日期精度：到日 338 篇 · 到月 609 篇 · 到年 48 篇 · 未提供 1 篇
对偶似然
This paper introduces the concept of dual likelihood as a method of improving accuracy in inference situations depending on martingale estimating equations. Asymptotic results are given for the dual likelihood ratio statistic, and the structure of the family of alternatives is explored. Applications to survival analysis and also to time series, likelihood inference and independent observations are given. Connections to nonparametric likelihood (including empirical…
半参数回归泛函
A regression method is developed for a general class of functionals. A semiparametric linear model is adopted, and the regression parameters are estimated by maximizing a profiled nonparametric or empirical likelihood based on a local estimate of the conditional distribution function. Simulated and real data examples are shown, including an application of quantile regression to censored survival data from a clinical trial for myeloma.
半参数回归泛函
A regression method is developed for a general class of functionals. A semiparametric linear model is adopted, and the regression parameters are estimated by maximizing a profiled nonparametric or empirical likelihood based on a local estimate of the conditional distribution function. Simulated and real data examples are shown, including an application of quantile regression to censored survival data from a clinical trial for myeloma.
高频外汇市场数据结构模型的非参数估计
Empirical modeling of high-frequency currency market data reveals substantial evidence for nonnormality, stochastic volatility, and other nonlinearities. This paper investigates whether an equilibrium monetary model can account for nonlinearities in weekly data. The model incorporates time-nonseparable preferences and a transaction cost technology. Simulated sample paths are generated using Marcet's parameterized expectations procedure. The paper also develops a new method…
一类光滑半参数估计量的极限定理
We consider an econometric model based on a set of moment conditions which are indexed by both a finite-dimensional vector of interest, θ, and an infinite-dimensional parameter, h, which in turn depends upon both θ and another infinite-dimensional parameter, τ. The population moment conditions equal zero at θ = θ0. Estimators of θ0 are obtained by forming nonparametric estimates of h and τ, substituting them into the sample analog of the moment conditions, and choosing that…
针对半参数备择检验参数模型
This paper describes a method for testing a parametric model of the mean of a random variable Y conditional on a vector of explanatory variables X against a semiparametric alternative. The test is motivated by a conditional moment test against a parametric alternative and amounts to replacing the parametric alternative model with a semiparametric model. The resulting semiparametric test is consistent against a larger set of alternatives than are parametric conditional…
经验似然与一般估计方程
For some time, so-called empirical likelihoods have been used heuristically for purposes of nonparametric estimation. Owen showed that empirical likelihood ratio statistics for various parameters $\theta(F)$ of an unknown distribution $F$ have limiting chi-square distributions and may be used to obtain tests or confidence intervals in a way that is completely analogous to that used with parametric likelihoods. Our objective in this paper is twofold: first, to link estimating…
矩展开与最小距离估计的稳健性
This paper explores the robustness of minimum distance (GMM) estimators focusing particularly on the effect of intermediate covariance matrix estimation on final estimator performance. Asymptotic expansions to order O p ( n −3/2 ) are employed to construct O ( n −2 ) expansions for the variance of estimators constructed from preliminary least-squares and general M -estimators. In the former case, there is a rather curious robustifying effect due to estimation of the…
检验条件矩数量趋于无穷时卡方型检验的极限行为
In this paper, a consistent model specification test is proposed. Some consistent model specification tests have been discussed in econometrics literature. Those tests are consistent by randomization, display a discontinuity in sample size, or have an asymptotic distribution that depends on the data-generating process and on the model, whereas our test does not have one of those disadvantages. Our test can be viewed upon as a conditional moment test as proposed by Newey but…
回归泛函的级数估计
Two-step estimators, where the first step is the predicted value from a nonparametric regression, are useful in many contexts. Examples include a non-parametric residual variance, probit with nonparametric generated regressors, efficient GMM estimation with randomly missing data, heteroskedasticity corrected least squares, semiparametric regression, and efficient nonlinear instrumental variables estimators. The purpose of this paper is the development of consistency and…
有偏抽样问题中的经验似然
It is well known that we can use the likelihood ratio statistic to test hypotheses and to construct confidence intervals in full parametric models. Recently, Owen introduced the empirical likelihood method in nonparametric models. In this paper, we generalize his results to biased sample problems. A Wilks theorem leading to a likelihood ratio confidence interval for the mean is given. Some extensions, discussion and simulations are presented.
