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冲击与脉冲响应函数的估计AI 解读

Abstract This paper examines the issue of how to identify the shocks in a cointegrated VAR when the following assumptions are made: the variables can be classified as endogenous or exogenous, there are as many cointegrating relations as endogenous variables, the cointegrating vectors are identified and they contain at least one exogenous variable. It is shown that with these assumptions it is possible to identify the shocks without the use of further restrictions on the…

可能非平稳时间序列的非对称性检验AI 解读

Tests for asymmetric adjustment in possibly nonstationary, nearly nonstationary, or stationary time series data are developed. The asymmetry is modeled by the momentum threshold autoregressive model of Enders and Granger and an extension of it. The tests are t-type tests and Wald tests based on instrumental-variable estimators and are asymptotically normal or chi-squared regardless of stationarity/nonstationarity of data-generating processes. This is in contrast to the fact…

存在回答误差与未应答时的估计AI 解读

Error in survey data originates from failure to contact the sample and from false answers to verifiable questions. These errors may be systematic and associated with uncooperative or unreliable respondents. Zabel modeled attrition in the Survey of Income and Program Participation and found systematic demographic and design effects. Bollinger and David modeled response error and identified correlations to income per capita. In this analysis, we link missing interviews in a…

协整关系含非线性时间趋势的向量自回归模型：统计推断AI 解读

This paper continues the work of Saikkonen (2001, Econometric Theory 17, 296–326) and develops an asymptotic theory of statistical inference in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations and general nonlinear parameter restrictions. Inference on parameters in cointegrating relations and short-run dynamics is studied separately. It is shown that Gaussian maximum likelihood estimators of parameters in cointegrating relations…

协整关系含非线性时间趋势的向量自回归模型：一致估计AI 解读

This paper studies the consistency of the Gaussian maximum likelihood estimator in a cointegrated vector autoregressive model with nonlinear time trends in cointegrating relations. The results are proved in a coordinate free framework that readily allows for general nonlinear parameter restrictions and makes it possible to show the consistency of reduced form parameter estimators without assuming identifiability of underlying structural parameters. Various consistency…

拟合 Kent 分布混合模型以辅助识别岩体节理组AI 解读

When examining a rock mass, joint sets and their orientations can play a significant role with regard to how the rock mass will behave. To identify joint sets present in the rock mass, the orientation of individual fracture planes can be measured on exposed rock faces and the resulting data can be examined for heterogeneity. In this article, the expectation–maximization algorithm is used to fit mixtures of Kent component distributions to the fracture data to aid in the…

利用混合模型迭代开展自动记录链接AI 解读

The goal of record linkage is to link quickly and accurately records that correspond to the same person or entity. Whereas certain patterns of agreements and disagreements on variables are more likely among records pertaining to a single person than among records for different people, the observed patterns for pairs of records can be viewed as arising from a mixture of matches and nonmatches. Mixture model estimates can be used to partition record pairs into two or more…

缺少总体分层变量信息时的后分层：政治民调应用AI 解读

We investigate the construction of more precise estimates of a collection of population means using information about a related variable in the context of repeated sample surveys. The method is illustrated using poll results concerning presidential approval rating (our related variable is political party identification). We use poststratification to construct these improved estimates, but because we do not have population level information on the poststratifying variable, we…

经典与动态切换及混合模型的马尔可夫链蒙特卡洛估计AI 解读

Bayesian estimation of a very general model class, where the distribution of the observations depends on a latent process taking values in a discrete state space, is discussed in this article. This model class covers finite mixture modeling, Markov switching autoregressive modeling, and dynamic linear models with switching. The consequences the unidentifiability of this type of model has on Markov chain Monte Carlo (MCMC) estimation are explicitly dealt with. Joint Bayesian…

利用调查数据完整辅助信息的模型校准方法AI 解读

Suppose that the finite population consists of N identifiable units. Associated with the ith unit are the study variable, yi, and a vector of auxiliary variables, xi. The values x1, x2,…, xN are known for the entire population (i.e., complete) but yi is known only if the ith unit is selected in the sample. One of the fundamental questions is how to effectively use the complete auxiliary information at the estimation stage. In this article, a unified model-assisted framework…

如何估计接近单位根的自回归根AI 解读

A new model of near integration is formulated in which the local to unity parameter is identifiable and consistently estimable with time series data. The properties of the model are investigated, new functional laws for near integrated time series are obtained that lead to mixed diffusion processes, and consistent estimators of the localizing parameter are constructed. The model provides a more complete interface between I (0) and I (1) models than the traditional local to…

