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使用 GMM 自助法考察地方政府的动态行为AI 解读

Even though recent Monte Carlo evidence has shown that the use of bootstrap critical values, instead of asymptotic ones, improves the size of the tests substantially, empirical applications using GMM bootstrap techniques are largely missing. In this paper, the dynamic relationship between local government revenues and expenditures is re-investigated using GMM bootstrapping techniques on a panel of 265 Swedish municipalities over the period 1979-1987. A lag of one year is…

杂论：结合参数似然与经验似然AI 解读

Imbens & Lancaster (1994) pointed out that census reports can be interpreted as providing nearly exact knowledge of moments of the marginal distribution of economic variables. In this paper we show that empirical likelihood can effectively incorporate auxiliary information like this as long as it can be summarised as unbiased estimating equations. By combining empirical and parametric likelihoods, we show that the combined likelihood can produce valid inferences for the…

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协变量存在测量误差时的加性风险回归AI 解读

The additive hazards model specifies that the hazard function conditional on a set of covariates is the sum of an arbitrary baseline hazard function and a regression function of covariates. This article deals with the analysis of this semiparametric regression model with censored failure time data when covariates are subject to measurement error. We assume that the true covariate is measured on a randomly chosen validation set, whereas a Surrogate covariate (i.e., an…

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《基于模拟的计量经济学方法》书评AI 解读

The accessibility of high-performance computing power has always influenced theoretical and applied econometrics. Gouriéroux and Monfort begin their recent offering, Simulation-Based Econometric Methods , with a stylized three-stage classification of the history of statistical econometrics. In the first stage, lasting through the 1960's, models and estimation methods were designed to produce closed-form expressions for the estimators. This spurred thorough investigation of…

股票收益与股息收益率再考察：旧问题的新视角AI 解读

The problem of whether stock returns can he predicted from dividend yields is discussed. I apply a new statistical method for finding reliable confidence intervals for regression parameters in the context of dependent and possibly heteroscedastic data, called subsampling. The method works under very weak conditions and avoids the pitfalls of having to choose a structural model to fit to observed data. Appropriate simulation studies suggest that it has better small-sample…

基于经验特征函数的时间序列假设检验：广义谱密度方法AI 解读

The standardized spectral density completely describes serial dependence of a Gaussian process. For non-Gaussian processes, however, it may become an inappropriate analytic tool, because it misses the nonlinear processes with zero autocorrelation. By generalizing the concept of the standardized spectral density, I propose a new spectral tool suitable for both linear and nonlinear time series analysis. The generalized spectral density is indexed by frequency and a pair of…

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随机筛似然与一般回归模型AI 解读

Consider a semiparametric regression model Y = f(θ, X, ϵ), where f is a known function, θ is an unknown vector, ϵ consists of a random error and possibly of some unobserved variables, and the distribution F(·) of (ϵ, X) is unspecified. This article introduces, in a general setting, new methodology for estimating θ and F(·). The proposed method constructs a profile likelihood defined on random-level sets (a random sieve). The proposed method is related to empirical likelihood…

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基于经验似然的多重分位数图置信管AI 解读

The nonparametric empirical likelihood approach is used to obtain simultaneous confidence tubes for multiple quantile plots based on $k$ independent (possibly right-censored) samples. These tubes are asymptotically distribution free, except when both $k \geq 3$ and censoring is present. Pointwise versions of the confidence tubes, however, are asymptotically distribution free in all cases. The various confidence tubes are valid under minimal conditions. The proposed methods…

基于经验似然比的混合比例置信区间AI 解读

We consider the problem of estimating a mixture proportion using data from two different distributions as well as from a mixture of them. Under the model assumption that the log-likelihood ratio of the two densities is linear in the observations, we develop an empirical likelihood ratio based statistic for constructing confidence intervals for the mixture proportion. Under some regularity conditions, it is shown that this statistic converges to a chi-squared random variable.…

具有无限方差误差的 I(1) 过程之间的伪回归AI 解读

This paper considers spurious regression between integrated processes with stable errors. Our results show that the t -ratios diverge at the rate of √T, which is identical to what Phillips (1986, Journal of Econometrics 33, 311–340) has obtained for the Gaussian case. Therefore, it is the long memory in the dependent variable and regressors, instead of the moment conditions of the error terms, that causes the spurious regression.

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广义矩估计模型中的结构稳定性检验AI 解读

This article proposes a new methodology for testing structural stability in models estimated via generalized method of moments. Like most previous studies of this general problem, attention is focused on the case in which some aspect of the model potentially changes at a single point in the sample, known as the “breakpoint.” Unlike this earlier work, however, our approach is based on a decomposition of the null hypothesis into two components involving parameter constancy and…

广义矩估计中的一致矩条件选择程序AI 解读

This paper considers a generalized method of moments (GMM) estimation problem in which one has a vector of moment conditions, some of which are correct and some incorrect. The paper introduces several procedures for consistently selecting the correct moment conditions. Application of the results of the paper to instrumental variables estimation problems yields consistent procedures for selecting instrumental variables. The paper specifies moment selection criteria that are…

存在干扰参数时的经验似然AI 解读

Empirical likelihood was introduced as a nonparametric analogue of ordinary parametric likelihood. It is well known that the empirical likelihood ratio statistic inherits a number of properties of the parametric likelihood ratio statistic, such as the aymptotic chi-squared distribution and Bartlett correctability. This raises the question of whether or not the same is true in the presence of nuisance parameters. Recent work by Qin & Lawless (1994) indicates that the…

非参数似然比置信区间AI 解读

We consider construction of two-sided nonparametric confidence intervals in a smooth function model setting. A nonparametric likelihood approach based on Stein's least favourable family is proposed as an alternative to empirical likelihood. The approach enjoys the same asymptotic properties as empirical likelihood, but is analytically and computationally less cumbersome. The simplicity of the method allows us to propose and analyse asymptotic and bootstrapping techniques as…

二元选择模型中位置参数的半参数估计AI 解读

This paper considers the estimation of a location parameter in the binary choice model with some weak distributional assumptions imposed on the error term in the latent regression model. Two estimators are proposed here, both of which are two-step estimators; in the first step, the slope parameters are consistently estimated by existing methods; in the second step, the location parameter is consistently estimated based on a moment condition. The estimators are shown to be…

面板数据的对称归一化工具变量估计AI 解读

The authors discuss the estimation of linear panel-data models with sequential moment restrictions using symmetrically normalized generalized method of moments (SNM) estimators and limited information maximum likelihood (LIML) analogues. These estimators are asymptotically equivalent to standard generalized method of moments (GMM) estimators but are invariant to normalization and tend to have a smaller finite-sample bias, especially when the instruments are poor. The authors…

杂论：经验差异统计量的 Bartlett 调整AI 解读

We introduce two classes of empirical discrepancy statistics that extend empirical likelihood, and establish simple conditions under which they admit Bartlett adjustment.