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半参数回归的效率界AI 解读

Efficiency bounds for conditional moment restrictions with a nonparametric component are derived. There is a given function of the data (a random sample from a distribution F) and a parameter. The restriction is that a conditional expectation of this function is zero at some point in the parameter space. The parameter has two parts: a finite-dimensional component and a general function evaluated at a subset of the conditioning variables. An example is a regression function…

预测分歧与预测不确定性的关系：调查数据与 ARCH 模型证据AI 解读

Abstract This paper examines empirically the relationship between measures of forecast dispersion and forecast uncertainty from data on inflation expectations from the Livingston survey series and the Survey Research Center (SRC) survey series. Because the survey series do not provide probabilistic forecasts of inflation, we derive measures of inflation uncertainty by modelling the conditional variance of the inflation forecast errors from the survey series as an…

线性模型的经验似然AI 解读

Empirical likelihood is a nonparametric method of inference. It has sampling properties similar to the bootstrap, but where the bootstrap uses resampling, it profiles a multinomial likelihood supported on the sample. Its properties in i.i.d. settings have been investigated in works by Owen, by Hall and by DiCiccio, Hall and Romano. This article extends the method to regression problems. Fixed and random regressors are considered, as are robust and heteroscedastic…

经验似然可作 Bartlett 校正AI 解读

It is shown that, in a very general setting, the empirical likelihood method for constructing confidence intervals is Bartlett-correctable. This means that a simple adjustment for the expected value of log-likelihood ratio reduces coverage error to an extremely low $O(n^{-2})$, where $n$ denotes sample size. That fact makes empirical likelihood competitive with methods such as the bootstrap which are not Bartlett-correctable and which usually have coverage error of size $n^{-1}$…

使用广义矩方法检验均值—方差有效性AI 解读

This paper develops tests of unconditional mean-variance efficiency under weak distributional assumptions using a generalized method of moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed and temporarily i.i.d. Using returns for size-based portfolios from 1926 to 1988, the authors show that the conclusion concerning the mean-variance efficiency of market indexes can…

利用广义矩方法检验均值—方差有效性AI 解读

ABSTRACT This paper develops tests of unconditional mean‐variance efflciency under weak distributional assumptions using a Generalized Method of Moments framework. These tests are potentially more robust than commonly employed tests which rely on the assumption that asset returns are normally distributed and temporarily i.i.d. Using returns for size‐based portfolios from 1926 to 1988 we show that the conclusion concerning the mean‐variance effilciency of market indexes can…

This paper presents specification tests that are applicable after estimating a dynamic model from panel data by the generalized method of moments (GMM), and studies the practical performance of these procedures using both generated and real data. Our GMM estimator optimally exploits all the linear moment restrictions that follow from the assumption of no serial correlation in the errors, in an equation which contains individual effects, lagged dependent variables and no…

走向原油市场效率AI 解读

Abstract The ‘official’ (OPEC) prices of crude oil before the collapse in the oil market in the mid‐1980s can be interpreted as contract prices and analysed on the basis of the theory of futures (or forward) markets. This paper uses the generalized method of moments estimation technique to test for efficiency in the relationship between the official prices and the ex‐post spot prices at the time of delivery. Efficiency is rejected for the sample period 1978–1985 as a whole,…

经验似然的伪似然理论AI 解读

It is proved that, except for a location term, empirical likelihood does draw contours which are second-order correct for those of a pseudo-likelihood. However, except in the case of one dimension, this pseudo-likelihood is not that which would commonly be employed when constructing a likelihood-based confidence region. It is shown that empirical likelihood regions may be adjusted for location so as to render them second-order correct. Furthermore, it is proved that…

经验似然比置信区域AI 解读

An empirical likelihood ratio function is defined and used to obtain confidence regions for vector valued statistical functionals. The result is a nonparametric version of Wilks' theorem and a multivariate generalization of work by Owen. Cornish-Fisher expansions show that the empirical likelihood intervals for a one dimensional mean are less adversely affected by skewness than are those based on Student's $t$ statistic. An effective method is presented for computing…

摘要暂缺

无需数值积分的离散响应模型模拟矩估计方法AI 解读

This paper proposes a simple modification of a conventional generalized method of moments estimator for a discrete response model, replacing response probabilities that require numerical integration with estimators obtained by Monte Carlo simulation. This method of simulated moments does not require precise estimates of these probabilities, as the law of large numbers operating across observations controls simulation error, and, hence, can use simulations of practical size.…

