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分层抽样中的渐近正态性与 BootstrapAI 解读

This paper is about the asymptotic distribution of linear combinations of stratum means in stratified sampling, with and without replacement. Both the number of strata and their size is arbitrary. Lindeberg conditions are shown to guarantee asymptotic normality and consistency of variance estimators. The same conditions also guarantee the validity of the bootstrap approximation for the distribution of the $t$-statistic. Via a bound on the Mallows distance, situations will be…

广义偏自相关函数用于ARMA过程定阶的局限AI 解读

We show that the General Partial Autocorrelation Function (GPAC), which has recently been suggested to be used as one of a set of convenient tools for order identification in ARMA models, has unstable behavior when applied to time series of moderate length. Its use in detecting the order of MA components in real series is very limited and can only be recommended as a means to confirm a pure AR fit to the data.

经济统计与计量经济学AI 解读

1. Introduction. I. DATA AND DESCRIPTION. 2. Economic Data. 3. Descriptive Statistics. 4. Frequency Distributions. II. SPECIFICATION AND ESTIMATION OF REGRESSION MODELS. 5. Simple Regression: Theory. 6. Simple Regression: Application. 7. Multiple Regression: Theory and Application. III. PROBABILITY DISTRIBUTIONS. 8. Probability Theory. 9. Random Variables and Probability Distributions. 10. The Normal and t Distributions. IV. INFERENCE IN REGRESSION. 11. Sampling Theory in…

反向回归：歧视的代数分析AI 解读

How should discrimination in the marketplace be defined? The answer is less obvious than it might seem. As Conway and Roberts (1983) suggest, there are various definitions. The data may suggest that for given qualifications, in given jobs, women are paid less than men, suggesting discriminatory behavior. But the same data set may or may not suggest that at given salary levels, women and men have the same qualifications. What should we conclude in the case of a conflict? The…

平稳与非平稳 ARMA 模型的自回归参数一致估计与扩展样本自相关函数AI 解读

A unified approach for the tentative specification of the order of mixed stationary and nonstationary ARMA models is proposed. For the ARMA models, an iterative regression procedure is given to produce consistent estimates of the autoregressive parameters. An extended sample autocorrelation function based on these consistent estimates is then defined and used for order determination. One of the advantages of this new approach is that it eliminates the need to determine,…

含外生变量的向量时间序列模型误设检验AI 解读

SUMMARY In this paper we consider the application of hypothesis testing procedures to ARMAX systems. The score, or Lagrangian multiplier, principle is used to obtain mis-specification tests appropriate to these models. The structure of the information or sensitivity matrix is investigated in order to discuss the identifiability of alternative models and is used to show the existence of a set of admissible alternatives that are locally equivalent to one another. This notion…

非线性理性预期模型的广义工具变量估计AI 解读

This paper describes a method for estimating and testing nonlinear rational expectations models directly from stochastic Euler equations. The estimation procedure makes sample counterparts to the population orthogonality conditions implied by the economic model close to zero. An attractive feature of this method is that the parameters of the dynamic objective functions of economic agents can be estimated without explicitly solving for the stochastic equilibrium.

一般结构方程中普通最小二乘与工具变量估计量的矩AI 解读

G. H. Hillier, T. W. Kinal, V. K. Srivastava, On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation, Econometrica, Vol. 52, No. 1 (Jan., 1984), pp. 185-202

含协变量的对数逻辑斯蒂生存时间模型AI 解读

A model for survival time where the effect of the explanatory variables is multiplicative on the median of a basic log logistic distribution is considered. Two different schemes of observation, namely the binary analysis of the proportion of survivors after a fixed time to and the analysis of all identified failure or censored times, are considered. Some results concerning the relative efficiency of estimators of the regression parameters under the two analyses are obtained.

线性模型中基于秩的推断的几何解释AI 解读

Four different approaches, based on ranks, to testing hypotheses are unified through the geometry of the linear model. The various tests are identified with different but algebraically equivalent forms of the classical F test. Small sample differences are investigated via a Monte Carlo study using both rank and signed rank tests.

