新方法AI 解读

We develop methods for testing whether, in a finite sample, forecasts from nested models are equally accurate. Most prior work has focused on a null of equal accuracy in population — basically, whether the additional coefficients of the larger model are zero. Our asymptotic approximation instead treats the coefficients as non-zero but small, such that, in a finite sample, forecasts from the small and large models are expected to be equally accurate. We derive the limiting…

半参数与非参数条件矩模型的筛法 Wald 与 QLR 推断AI 解读

This paper considers inference on functionals of semi/nonparametric conditional moment restrictions with possibly nonsmooth generalized residuals, which include all of the (nonlinear) nonparametric instrumental variables (IV) as special cases. These models are often ill-posed and hence it is difficult to verify whether a (possibly nonlinear) functional is root-n estimable or not. We provide computationally simple, unified inference procedures that are asymptotically valid…

存在缺失观测时的有效分位数回归分析AI 解读

This article examines the problem of estimation in a quantile regression model when observations are missing at random under independent and nonidentically distributed errors. We consider three approaches of handling this problem based on nonparametric inverse probability weighting, estimating equations projection, and a combination of both. An important distinguishing feature of our methods is their ability to handle missing response and/or partially missing covariates,…

分层抽样下聚类失效时间的半参数加速失效时间建模AI 解读

Clustered failure times often arise from studies with stratified sampling designs where it is desired to reduce both cost and sampling error. Semiparametric accelerated failure time (AFT) models have not been used as frequently as Cox relative risk models in such settings due to lack of efficient and reliable computing routines for inferences. The challenge roots in the nonsmoothness of the rank-based estimating functions, and for clustered data, the asymptotic properties of…

当偏差压倒方差：DEA 与 FDH 效率得分的中心极限定理AI 解读

Data envelopment analysis (DEA) and free disposal hull (FDH) estimators are widely used to estimate efficiencies of production units. In applications, both efficiency scores for individual units as well as average efficiency scores are typically reported. While several bootstrap methods have been developed for making inference about the efficiencies of individual units, until now no methods have existed for making inference about mean efficiency levels. This paper shows that…

格点过程的模型设定检验AI 解读

We consider an omnibus test for the correct specification of the dynamics of a sequence $\left\{ {x\left( t \right)} \right\}_{t \in Z^d } $ in a lattice. As it happens with causal models and d = 1, its asymptotic distribution is not pivotal and depends on the estimator of the unknown parameters of the model under the null hypothesis. One first main goal of the paper is to provide a transformation to obtain an asymptotic distribution that is free of nuisance parameters.…

每个外层样本仅用一次内层模拟的双重 Bootstrap 方法AI 解读

We show that, when the double bootstrap is used to improve performance of bootstrap methods for bias correction, techniques based on using a single double-bootstrap sample for each single-bootstrap sample can produce third-order accuracy for much less computational expense than is required by conventional double-bootstrap methods. However, this improved level of performance is not available for the single double-bootstrap methods that have been suggested to construct…

一般因子设计中的渐近置换检验AI 解读

Summary In general factorial designs where no homoscedasticity or a particular error distribution is assumed, the well-known Wald-type statistic is a simple asymptotically valid procedure. However, it is well known that it suffers from a poor finite sample approximation since the convergence to its χ 2 limit distribution is quite slow. This becomes even worse with an increasing number of factor levels. The aim of the paper is to improve the small sample behaviour of the…

空间误差动态面板模型的准极大似然估计AI 解读

We propose quasi maximum likelihood (QML) estimation of dynamic panel models with spatial errors when the cross-sectional dimension n is large and the time dimension T is fixed. We consider both the random effects and fixed effects models, and prove consistency and derive the limiting distributions of the QML estimators under different assumptions on the initial observations. We propose a residual-based bootstrap method for estimating the standard errors of the QML…

基于自助法临界值的空间依赖拉格朗日乘数检验AI 解读

To test the existence of spatial dependence in an econometric model, a convenient test is the Lagrange Multiplier (LM) test. However, evidence shows that, in finite samples, the LM test referring to asymptotic critical values may suffer from the problems of size distortion and low power, which become worse with a denser spatial weight matrix. In this paper, residual-based bootstrap methods are introduced for asymptotically refined approximations to the finite sample critical…

多变量时间序列的二阶平稳性检验AI 解读

It is well known that the discrete Fourier transforms (DFTs) of a second order stationary time series between two distinct Fourier frequencies are asymptotically uncorrelated. In contrast for a large class of second order nonstationary time series, including locally stationary time series, this property does not hold. In this paper these starkly differing properties are used to define a global test for stationarity based on the DFT of a vector time series. It is shown that…

完全区组设计的一种新置换检验统计量AI 解读

We introduce a nonparametric test statistic for the permutation test in complete block designs. We find the region in which the statistic exists and consider particularly its properties on the boundary of the region. Further, we prove that saddlepoint approximations for tail probabilities can be obtained inside the interior of this region. Finally, numerical examples are given showing that both accuracy and power of the new statistic improves on these properties of the…

区间数据下半参数二元响应模型的推断AI 解读

This paper studies the semiparametric binary response model with interval data investigated by Manski and Tamer (2002). In this partially identified model, we propose a new estimator based on MT’s modified maximum score (MMS) method by introducing density weights to the objective function, which allows us to develop asymptotic properties of the proposed set estimator for inference. We show that the density-weighted MMS estimator converges at a nearly cube-root-n rate. We…

空间依赖 Moran’s I 检验的自助法AI 解读

This paper is concerned with the use of the bootstrap for statistics in spatial econometric models, with a focus on the test statistic for Moran’s I test for spatial dependence. We show that, for many statistics in spatial econometric models, the bootstrap can be studied based on linear–quadratic (LQ) forms of disturbances. By proving the uniform convergence of the cumulative distribution function for LQ forms to that of a normal distribution, we show that the bootstrap is…

非平稳时间序列模型的设定检验AI 解读

In this paper, we consider a specification testing problem in nonlinear time series models with nonstationary regressors, and we propose using a nonparametric kernel‐based test statistic. The null asymptotics for the proposed nonparametric test statistic have been well developed in the existing literature. In this paper, we study the local asymptotics of the test statistic (i.e. the asymptotic properties of the test statistic under a sequence of general nonparametric local…