时间聚合与连续时间资本资产定价模型AI 解读

ABSTRACT We examine how the empirical implications of the Capital Asset Pricing Model (CAPM) are affected by the length of the period over which returns are measured. We show that the continuous‐time CAPM becomes a multifactor model when the asset pricing relation is aggregated temporally. We use Hansen's Generalized Method of Moments (GMM) approach to test the continuous‐time CAPM at an unconditional level using size portfolio returns. The results indicate that the…

参数似然与经验似然函数的比较AI 解读

In this paper, parametric and empirical likelihood functions or surfaces are compared. In particular, first- and second-order expansions for log likelihood functions are developed in nonparametric and parametric situations, where the functional of interest is a smooth function of vector means. The two approaches are compared and the precise order of difference between the nonparametric and parametric log likelihood functions is obtained. In general, the surfaces need not…

基于经验似然比统计量带符号平方根的调整AI 解读

The standard multivariate normal approximation to the distribution of the signed root of the empirical likelihood ratio statistic is considered in cases where inference is required for a smooth function of the mean of the distribution from which the sample is drawn. The error in this approximation is of order O(n−½) where n is the sample size, and it is shown that the error can be reduced to order O(n−1) by using a mean adjustment. When a scalar parameter is of interest, use…

普通最小二乘与最小绝对误差估计的比较AI 解读

In a linear-regression model with heteroscedastic errors, we consider two tests: a Hausman test comparing the ordinary least squares (OLS) and least absolute error (LAE) estimators and a test based on the signs of the errors from OLS. It turns out that these are related by the well-known equivalence between Hausman and the generalized method of moments tests. Particular cases, including homoscedasticity and asymmetry in the errors, are discussed.

多期条件矩限制所蕴含的效率界AI 解读

In this article we study a class of econometric models that imply a set of multiperiod conditional moment restrictions. These restrictions depend on an unknown parameter vector. We construct an extensive class of consistent, asymptotically normal estimators of this parameter vector and calculate the greatest lower bound for the asymptotic covariance matrices of estimators in this class. In so doing, we extend results reported by Hansen (1985) and Stoica, Söderström, and…

最近矩估计量与 GMM 估计量的渐近等价性AI 解读

This note considers an asymptotic property of the class of closest moments estimators. Each such estimator is obtained by setting a vector of sample moments close to corresponding population moments. It is shown that each such estimator is asymptotically equivalent to a GMM estimator, which has a quadratic distance function. An implication of this result is that the estimator that is asymptotically efficient in the GMM class is also asymptotically efficient in the wider…

摘要暂缺

参数维数趋于无穷时指数族似然方法的渐近行为AI 解读

Consider a sample of size $n$ from a regular exponential family in $p_n$ dimensions. Let $\hat\theta_n$ denote the maximum likelihood estimator, and consider the case where $p_n$ tends to infinity with $n$ and where $\{\theta_n\}$ is a sequence of parameter values in $R^{p_n}$. Moment conditions are provided under which $\|\hat\theta_n - \theta_n\| = O_p(\sqrt{p_n/n})$ and $\|\hat\theta_n - \theta_n - \overline{X}_n\| = O_p (p_n/n)$, where $\overline{X}_n$ is the sample…

单个统计泛函的经验似然比置信区间AI 解读

The empirical distribution function based on a sample is well known to be the maximum likelihood estimate of the distribution from which the sample was taken. In this paper the likelihood function for distributions is used to define a likelihood ratio function for distributions. It is shown that this empirical likelihood ratio function can be used to construct confidence intervals for the sample mean, for a class of M-estimates that includes quantiles, and for differentiable…

有界非对称损失下线性回归的最优中位数无偏估计AI 解读

This article considers optimal median-unbiased estimation in a linear regression model with the distribution of the errors lying in a subclass of the elliptically symmetric distributions. The generalized least squares (GLS) estimator is shown to be best for any monotone loss function, that is, any loss function that is nondecreasing as the magnitude of underestimation or overestimation increases. This includes bounded asymmetric loss functions. For the same loss functions, a…

协方差约束下联立方程模型的有效估计与识别AI 解读

The authors consider estimation of simultaneous equations models with covariance restrictions. They consider FIML estimation and extend J. A. Hausman's instrumental variables interpretation of the FIML estim ator to the covariance restrictions case. A slight variation on the i nstrumental variables theme yields a simple, efficient alternative to FIML. The authors augment the original equation system by equations implied by the covariance restrictions, linearized around an…

早期 GNP 估计的预测误差、测量误差与良好性质检验AI 解读

Revisions of the early GNP estimates may contain elements of measurement errors as well as forecast errors. These types of error behave differently but need to satisfy a common set of criteria for well-behavedness. This article tests these criteria for U.S. GNP revisions. The tests are similar to tests of rationality and are based on the generalized method of moments estimator. The flash, 15-day, and 45-day estimates are found to be ill behaved, but the 75-day estimate…