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识别与不可识别AI 解读

THIS PAPER IS INTENDED to stress the distinction between the conditions for lack of identification in models linear with respect to the variables but nonlinear in the parameters in the sense originally defined by Fisher [2], and the less numerous set of conditions required for first order lack of identification. The latter set of conditions involve only the first derivatives of the coefficients as functions of the parameters. It is argued that if the model suffers from first…

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摘要暂缺

有理分布滞后结构模型中的滞后设定AI 解读

This article presents methods for the preliminary specification of distributed lags in structural models in the absence of sufficient a priori information. It is argued that an instrumental-variables procedure produces good results as long as the goodness of fit in the instrument equations is satisfactory. When this is not the case, simple OLS specification is preferable to more complex instrumental-variables methods, even though it may produce some spurious parameters. The…

方向数据有限混合模型的可识别性AI 解读

In some problems of directional data, finite mixtures of simple distributions have been proposed as statistical models. In this paper we show that for a wide class of directional distributions, all such mixtures are identifiable.

线性贝叶斯估计量的一般方差修正AI 解读

We consider the problem of modifying the linear Bayes estimator for the mean of a distribution of unknown form by using an estimate of sample variance. The general conditions under which there is no advantageous variance modification to the linear Bayes rule are identified. These results are applied to the problem of sampling from a normal distribution with unknown mean and variance, and the implications are discussed.

含日历变动的时间序列建模AI 解读

The modeling of time series data that include calendar variation is considered. Autocorrelation, trends, and seasonality are modeled by ARIMA models. Trading day variation and Easter holiday variation are modeled by regression-type models. The overall model is a sum of ARIMA and regression models. Methods of identification, estimation, inference, and diagnostic checking are discussed. The ideas are illustrated through actual examples.

线性贝叶斯估计量的一般方差修正AI 解读

We consider the problem of modifying the linear Bayes estimator for the mean of a distribution of unknown form by using an estimate of sample variance. The general conditions under which there is no advantageous variance modification to the linear Bayes rule are identified. These results are applied to the problem of sampling from a normal distribution with unknown mean and variance, and the implications are discussed.

工人工会身份的决定机制AI 解读

A model of the determination of the union status of workers is developed that incorporates the separate decisions of workers and potential union employers in a framework which recognizes the possibility of an excess supply of workers for existing union jobs.This theoretical framework results in an empirical problem of partial observability because information on union status is not sufficient to determine whether nonunion workers are nonunion because they do not desire union…

带协方差约束的线性联立方程模型识别：工具变量解释AI 解读

This picture is greatly complicated when restrictions on the structural disturbance variances and covariances, (henceforth "covariance restrictions") are allowed.Koopmans Rubin, and Leipnik (1950) recognized the usefulness of such restrictions for identification and demonstrated their equivalence to bilinear restrictions on the coefficients.This work was pursued by Wegge (1965) j Rothenberg (1971), and especially Fisher (1963, 1965), surveyed in Fisher (19-66, Chapters 3 and…

抽样调查的极小极大方法AI 解读

Suppose that there is a population of $N$ identifiable units each with two associated values $x_i$ and $y_i$. All $N$ values of $x$ are given but $y_i$ is determined only after the $i$th unit is selected and observed. The objective is to estimate the population total $\sum^N_{i=1} y_i$. It is assumed that $y_i = \theta x_i + \delta_ig(x_i), 1 \leq i \leq N$, where $(\delta_1, \cdots, \delta_N)$ is in some bounded neighborhood of $(0, \cdots 0)$. The Rao-Hartley-Cochran and…

二维表的低中位数与最小绝对残差分析AI 解读

Some properties of and extensions to Tukey's method of median polish, an exploratory robust additive decomposition of a two-way table, are presented using the low median. If the table entries are rational numbers, then the iteration process must stop after a finite number of steps. However, even for tables of bounded dimension the number of iterations can be arbitrarily large. For 3 by 3 tables, the sum of absolute residuals is often minimized by median polish. Minimization…