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摘要暂缺

面板数据的有效估计：工具变量估计量的经验比较AI 解读

Abstract Hausman and Taylor (1981) proposed an efficient instrumental variables estimator for panel data regression models where the individual effects may be correlated with some of the regressors. Amemiya and MacCurdy (1986) and Breusch, Mizon, and Schmidt (1986) have suggested instrumental variables estimators that are potentially more efficient than the Hausman and Taylor estimator. We address the empirical question of how large these efficiency gains might be. In our…

含风险项模型的计量分析AI 解读

Abstract In this paper we have attempted to provide an integrated approach to the estimation of models with risk terms. It was argued that there exist orthogonality conditions between variables in the information set and higher‐order moments of the unanticipated variable density. These could be exploited to provide consistent estimators of the parameters associated with the risk term. Specifically, it was recommended that an IV estimator should be applied, with instruments…

自建模非线性回归的收敛与一致性结果AI 解读

This paper is concerned with parametric regression models of the form $Y_{ij} = f(t_{ij}, \theta_i) + \text{error}, i = 1, \ldots, n, j = 1, \ldots, T_i$, where the continuous function $f$ may depend nonlinearly on the known regressors $t_{ij}$ and the unknown parameter vectors $\theta_i$. The assumption of an a priori known $f$ is dropped and replaced by the requirement that qualitative information about the structure of the model is available or can be generated by a…

条件对数线性模型检验的功效函数AI 解读

In fitting a log-linear model to data, it is common to examine the P values associated with the conditional likelihood-ratio tests corresponding to a nested sequence of candidate log-linear models. For an appropriate Pitman sequence of models these test statistics are asymptotically independent and chi-squared in distribution. This article is an analytic study of the noncentrality parameters of these limiting distributions, pointing out factors that determine the powers of…

模型预测与设计估计能够协调到何种程度？AI 解读

Two general linear model-based predictors, one of the expectation of a finite population total and one of that total itself, are compared with the design-based generalized regression estimator (GRE). First, the predictors are made to conform to the GRE by modifying the regression parameter estimators but retaining the same (optimal) inclusion probabilities. Second, the GRE is made to conform with each of the predictors in turn by modifying the inclusion probabilities but…

非参数与参数模型的识别条件AI 解读

On presente une definition formelle de l'identification dans un contexte non parametrique sur la base des travaux de Koopmans et Reiersol (1950)

总量劳动供给与需求波动的计量分析AI 解读

This paper contains an equilibrium model of the labor market. The supply function allows f or temporal substitution in response to wage fluctuations, and the de mand function allows for adjustment costs. Two related issues are emp hasized: identification of supply and demand functions, and sources o f serial correlation in employment and real wages. When the supply an d demand shocks are AR(1) processes, the equilibrium process for empl oyment and real wages is a restricted…

连续空间过程的参数估计与模型辨识AI 解读

SUMMARY Formal parameter estimation and model identification procedures for continuous domain spatial processes are introduced. The processes are assumed to be adequately described by a linear model with residuals that follow a second-order stationary Gaussian random field and data are assumed to consist of noisy observations of the process at arbitrary sampling locations. A general class of two-dimensional rational spectral density functions with elliptic contours is used…

统计过程控制中的时间序列建模AI 解读

In statistical process control, a state of statistical control is identified with a process generating independent and identically distributed random variables. It is often difficult in practice to attain a state of statistical control in this strict sense; autocorrelations and other systematic time-series effects are often substantial. In the face of these effects, standard control-chart procedures can be seriously misleading. We propose and illustrate statistical modeling…

Recent papers in financial research focus on identifying a stable factor structure for security returns. The likelihood ratio test typically is used to determine the number of factors from exploratory factor analysis models. In this article, we consider the use of cross-validation to identify a stable factor structure in security returns. When applied to actual stock-return data, cross-validation identifies a smaller number of stable factors than the likelihood ratio test.…

质量决定的潜变量模型AI 解读

Because of data difficulties, there has been little empirical work analyzing the determination of the quality of a firm's output. This article constructs a latent variable model for this problem that uses easily obtainable data. The model is developed from the relationship between the firm's input demand functions and reduced-form output functions, and it has a novel multiple indicator multiple cause (MIMIC) interpretation. The model also allows identification of an…

