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误设单方程中的工具变量估计AI 解读

This paper examines the exact sampling behavior of a family of instrumental variables estimators of the coefficients in a single structural equation when the model has been misspecified by the incorrect inclusion or exclusion of variables. It is found that such specification errors can have implications for the structure of the exact results obtained. A brief numerical examination of the analytical results is also provided.

单方程中外生变量系数估计量的若干精确结果AI 解读

This paper is devoted to a detailed examination of the exact sampling properties of the instrumental variables (IV) estimator of the vector of coefficients on the exogenous variables in a single structural equation. The first two moments of a linear combination of the elements of this estimator and the joint distribution of these elements are considered. Estimable bounds for the first moment that can readily be incorporated into any IV estimation package are provided. The…

教育回报的分样本工具变量估计AI 解读

Two-stage least squares is biased in the same direction as ordinary least squares even in very large samples. The authors propose a split-sample instrumental variables estimator that is not biased toward ordinary least squares. Split-sample instrumental variables uses one-half of a sample to estimate parameters of the first-stage equation. Estimated first-stage parameters are then used to construct fitted values and second-stage parameter estimates in the other half sample.…

基于假定 Copula 的依赖竞争风险边际生存估计AI 解读

When time to death and time to censoring are associated one may be appreciably misled when the marginal survival functions are estimated using the product-limit estimators, which assume independent censoring. If no assumption about the relationship between the two times is made, the marginal survival functions are not identifiable. A natural function that defines the association between the two random variables is the copula. We show that if this function is known then the…

病例对照研究中家庭数据的 Logistic 回归AI 解读

Multivariate regression models are applied to binary disease data in families identified from case-control studies. Attention is restricted to ‘ marginal’ or reproducible models, i. e. those whose parameters have the same interpretations in the marginal distributions for all subsets of a family, with a logistic specification of each individual's marginal disease probability. For such models, it is shown that the case-control family data can be analysed as if they were…

含测量误差的定量风险因素最优序贯筛查准则AI 解读

Any screening program based on a quantitative risk factor has the objective of identifying individuals at high risk of disease. When the risk factor varies within individuals over time or is subject to measurement error, repeat measurements should aid risk assessment. This article presents statistical guidelines for sequential screening based on measurements accumulated over time. The aim for each subject is to decide whether (a) risk is sufficiently low that screening can…

病例对照研究中家庭数据的 Logistic 回归AI 解读

Multivariate regression models are applied to binary disease data in families identified from case-control studies. Attention is restricted to ‘ marginal’ or reproducible models, i. e. those whose parameters have the same interpretations in the marginal distributions for all subsets of a family, with a logistic specification of each individual's marginal disease probability. For such models, it is shown that the case-control family data can be analysed as if they were…

数据污染与损坏下的识别及稳健性AI 解读

Robust estimation aims at developing point estimators that are not highly sensitive to errors in data. However, the population parameters of interest are not identified under the assumptions of robust estimation, so the rationale for point estimation is not apparent. This paper shows that, under error models used in robust estimation, unidentified population parameters can often be bounded. The bounds provide information that is not available in robust estimation. For…

姐妹、同胞与母亲：动态家庭背景下青少年生育对出生结局的影响AI 解读

A statistical model of dynamic intrafamily investment behavior incorporating endowment heterogeneity is estimated to evaluate alternative estimation procedures that have exploited family and kinship data. These procedures, which place alternative restrictions on the endowment structure and on behavior, include generalized least squares, fixed-effects based on the children of sisters and siblings, and instrumental variables. The framework is applied to data on birth outcomes,…

有限混合模型的最优收敛速率AI 解读

In finite mixture models, we establish the best possible rate of convergence for estimating the mixing distribution. We find that the key for estimating the mixing distribution is the knowledge of the number of components in the mixture. While a $\sqrt n$-consistent rate is achievable when the exact number of components is known, the best possible rate is only $n^{-1/4}$ when it is unknown. Under a strong identifiability condition, it is shown that this rate is reached by…

非线性 ARCH 时间序列的非参数估计与识别：强收敛和渐近正态性AI 解读

We consider the estimation and identification of the functional structures of nonlinear econometric systems of the ARCH type. We employ nonparametric kernel estimates for the nonlinear functions characterizing the systems, and we establish strong consistency along with sharp rates of convergence under mild regularity conditions. We also prove the asymptotic normality of the estimates.

