论文检索

摘要暂缺

用矩方法近似截断正态回归AI 解读

A NUMBER OF ARTICLES have been written in recent as well as more distant times on the subject of limited dependent variables. This broad classification includes two particular special cases. First, the dependent variable has finite probability mass concentrated at some limit point-the so called Tobit model. This case is referred to as the censored model in the statistical literature. The second case is when the dependent variable simply has a limited range and follows a…

联立方程模型设定错误的有限样本分析AI 解读

This article examines the effects of misspecification on the exact sampling distributions of the k-class estimators of a single equation in a simultaneous equations model. The analysis focuses on the effects of excluding relevant exogenous variables. The misspecification may occur in either the estimated equation itself or in the other equations in the system. Exact expressions and large-concentration parameter asymptotic expansions are stated and analyzed for the bias and…

统计操作的条件独立理论AI 解读

A general calculus of conditional independence is developed, suitable for application to a wide range of statistical concepts such as sufficiency, parameter-identification, adequacy and ancillarity. A vehicle for this theory is the statistical operation, a structure-preserving map between statistical spaces. Concepts such as completeness and identifiability of mixtures arise naturally and play an important part. Some general theorems are exemplified by applications to…

含 n+1 个内生变量方程中工具变量估计量的精确分布AI 解读

IN THE LATE 1960's, Richardson [18] and Sawa [20] derived the exact distribution of the two-stage least squares (2SLS) estimator in a structural equation (of a simultaneous system) that contained two endogenous variables and an arbitrary number of degrees of overidentification. Their results refer to the 2SLS estimator of the coefficient of the endogenous variable included on the right hand side of the equation and were obtained under the classical assumptions (to use the…

ARMA 过程样本逆自相关的渐近分布AI 解读

The inverse autocorrelations of a time series are useful at the identification stage of model building. In practice these quantities must be estimated from the data and so the distributional properties of the estimators are of great importance. In this paper the asymptotic distribution of the sample inverse autocorrelations is derived, making use of the duality between the autocorrelations and inverse autocorrelations of two autoregressive-moving average processes.

正态与非正态扰动下联立方程估计量的小样本蒙特卡洛比较AI 解读

In this paper we consider four alternative forms of two-parameter normal and nonnormal error distributions and report on a Monte Carlo study of the small-sample properties of least squares, two-stage least squares, three-stage least squares and full information maximum likelihood estimators. On the basis of 1,000 replications of sample size 20 in two experiments on an overidentified model, we found that the small-sample rankings of econometric estimators of both structural…

Prais–Houthakker 家庭等价尺度模型的估计AI 解读

Given a preference basis for the model, a household's general equivalence scale is seen to be a cost of living index relative to the reference household type defined at constant prices. A maximum likelihood estimation procedure which can be applied both to cross-section data and pooled time-series/cross-sections is derived. The lack of identification of the model is established theoretically and checked empirically on British family expenditure survey data. With prior…

理性预期假说的计量经济学含义AI 解读

The implications for applied econometrics of the assumption that unobservable expectations formed rationally in Muth's sense examined. The statistical properties of the resulting models and their distributed lag and time series representations described. Purely extrapolative forecasts of endogenous variables can be constructed, as alternatives to rational expectations, but less efficient. Identification and estimation considered: an order condition is that no more…

宏观经济学与现实AI 解读

Existing strategies for econometric analysis related to macroeconomics are subject to a number of serious objections, some recently formulated, some old. These objections are summarized in this paper, and it is argued that taken together they make it unlikely that macroeconomic models are in fact over identified, as the existing statistical theory usually assumes. The implications of this conclusion are explored, and an example of econometric work in a non-standard style,…

ARMA 过程样本逆自相关的渐近分布AI 解读

The inverse autocorrelations of a time series are useful at the identification stage of model building. In practice these quantities must be estimated from the data and so the distributional properties of the estimators are of great importance. In this paper the asymptotic distribution of the sample inverse autocorrelations is derived, making use of the duality between the autocorrelations and inverse autocorrelations of two autoregressive-moving average processes.

单变量 ARMA 时间序列模型残差互相关的分布AI 解读

Cross-correlations between univariate autoregressive moving average (ARMA) time series residuals are useful in the examination of relationships between time series (Pierce 1977a) and in the identification of dynamic regression models (Haugh and Box 1977). In this article, the asymptotic distribution of these residual cross-correlations is derived, and its application to the problem of testing for lagged relationships in the presence of instantaneous causality is discussed.…

恰好识别情形下 LIML 与 2SLS 结构系数分布函数的说明AI 解读

Many alternative techniques of estimating coefficients appearing in the structural representation of econometric models have been developed. The techniques of two-stage least squares (2SLS) and limited information maximum likelihood (LIML) yield identical estimates in the exactly identified case. The derivations of the density functions of these estimators for overidentified structural equations do not formally include the exactly identified case. In this note we demonstrate…

含潜变量的结构 Probit 模型AI 解读

A model with dichotomous indicators of latent variables is developed. The latent variables are related to each other and to a set of exogenous variables in a system of structural relations. Identification and maximum likelihood estimation of the model are treated. A sociological application is presented in which a theoretical construct (an attitude) is related to a set of background variables. The construct is not measured directly, but is indicated by the answers to a pair…

恰好识别情形下 LIML 与 2SLS 结构系数分布函数札记AI 解读

Many alternative techniques of estimating coefficients appearing in the structural representation of econometric models have been developed. The techniques of two-stage least squares (2SLS) and limited information maximum likelihood (LIML) yield identical estimates in the exactly identified case. The derivations of the density functions of these estimators for overidentified structural equations do not formally include the exactly identified case. In this note we demonstrate…

关于自回归移动平均模型识别的一则札记AI 解读

A discussion is given of the identification and parameterization of autoregressive-moving average systems in relation to the use of certain canonical forms.

摘要暂缺

统计理论中的条件独立AI 解读

Summary Some simple heuristic properties of conditional independence are shown to form a conceptual framework for much of the theory of statistical inference. This framework is illustrated by an examination of the rôle of conditional independence in several diverse areas of the field of statistics. Topics covered include sufficiency and ancillarity, parameter identification, causal inference, prediction sufficiency, data selection mechanisms, invariant statistical models and…

摘要暂缺

含受限（删失）因变量的二元选择模型：识别与估计AI 解读

A class of statistical models which generate simultaneous equation models with both discrete and continuous endogenous variables is introduced. This class of models can also be regarded as a new class of switching simultaneous equation models which are of general interest. Identification and estimation problems are investigated. Several simple consistent two stage methods are proposed. The consistency of those estimators is proved. Two step maximum likelihood procedures are…

摘要暂缺

含分期处死设计的生存实验中疾病依赖性的检验AI 解读

An age-dependent compartment model is applied in a novel way to survival data. Analysis is performed of data from an “improved survival experiment” which incorporates serial sacrifice, and tests of hypotheses of dependent diseases are obtained. Problems dealing with identifiability of models are emphasized and discussed. Finally, these ideas are illustrated in connection with experimental data from mice exposed to radiation.

分批处死生存实验中的疾病依赖性检验AI 解读

An age-dependent compartment model is applied in a novel way to survival data. Analysis is performed of data from an “improved survival experiment” which incorporates serial sacrifice, and tests of hypotheses of dependent diseases are obtained. Problems dealing with identifiability of models are emphasized and discussed. Finally, these ideas are illustrated in connection with experimental data from mice exposed to radiation.

摘要暂缺