摘要暂缺

啮齿动物生物测定与筛查实验中的协变量使用AI 解读

Consider a three-state compartmental model with an initial, an absorbing and an intermediate state which may or may not be entered before absorption. Observable data are time to absorption and an indication of whether the intermediate state was entered, but not the time of transition. The transition rates characterizing the process are nonidentifiable without simplifying assumptions or additional information on the prevalence function, defined as the time specific proportion…

截断生存数据的非参数分析及其 AIDS 应用AI 解读

One source of data for the induction distribution of aids arises from persons infected by the aids virus from contaminated blood transfusions. Analyses of these data are complicated because the number of individuals infected by transfusion is unknown; information is available only for those who are infected and develop aids within a certain chronologic time interval. The statistical problem is one of making inferences about a stochastic process of infection and disease for…

鱼类标记实验中自然死亡率估计的比较AI 解读

Tagging experiments in which recaptures have to be made by professional fishermen are considered. The methods put forward are shown to be maximum likelihood solutions, and expressions are derived for the variances of the estimators. Optimal conditions for the experiment are found, and cases of questionable behaviour are identified.

双重删失数据下生存函数非参数估计量的强一致性AI 解读

A double censoring mechanism is such that each variable $X$ in the sample is observable if and only if $X$ is within the observation interval $\lbrack Z, Y \rbrack$. Otherwise, we can only determine whether $X$ is less than $Z$ or greater than $Y$ and observe $Z$ or $Y$ correspondingly. This kind of censoring occurs often in collecting lifetime data. Our problem is to estimate the survival function of $X, S_X(t) = P \lbrack X > t \rbrack$, from a doubly censored sample,…

非平稳时间序列的非高斯状态空间建模AI 解读

A non-Gaussian state—space approach to the modeling of nonstationary time series is shown. The model is expressed in state—space form, where the system noise and the observational noise are not necessarily Gaussian. Recursive formulas of prediction, filtering, and smoothing for the state estimation and identification of the non-Gaussian state—space model are given. Also given is a numerical method based on piecewise linear approximation to the density functions for realizing…

SUMMARY The parameter density is the polynomial matrices of vector autoregressive moving average (VARMA) time series models is generally very low. Thus, estimation of fully parameterized high order models or of models with many variables is an ineffective, if not impractical, way of utilizing computing power. In the article we present methods for identifying the nonzero elements in VARMA(1,1) models, and show how these procedures can be used to construct models of higher…

计数数据分析中的最小 Hellinger 距离估计AI 解读

Minimum Hellinger distance (MHD) estimation is studied in the context of discrete data. The MHD estimator is shown to provide an effective treatment of anomalous data points, and its properties are illustrated using short-term mutagenicity test data. Asymptotic normality for a discrete distribution with countable support is derived under a readily verified condition on the model. Breakdown properties of the MHD estimator and an outlier screen are compared. Count data occur…

识别时间序列中的简化结构AI 解读

This article studies how to identify hidden factors in multivariate time series process. This problem is important because, when the series are driven by a set of common factors, (a) a large number of parameters may be needed to obtain an adequate representation of the system and (b) the estimated parameters will be highly correlated. Therefore, a complex and badly defined relationship can appear when, in fact, a simpler and parsimonious model in terms of a few common…

多元岭回归AI 解读

A multivariate linear regression model with q responses as a linear function of p independent variables is considered with a p × q parameter matrix B. The least-squares or normal-theory maximum likelihood estimate of B is deficient in that it takes no account of the ‘across regression’ correlations, and ignores the Stein effect. A remedy was offered by Brown & Zidek (1980) in the form of a multivariate ridge estimator. A richer class of estimators is obtained here by casting…

任意变量子集含相关或不相关测量误差时的回归一致估计集合AI 解读

OVER THE LAST DECADE the problem of measurement errors in the independent variables of a regression equation has attracted renewed interest among econometricians. In the fifties and sixties, the problem was considered to be more or less hopeless due to its inherent underidentification (e.g., Theil (1971)). Apart from instrumental variables, the most frequently cited textbook solution was Wald's method of grouping (Wald (1940)). Recent insight into the properties of the…

协方差约束下联立方程模型的有效估计与识别AI 解读

The authors consider estimation of simultaneous equations models with covariance restrictions. They consider FIML estimation and extend J. A. Hausman's instrumental variables interpretation of the FIML estim ator to the covariance restrictions case. A slight variation on the i nstrumental variables theme yields a simple, efficient alternative to FIML. The authors augment the original equation system by equations implied by the covariance restrictions, linearized around an…