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利用金融市场数据估计结构参数的广义矩估计量的统计性质AI 解读

The article examines the properties of generalized method of moments GMM estimators of utility function parameters. The research strategy is to apply the GMM procedure to generated data on asset returns from stochastic exchange economies; discrete methods and Markov chain models are used to approximate the solutions to the integral equations for the asset prices. The findings are as follows: (a) There is variance/bias trade-off regarding the number of lags used to form…

广义矩估计量渐近协方差矩阵下界的计算方法AI 解读

For many time series estimation problems, there is an infinite-dimensional class of generalized method of moments estimators that are consistent and asymptotically normal. This paper suggests a procedure for calculating the greatest lower bound for the asymptotic covariance matrices of such estimators. The analysis focuses on estimation problems in which the data are generated by a stochastic process that is stationary and ergodic. The calculation of the bound uses…

摘要暂缺

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…

核估计中的带宽变化：平方根法则AI 解读

We consider kernel estimation of a smooth density $f$ at a point, but depart from the usual approach in admitting an adaptive dependence of the sharpness of the kernels on the underlying density. Proportionally varying the bandwidths like $f^{-1/2}$ at the contributing readings lowers the bias to a vanishing fraction of the usual value, and makes for performance seen in well-known estimators that force moment conditions on the kernel (and so sacrifice positivity of the curve…

广义矩估计量的大样本性质AI 解读

This paper studies estimators that make sample analogues of population orthogonality conditions close to zero. Strong consistency and asymptotic normality of such estimators is established under the assumption that the observable variables are stationary and ergodic. Since many linear and nonlinear econometric estimators reside within the class of estimators studied in this paper, a convenient summary of the large sample properties of these estimators, including some whose…

不可容许的最佳不变估计量：独立同分布情形AI 解读

An example is presented of an inadmissible best invariant point estimator of a location parameter. The extra moment condition of Brown and Fox (1974b) is violated. The example involves two independent, identically distributed observations, an improvement over Perng's (1970) example.

时间序列分析中的一致性AI 解读

A number of statistics that arise in time series analysis can be represented as the sum of a partial realization of a possibly serially dependent and nonstationary discrete-parameter stochastic process. The almost sure and $L_p, p > 1$, convergence of such statistics is investigated, under various moment conditions. The results are applied to the least squares estimates of multiple regressions.

无矩条件下停止时间指数有界的一般定理及应用AI 解读

The stopping time $N$ of a sequential test based on an i.i.d. sequence $X, X_1, X_2, \cdots$ with common distribution $P$ is defined as the first integer $n \geqq 1$ such that $l_1 < L_n < l_2$ is violated, where $L_n$ is a statistic depending only on $X_1, \cdots, X_n$. If for all $l_1, l_2$ there exist constants $c > 0, \rho < 1$ such that $P(N > n) < c\rho^n, n = 1, 2, \cdots,$ then $N$ is called exponentially bounded under $P$. In the contrary case $P$ is termed…

若干不变序贯概率比检验停止规则的终止性、矩与指数有界性AI 解读

It is well known that Wald's SPRT terminates with probability one and in fact the stopping time is exponentially bounded for every distribution $P$ except in the trivial case where the $\log$ likelihood ratio vanishes with probability one. The results in the literature for invariant SPRT's, however, have been considerably less complete. In all the parametric problems studied, moment conditions of certain random variables have been assumed to prove termination, and the…

具有光滑权函数的次序统计量线性函数AI 解读

This paper considers linear functions of order statistics of the form $S_n = n^{-1} \sum J(i/(n + 1))X_{(i)}$. The main results are that $S_n$ is asymptotically normal if the second moment of the population is finite and $J$ is bounded and continuous a.e. $F^{-1}$, and that this first result continues to hold even if the unordered observations are not identically distributed. The moment condition can be discarded if $J$ trims the extremes. In addition, asymptotic formulas…