动态计量模型的检验、涵盖与模拟AI 解读

We define, in a dynamic framework, the notions of binding functions, images, reflecting sets, indirect identification, indirect information, and encompassing. We study the properties of the notion of encompassing when the true distribution does not necessarily belong to one of the two competing models of interest. In this context we propose various test procedures of the encompassing hypothesis. Some of these procedures are based on simulations, and some of them are linked…

联立方程系统中的多变量广义 ARCHAI 解读

This paper presents theoretical results on the formulation and estimation of multivariate generalized ARCH models within simultaneous equations systems. A new parameterization of the multivariate ARCH process is proposed, and equivalence relations are discussed for the various ARCH parameterizations. Constraints sufficient to guarantee the positive definiteness of the conditional covariance matrices are developed, and necessary and sufficient conditions for covariance…

回归中的删除影响与掩蔽AI 解读

SUMMARY The paper is concerned with masking of Cook's distance, the popular deletion measure of influence of individual data cases in linear regression. Masking is broadly concerned with the limitations imposed by the use of individual cases. Two specific views are drawn from quotations: the first is associated with the established idea of joint influence, i.e. the deletion of two or more cases simultaneously, and the second is conditional influence, i.e. the calculation of…

ARIMA 模型识别中不同定阶准则的比较AI 解读

The small-sample performance of several order-determination criteria for identification of ARIMA models is compared using simulated and economic data. The authors also demonstrate how the residual white-noise autoregressive order-determination criterion can be used to identify unit roots in nonstationary data.

协整系统中共同长记忆成分的估计AI 解读

The study of cointegration in large systems requires a reduction of their dimensionality. To achieve this, we propose to obtain the I(1) common factors in every subsystem and then analyze cointegration among them. In this article, a new way of estimating common long-memory components of a cointegrated system is proposed. The identification of these I(1) common factors is achieved by imposing that they be linear combinations of the original variables Xt , and that 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…

曲线估计中的部分局部平滑规则AI 解读

We compare the performances of local and global rules for smoothing parameter choice, in terms of asymptotic mean squared errors of the resulting estimators. In some instances there is surprisingly little to choose between local and global approaches; our analysis identifies contexts where the differences are small or large. This work motivates development of smoothing rules that form a ‘half-way house’ between local and global smoothing. There, interpolation provides a…

非线性时间序列的非参数模型辨识：投影方法AI 解读

We study the possibility of identifying general linear and nonlinear time series models using nonparametric methods. The kernel estimators of the conditional mean and variance are used as a basis, and the properties of these quantities as model indicators are briefly discussed. Some drawbacks are pointed out, and motivated by these we introduce projections as tools of identification. The projections are especially useful for additive modeling. Expressions for the asymptotic…

非线性时间序列的非参数识别：显著滞后选择AI 解读

In this article we suggest a nonparametric procedure for selecting significant lags in the model description of a general nonlinear stationary time series. The procedure can be applied to both the conditional mean and the conditional variance and is valid for heteroscedastic series. The procedure is illustrated by simulations and sunspot data, lynx data, and blowfly data are analyzed. It is indicated that projectors can be used in conjunction with the procedure for selecting…

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贫困指数能否同时具有相对性与绝对性？AI 解读

BEGINNING WITH THE WORK OF A. K. SEN (1976) poverty research has made extensive use of axioms to construct and evaluate distribution-sensitive poverty measures. An index is distribution-sensitive if it satisfies Sen's (1976) weak transfer axiom; poverty decreases when income is transferred from a high income poor person to a low income poor person. A distribution-sensitive measure is appealing because it reflects the extent of deprivation among the poor and incorporates…