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REML 估计：渐近行为及相关问题AI 解读

The restricted maximum likelihood (REML) estimates of dispersion parameters (variance components) in a general (non-normal) mixed model are defined as solutions of the REML equations. In this paper, we show the REML estimates are consistent if the model is asymptotically identifiable and infinitely informative under the (location) invariant class, and are asymptotically normal (A.N.) if in addition the model is asymptotically nondegenerate. The result does not require…

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离散与连续重复测量中随机化后协变量的处理AI 解读

SUMMARY Adjusting for covariates observed post randomization is a difficult issue in randomized clinical trials. One approach is to enter these covariates as time-dependent covariates in a general linear model. However, this approach fails to account for interactions between the primary end point and confounding variable as they evolve over time. In this paper, we adopt the view that, since the confounder is observed following randomization, it should be treated as an…

阶梯形 VARMA 模型的设定AI 解读

The echelon form of a vector autoregressive moving average (VARMA) model is considered. Its advantages over other identified VARMA representations are discussed. Furthermore, a general strategy for specifying echelon form VARMA models from data is presented. Specifically, procedures for choosing the Kronecker indices that characterize an echelon form are reviewed. The feasibility of the method is demonstrated by analyzing a well-known set of flour price time series and the…

消费者面板数据分析中的交互式图形方法AI 解读

The study of complex market phenomena is often supported by data gathered from panels of customer households. Recent advances in statistical graphics research help analysts do justice to the richness of such data. The authors describe a graphical approach based on the use of simple linked plots in which case identity is preserved. The expressive power of these plots is enhanced by a variety of interactions such as painting and identification. The authors also introduce the…

持久收入、当期收入与消费：来自两个面板数据集的证据AI 解读

In this paper, the author estimates Euler equations, i.e., the first order conditions of the consumers' maximization problem, using data from two data sets. Consumption data are taken from the Consumer Expenditure Survey. Income data are taken from the Panel Study of Income Dynamics. Since the data for the estimation come from two samples, the author uses a generalization of the instrumental variables estimator: two-sample instrumental variables estimator. She finds evidence…

模拟外推：测量误差模型的刀切法联系AI 解读

This article provides theoretical support for our simulation-based estimation procedure, SIMEX, for measurement error models. We do so by establishing a strong relationship between SIMEX estimation and jackknife estimation. A result of our investigation is the identification of a variance estimation method for SIMEX that parallels jackknife variance estimation. Data from the Framingham Heart Study are used to illustrate the variance estimation procedure in logistic…

非平稳回归中的有效工具变量估计AI 解读

A limit theory for instrumental variables (IV) estimation that allows for possibly nonstationary processes was developed in Kitamura and Phillips (1992, Fully Modified IV, GIVE, and GMM Estimation with Possibly Non-stationary Regressors and Instruments, mimeo, Yale University). This theory covers a case that is important for practitioners, where the nonstationarity of the regressors may not be of full rank, and shows that the fully modified (FM) regression procedure of…

分组持续时间数据的一类二元响应模型AI 解读

Abstract This paper explores the relationship between conventional models for binary response such as the probit and logit, and the proportional hazard (PH) and related specifications for grouped duration data. I outline a general class of hazard models for grouped duration data based upon the choice of period‐specific distribution functions, facilitating a thorough analysis of the implications of various specifications and consideration of various issues of model…

非线性回归中线性化置信区间的诊断AI 解读

We investigate linear approximation (LA) confidence intervals for functions g(θ) of the parameters θ in a nonlinear regression model. These intervals are almost universally used and generally perform well, but at times they have poor coverage probabilities. A diagnostic plot and index are developed to detect these failures. We show how these diagnostics may be used to estimate coverage probabilities and these are used to calibrate the diagnostics. The performance of the…

基于 DNA 图谱的法医识别中的参数乘积估计AI 解读

In many areas, such as reliability and forensic identification, it is of interest to estimate a product of unknown parameters, each of which is estimated from test data. The maximum likelihood estimator usually used in both applications is approximately unbiased but has an asymmetric sampling distribution, particularly when the sample size is not large. Consequently, most estimates understate the parameter value, often substantially, and this may be a serious drawback if…