回归不连续设计下处理效应的识别与估计AI 解读

Ž. THE REGRESSION DISCONTINUITY RD data design is a quasi-experimental design with the defining characteristic that the probability of receiving treatment changes discontinuously as a function of one or more underlying variables. This data design arises frequently in economic and other applications but is only infrequently exploited as a source of identifying information in evaluating effects of a treatment. In the first application and discussion of the RD method,…

解释时间序列数据中的长期与短期相互作用AI 解读

In this article, I extend the concept of separate cointegration to include the common-feature trend-cycle decomposition approach. This combined approach operates a reduction of the parameter space and permits the identification of the time series long- and short-run constituent factors. A careful assessment of their reciprocal relations, in turn, allows for the answering of potentially interesting economic questions. To show the usefulness of the proposed methodology, I…

含内生虚拟解释变量的有限因变量模型估计AI 解读

Applied economists have long struggled with the question of how to accommodate binary endogenous regressors in models with binary and nonnegative outcomes. I argue here that much of the difculty with limited dependent variables comes from a focus on structural parameters, such as index coefcients, instead of causal effects. Once the object of estimation is taken to be the causal effect of treatment, several simple strategies are available. These include conventional…

聚类生存数据脆弱性模型中的协变量测量误差AI 解读

We propose a new class of frailty measurement error models for clustered survival data when covariates are measured with error. We show that the induced hazard function conditional on the observed covariates also follows a frailty model but of a more complicated form. We study the asymptotic bias in regression coefficients and variance components when measurement error is ignored, and the impact of censoring on this asymptotic bias. We show that the naive estimator of the…

层级模型：当时的计算视角AI 解读

Hierarchical models (HMs) provide a flexible framework for modeling data. The ongoing development of techniques like the EM algorithm and Markov chain Monte Carlo has enabled statisticians to make use of increasingly more complicated HMs over the last few decades. In this article, we consider Bayesian and frequentist versions of a general, two-stage HM, and describe several examples from the literature that illustrate its versatility. Some key aspects of the computational…

慢性阻塞性肺疾病死亡率的贝叶斯分析与制图AI 解读

This article summarizes our research on estimation of age-specific and age-adjusted mortality rates for chronic obstructive pulmonary disease (COPD) for white males. Our objectives are more precise and informative displays (than previously available) of geographic variation of the age-specific mortality rates for COPD, and investigation of the relationships between the geographic variation in mortality rates and the corresponding variation in selected covariates. For a given…

利用面板数据估计接近单位根的自回归根AI 解读

Time series data are often well modeled by using the device of an autoregressive root that is local to unity. Unfortunately, the localizing parameter (c) is not consistently estimable using existing time series econometric techniques and the lack of a consistent estimator complicates inference. This paper develops procedures for the estimation of a common localizing parameter using panel data. Pooling information across individuals in a panel aids the identification and…

混合模型中标签交换问题的处理AI 解读

Summary In a Bayesian analysis of finite mixture models, parameter estimation and clustering are sometimes less straightforward than might be expected. In particular, the common practice of estimating parameters by their posterior mean, and summarizing joint posterior distributions by marginal distributions, often leads to nonsensical answers. This is due to the so-called ‘label switching’ problem, which is caused by symmetry in the likelihood of the model parameters. A…

摘要暂缺

This paper proposes a factor model with infinite dynamics and nonorthogonal idiosyncratic components. The model, which we call the generalized dynamic-factor model, is novel to the literature and generalizes the static approximate factor model of Chamberlain and Rothschild (1983), as well as the exact factor model à la Sargent and Sims (1977). We provide identification conditions, propose an estimator of the common components, prove convergence as both time and…

基于同胞配对数据定位数量性状位点的多元回归理论分析AI 解读

The interval mapping method has been shown to be a powerful tool for mapping QTL. However, it is still a challenge to perform a simultaneous analysis of several linked QTLs, and to isolate multiple linked QTLs. To circumvent these problems, multiple regression analysis has been suggested for experimental species. In this paper, the multiple regression approach is extended to human sib-pair data through multiple regression of the squared difference in trait values between two…

弱 GARCH 表示的估计AI 解读

The classical definitions of GARCH-type processes rely on strong assumptions on the first two conditional moments. The common practice in empirical studies, however, has been to test for GARCH by detecting serial correlations in the squared regression errors. This can be problematic because such autocorrelation structures are compatible with severe misspecifications of the standard GARCH. Numerous examples are provided in the paper. In consequence, standard (quasi-) maximum…

随机试验中的中位数处理效应AI 解读

Summary For two response variables y t and y c corresponding to two treatments for two policies) T and C, we wish to learn about quantiles of y t−y c from the marginal quantiles of y t and y c; only one of y t and y c is observed for an individual. We find that, in general, this is difficult for quantiles other than the median unless strong assumptions are imposed on how y t is related to y c. For the median, we present conditions under which the sign of the median treatment…