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Beginning with January of 1987, the consumer price indexes (CPIs) have been seasonally adjusted by the X-11 autoregressive integrated moving average (ARIMA) procedure. This modification of the X-11 procedure was introduced following an empirical investigation into three aspects of seasonal adjustment methodology as applied to several CPI series--the choice of ARIMA models to fit and forecast those series, the improvements made by the ARIMA modification in terms of revision…

传递函数模型的估计与识别方法AI 解读

SUMMARY This paper proposes an approach to the simultaneous identification and estimation of transfer function models. An estimation procedure is advanced consisting of a sequence of four ordinary least squares calculations and the asymptotic properties of each step are presented, consistency and asymptotic efficiency being shown. A strategy for the identification of the model structure based on a selection criterion that arises naturally from the last step of the estimation…

链接函数设定偏离下的回归分析AI 解读

We study the behavior of regression analysis when there might be some violation of the assumed link function, the functional form of the model which relates the outcome variable $y$ to the regressor variable $\mathbf{x}$ and the random error. We allow the true link function to be completely arbitrary, except that $y$ depends on $\mathbf{x}$ only through a linear combination $\beta\mathbf{x}$. The slope vector $\beta$ is identified only up to a multiplicative scalar. Under…

统计信息与似然：批判性论文集AI 解读

I Information and Likelihood.- I Recovery of Ancillary Information.- 0. Notes.- 1. Introduction.- 2. The Sample Size Analogy.- 3. A Logical Difficulty.- 4. Conceptual Statistical Experiments.- II Statistical Information and Likelihood Part I: Principles.- 0. Notes.- 1. Statistical Information.- 2. Basic Definitions and Relations.- 3. Some Principles of Inference.- 4. Information as a Function.- 5. Fisher Information.- 6. The Likelihood Principle.- III Statistical Information…

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部分识别的计量经济模型AI 解读

This paper studies a class of models where full identification is not necessarily assumed. We term such models partially identified. It is argued that partially identified systems are of practical importance since empirical investigators frequently proceed under conditions that are best described as apparent identification. One objective of the paper is to explore the properties of conventional statistical procedures in the context of identification failure. Our analysis…

层级统计模型与广义似然比检验AI 解读

SUMMARY This paper deals with statistical inference for statistical models which have a nested structure. The emphasis here is on the use of a classical test of significance and on a confidence set construction approach for model identification, and the paper proposes a generalized likelihood ratio test with equal marginal error rate as a basic tool. The power performance of this test is characterized and some applications are illustrated.

实现对称性与同方差性的回归变换AI 解读

This article considers transformations in regression to eliminate skewness and heteroscedasticity of the response. We work with the transform-both-sides model where the relationship between the median response and the independent variables has been identified, at least tentatively. To preserve this relationship, the response and the regression model are transformed in the same way. Extending the work of others for the location parameter case, we propose an estimator that…

基于回顾性发现机制的推断：输血相关艾滋病数据分析AI 解读

In some epidemiologic studies, identification of individuals for study is dependent on the occurrence of some event. Once an individual is identified, the time of a previous event, termed an initiating event, is determined retrospectively. This article considers problems of estimation when initiating events occur as a nonhomogeneous Poisson process, and the time s from the initiating event to the final event has pdf f(s) independent of the time of the initiating event. A…

一般回归模型中条件无偏的有界影响估计及其广义线性模型应用AI 解读

In this article robust estimation in generalized linear models for the dependence of a response y on an explanatory variable x is studied. A subclass of the class of M estimators is defined by imposing the restriction that the score function must be conditionally unbiased, given x. Within this class of conditionally Fisher-consistent estimators, optimal bounded-influence estimators of regression parameters are identified, and their asymptotic properties are studied. The…

竞争风险模型的可识别性AI 解读

This paper considers the consequences for identifiability of introducing regressors into the competing risks model of multistate duration analysis. We establish conditions under which access to regressors overturns the nonidentification theorem of Cox and Tsiatis for both proportional and accelerated failure time models.

利用面板数据进行有效估计AI 解读

IN AN IMPORTANT RECENT PAPER, Hausman and Taylor (1981)-hereafter HT-considered the instrumental-variable estimation of a regression model using panel data, when the individual effects may be correlated with a subset of the explanatory variables. They provided a simple consistent estimator and an efficient estimator. More recently, Amemiya and MaCurdy (1986)-hereafter AM-have suggested an alternative estimator which is more efficient than the HT estimator, under certain…

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弱可分性下等价尺度的识别与估计AI 解读

This paper shows that most methods of incorporating demographic variation into separable models can be represented in a form that is identical to Barten equivalence scales, except that the scales themselves depend on the exact mix of goods that comprise each group, as well as on demographic variables. This generalization of Barten scales is shown to be more plausible than ordinary scales, can be used to increase the efficiency of demand system estimation, and can overcome…

Statistical agencies that provide microdata for public use strive to keep the risk of disclosure of confidential information negligible. Assessing the magnitude of the risk of disclosure is not easy, however. Whether a data user or intruder attempts to obtain confidential information from a public-use file depends on the perceived costs of identifying a record, the perceived probability of success, and the information expected to be gained. In this article, a…

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非正态性对含结构变化的单一结构方程估计的影响AI 解读

Effect of nonnormality on the asymptotic property of three estimators of a single structural equation with structural change is examined. The three estimators are the limited information maximum likelihood estimator, derived under normality and equality of structural variances in different samples, given by Hodoshima, a two-stage least squares type estimator due to Barten and Bronsard, and a minimum distance estimator presented here. Normality is relaxed but the equality…

模式理论的进展AI 解读

Pattern theory offers concepts for modelling images and methods for making inferences from observed images. This will be described briefly and illustrated by examples. We shall present limit theorems for the Markov processes on graphs (that are basic to pattern theory) motivated by computational considerations. They will yield approximations that have been exploited to make the inference algorithms computationally feasible. We shall also consider the problem of estimating…

不完全修复系统的可靠性估计AI 解读

This study of statistical inference for repairable systems focuses on the development of estimation procedures for the life distribution F of a new system based on data on system lifetimes between consecutive repairs. The Brown—Proschan imperfect-repair model postulates that at failure the system is repaired to a condition as good as new with probability p, and is otherwise repaired to the condition just prior to failure. In treating issues of statistical inference for this…

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竞争风险模型的可识别性AI 解读

This paper considers the consequences for identifiability of introducing regressors into the competing risks model of multistate duration analysis. We establish conditions under which access to regressors overturns the nonidentification theorem of Cox and Tsiatis for both proportional and accelerated failure time models.