不确定性的诸方面：献给 D. V. LindleyAI 解读

Dennis Lindley: The First 70 Years The Operational Bayesian Approach Pivotal Inference Illustrated on the Darwin Maize Data Bayes Theory in Latent Variable Modelling Bayesian Sampling Schemes for Auditors Optimal Prediction with Hierarchical Models: Bayesian Clustering Inference for a Covariance Matrix The Role of Statistical Theory in Decision Aiding The Signature as a Covariate in Reliability and Biometry Residual Analysis and Outliers in Hierarchical Models The Island…

We investigate linear approximation (LA) confidence intervals for functions g(θ) of the parameters θ in a nonlinear regression model. These intervals are almost universally used and generally perform well, but at times they have poor coverage probabilities. A diagnostic plot and index are developed to detect these failures. We show how these diagnostics may be used to estimate coverage probabilities and these are used to calibrate the diagnostics. The performance of the…

修正工具变量单位根检验的功效AI 解读

In this paper we investigate the power of Hall's (1989) instrumental variables tests for unit roots. A slight modification is made to Hall's t statistic so that the modified t statistic can be applied directly without encountering the possible negative standard error problem of Hall's original t statistic. The major finding is that the power curves of the instrumental variables tests are not monotonic functions of the autoregressive coefficient of the unit root models when…

作为局部平滑器的样条AI 解读

A smoothing spline is a nonparametric curve estimate that is defined as the solution to a minimization problem. One problem with this representation is that it obscures the fact that a spline, like most other nonparametric estimates, is a local, weighted average of the observed data. This property has been used extensively to study the limiting properties of kernel estimates and it is advantageous to apply similar techniques to spline estimates. Although equivalent kernels…

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重新审视误差分量模型的工具变量估计AI 解读

This article develops a framework for efficient IV estimators of random effects models with information in levels which can accommodate predetermined variables. Our formulation clarifies the relationship between the existing estimators and the role of transformation in panel data models. We characterise the valid transformations for relevant models and show the optimal estimators are invariant to the transformation used to remove individual effects. We present an alternative…

二元回归测量误差模型中的工具变量估计AI 解读

We describe two approaches to instrumental variable estimation in binary regression measurement error models. The methods entail constructing approximate mean models for the binary response as a function of the measured predictor, the instrument, and any covariates in the model. Estimates are obtained by exploiting relationships between regression parameters, just as in linear instrumental variable estimation. In the course of deriving the approximate mean models, we obtain…

可变处理强度模型中平均因果效应的两阶段最小二乘估计AI 解读

Two-stage least squares (TSLS) is widely used in econometrics to estimate parameters in systems of linear simultaneous equations and to solve problems of omitted-variables bias in single-equation estimation. We show here that TSLS can also be used to estimate the average causal effect of variable treatments such as drug dosage, hours of exam preparation, cigarette smoking, and years of schooling. The average causal effect in which we are interested is a conditional…

两侧变换回归模型中变换函数的非参数估计AI 解读

The transform-both-sides (TBS) regression model developed by Carroll and Ruppert is applicable when the relationship between the median response and the independent variables has been identified. Several different families of transformations, such as the Box-Cox power family, have been considered in the parametric approach to this model. In this article, we propose a nonparametric estimator of the transformation in the TBS model allowing general smooth monotonic…

工具变量与内生解释变量弱相关时的估计问题AI 解读

We draw attention to two problems associated with the use of instrumental variables (IV), the importance of which for empirical work has not been fully appreciated. First, the use of instruments that explain little of the variation in the endogenous explanatory variables can lead to large inconsistencies in the IV estimates even if only a weak relationship exists between the instruments and the error in the structural equation. Second, in finite samples, IV estimates are…

圆形数据的统计分析AI 解读

Preface 1. The purpose of the book 2. Survey of contents 3. How to use the book 4. Notation, terminology and conventions 5. Acknowledgements Part I. Introduction: Part II. Descriptive Methods: 2.1. Introduction 2.2. Data display 2.3. Simple summary quantities 2.4. Modifications for axial data Part III. Models: 3.1. Introduction 3.2. Notation trigonometric moments 3.3. Probability distributions on the circle Part IV. Analysis of a Single Sample of Data: 4.1. Introduction 4.2.…

双侧变换回归模型中变换函数的非参数估计AI 解读

The transform-both-sides (TBS) regression model developed by Carroll and Ruppert is applicable when the relationship between the median response and the independent variables has been identified. Several different families of transformations, such as the Box-Cox power family, have been considered in the parametric approach to this model. In this article, we propose a nonparametric estimator of the transformation in the TBS model allowing general smooth monotonic…

摘要暂缺