分位数的平滑经验似然置信区间
Standard empirical likelihood confidence intervals for quantiles are identical to sign-test intervals. They have relatively large coverage error, of size $n^{-1/2}$, even though they are two-sided intervals. We show that smoothed empirical likelihood confidence intervals for quantiles have coverage error of order $n^{-1}$, and may be Bartlett-corrected to produce intervals with an error of order only $n^{-2}$. Necessary and sufficient conditions on the smoothing parameter,…
未知变化点下参数不稳定与结构变化的检验
This paper considers tests for parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models that are suitable for estimation by generalized method of moments procedures. The asymptotic distributions of the test statistics considered here are nonstandard because the change point parameter only appears under the alternative hypothesis and not under the null. The tests considered here are shown to have nontrivial…
多元 M 估计中经验似然与经验鞍点近似的关系
By comparing the expansions of the empirical log-likelihood ratio and the empirical cumulant generating function calculated at the saddlepoint, we investigate the relationship between empirical likelihood and empirical saddlepoint approximations. This leads to a nonparametric approximation of the density of a multivariate M-estimator based on the empirical likelihood and, on the other hand, it provides nonparametric confidence regions based on the empirical cumulant…
序列相关对未知时点参数变化检验的影响
It is shown that serial correlation can produce striking effects in distributions of change-point statistics. Failure to account for these effects is shown to invalidate change-point tests, either through increases in the type 1 error rates if low frequency spectral mass predominates in the spectrum of the noise process, or through diminution of the power of the tests when high frequency mass predominates. These effects are characterized by the expression ${2\pi f(0)/\int^\pi_-\pi f(\lambda)d\lambda}$…
联立方程误差成分模型估计及其在发展中国家对外贸易中的应用
Abstract An empirical balance of payments model involving the demand and supply of imports and exports for 31 developing countries is estimated utilizing panel data over 1964‐1987. In order to compute error‐components 3SLS estimates of this model, which requires different instruments for different equations, we propose a generalization of the Fuller‐Battese transformation to obtain GMM estimates. Our empirical results suggest that very little of the short‐run adjustment in…
多元 M 估计中经验似然与经验鞍点近似的关系
By comparing the expansions of the empirical log-likelihood ratio and the empirical cumulant generating function calculated at the saddlepoint, we investigate the relationship between empirical likelihood and empirical saddlepoint approximations. This leads to a nonparametric approximation of the density of a multivariate M-estimator based on the empirical likelihood and, on the other hand, it provides nonparametric confidence regions based on the empirical cumulant…
有限总体经验似然估计与辅助信息的有效利用
SUMMARY In finite population inference problems, auxiliary population information is often available. We show in this paper that the empirical likelihood method can be naturally applied to such problems to make effective use of the auxiliary information. We prove that the resulting estimates have smaller asymptotic variances than the usual estimates which do not use auxiliary information. A Bahadur-type representation for empirical likelihood sample quantiles is given.…
具有二次方差函数的指数族共轭先验
Consider a natural exponential family parameterized by θ. It is well known that the standard conjugate prior on θ is characterized by a condition of posterior linearity for the expectation of the model mean parameter μ. Often, however, this family is not parameterized in terms of θ but rather in terms of a more usual parameter, such at the mean μ. The main question we address is: Under what conditions does a standard conjugate prior on μ induce a linear posterior expectation…
具有二次方差函数的指数族共轭先验
Consider a natural exponential family parameterized by θ. It is well known that the standard conjugate prior on θ is characterized by a condition of posterior linearity for the expectation of the model mean parameter μ. Often, however, this family is not parameterized in terms of θ but rather in terms of a more usual parameter, such at the mean μ. The main question we address is: Under what conditions does a standard conjugate prior on μ induce a linear posterior expectation…
广义矩估计竞争模型的非嵌套检验
Non-nested tests are proposed for competing models estimated by generalized method of moments. Results are presented for non-nested linear regression models with het- eroskedasticity and serial correlation of unknown form and differing instrument validity assumptions. Regression forms of the statistics are also presented. THIS PAPER IS CONCERNED with providing a procedure whereby non-nested models estimated by generalized method of moments (GMM) (Hansen (1982)) may be com-…
U 统计量与 V 统计量的自助法
Bootstrap distributional limit theorems for $U$ and $V$ statistics are proved. They hold a.s., under weak moment conditions and without restrictions on the bootstrap sample size (as long as it tends to $\infty$), regardless of the degree of degeneracy of $U$ and $V$. A testing procedure based on these results is outlined.