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Many previous studies have found a strong positive effect of job seniority (tenure) on wages. This paper re-examines the evidence using a simple instrumental variables scheme to deal with the fact that tenure is likely to be related to unobserved individual and job characteristics that affect the wage. We use the variation of tenure over a given job match as the principal instrumental variable for tenure. The variation in tenure over the job is uncorrelated by construction…

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条件异方差时间序列模型AI 解读

Under the traditional linear time series or regression setting, the conditional variance of one-step-ahead prediction is time invariant. Experience in conjunction with data analysis, however, suggests that the variability of a process might well depend on the available information. This reality has motivated extensive research to relax the constant variance assumption imposed by the traditional linear time series model, and several classes of generalized parametric models…

非同步数据与收益的协方差因子结构AI 解读

ABSTRACT Evidence is presented that indicates that the standard estimator of the covariance matrix of daily returns provides a distorted view of the true covariance‐factor structure. An alternative estimator, based on a model of the price‐adjustment delay process, reveals roughly twice as much covariation in individual security returns. The number of factors identified also appears to increase when this estimator is employed. Since the linear space spanned by the estimated…

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二元选择与删失回归模型中分布自由估计量的效率界AI 解读

We derive lower bounds on the asymptotic variances for regular distribution-free estimators of the parameters of the binary choice model and the censored regression (Tobit) model. A distribution-free (or semiparametric) estimator is one that does not require any assumption about the distribution of the stochastic error term in the model, apart from regularity conditions. For the binary choice model, we obtain an explicit lower bound for the asymptotic variance for the slope…

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关于 Magdalinos 的 k 类工具变量估计量的一点说明AI 解读

In this paper we identify a restriction on the finite-sample application of Magdalinos's asymptotic expansions for the t statistic based on the k -class instrumental variable estimator.

离散马尔可夫场推断：最简单的非平凡情形AI 解读

Markov fields provide a general context for describing the strength and structure of spatial interactions. The Gibbs—Markov equivalence theorem (Preston 1974) parameterizes Markov fields via their neighborhood structures, yielding exponential families in canonical form. Likelihood inference is, therefore, apparently straightforward. The requisite normalizing constants, however, are obstreperous. Even when asymptotic characterizations can be obtained, substantial location…

广义线性测量误差模型的条件得分与最优得分AI 解读

This paper studies estimation in generalized linear models in canonical form when the explanatory vector is measured with independent normal error. For the functional case, i.e. when the explanatory vectors are fixed constants, unbiased score functions are obtained by conditioning on certain sufficient statistics. This work generalizes results obtained by the authors (Stefanski & Carroll, 1985) for logistic regression. In the case that the explanatory vectors are independent…

关于多元岭回归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…

基于多个分层样本的估计及多抽样框调查应用AI 解读

In this article, a new method for producing estimates from a multiple frame survey is presented. The discussion in this article is restricted to sample designs in which a stratified simple random sample is selected independently from each frame. The estimation technique outlined, however, can be applied to more complex sample designs. It is assumed that units selected in more than one sample can be identified. This estimation technique is based on the fact that a multiple…

对异常值稳健的有限总体估计AI 解读

Outliers in sample data are a perennial problem for applied survey statisticians. Moreover, it is a problem for which traditional sample survey theory offers no real solution, beyond the sensible advice that such sample elements should not be weighted to their fullest extent in estimation. Sample outliers can be identified as of two basic types. Here we are concerned with the first type, which may conveniently be termed representative outliers. These are sample elements with…

基于提名抽样的分布函数估计AI 解读

Nomination sampling is a sampling process in which every observation is the maximum of a random sample from some population. Assuming that all samples are taken from a single underlying distribution F, data may be viewed as consisting of pairs (Xi , Ki ), where Ki is the size of the ith sample and, given Ki = ki, Xi is distributed according to F ki. Willemain (1980), who discussed nomination sampling in the context of health care delivery, proposed an estimator for the…

利用时间序列模型联合预测美国婚内生育、婚姻、出生与结婚AI 解读

This article presents a new approach to forecasting U.S. marital fertility, nuptiality, births, and marriages. The analysis represents a wedding of demographic and statistical time series in models amenable to Box-Jenkins techniques of model identification, estimation, diagnosis, and forecasting. The models demonstrate the advantages in this approach in forecasting both rates and events as opposed to the common practice of simply forecasting events. Using the best models of…

基于多个分层样本的估计量及其多抽样框调查应用AI 解读

In this article, a new method for producing estimates from a multiple frame survey is presented. The discussion in this article is restricted to sample designs in which a stratified simple random sample is selected independently from each frame. The estimation technique outlined, however, can be applied to more complex sample designs. It is assumed that units selected in more than one sample can be identified. This estimation technique is based on the fact that a multiple…

初步数据误差及其对联立方程模型预测误差的影响AI 解读

Econometric models, especially when designed for forecasting purposes, tend to use updated economic series, the last figures(s) of which embed first-published or preliminary data errors. This article identifies and assesses the contribution of errors in preliminary data to the forecast error and to the forecast error variance of linear dynamic simultaneous equation models. The effect of preliminary data errors is shown to be pervasive, although not necessarily weighty. The…

联立方程模型的两阶段有界影响估计量AI 解读

This article presents a class of estimators for linear structural models that are robust to heavytailed disturbance distributions, gross errors in either the endogenous or exogenous variables, and certain other model failures. The class of estimators modifies ordinary two-stage least squares by replacing each least squares regression by a bounded-influence regression. Conditions under which the estimators are qualitatively robust, consistent, and asymptotically normal are…

缺失数据下时空 ARMAX 模型的估计与识别AI 解读

A method for modeling and fitting multivariate spatial time series data based on current spatial methodology coupled with the parameterization of the ARMAX model is presented. Because of the physical constraints imposed on multivariate data collection in both space and time, the estimation and identification procedures tolerate general patterns of missing or incomplete data.

缺失数据下时空 ARMAX 模型的估计与识别AI 解读

A method for modeling and fitting multivariate spatial time series data based on current spatial methodology coupled with the parameterization of the ARMAX model is presented. Because of the physical constraints imposed on multivariate data collection in both space and time, the estimation and identification procedures tolerate general patterns of missing or incomplete data.

A stractThe theory of wage indexation implies that if workers are more risk averse than firms, then workers will pay a price in order to obtain wage indexation. This prediction is tested on a sample of 3,115 U.S. manufacturing collective bargaining negotiations from 1967 to 1982. The dependent variable is the expected real wage level taking into account expected cost of living payments (Colas). Using instrumental variables or fixed effects techniques to account for the…

未识别模型中的假设检验AI 解读

An identified model is not necessary for statistical inference, but ambiguities can arise. This paper examines some simple examples and proposes a framework that distinguishes between the "refutation" and "confirmation" aspects of testing in an unidentified model. One particular problem is the interpretation given to overidentifying restrictions: a common view is that these are somehow not properly testable.

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