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基于检验的识别与选择程序AI 解读

Let $X_1, \cdots, X_k$ be independent random variables with distributions $Q_1, \cdots, Q_k$ defined on a common range space $(\mathscr{X}, \mathscr{G})$. At the beginning it is assumed that the $Q_i$ are known but not the pairing with the $X_i$, and the goal is to identify the $X_i$ which comes from $Q_1$. First it is shown that every procedure based on a total ordering in $\mathscr{X}$ can be viewed as being based on (the $p$-value of) a test for deciding between $H_0: \{Q_1\}$…

非参数回归理论及其在系统辨识中的应用AI 解读

The objective in nonparametric regression is to infer a function $m(x)$ on the basis of a finite collection of noisy pairs $\{(X_i, m(X_i) + N_i)\}^n_{i=1}$, where the noise components $N_i$ satisfy certain lenient assumptions and the domain points $X_i$ are selected at random. It is known a priori only that $m$ is a member of a nonparametric class of functions (that is, a class of functions like $C\lbrack 0, 1\rbrack$ which, under customary topologies, does not admit a…

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自回归移动平均系统识别的一则札记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.

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计量经济学中的模型设定检验AI 解读

Using the result that under the null hypothesis of no misspecification an asymptotically efficient estimator must have zero asymptotic covariance with its difference from a consistent but asymptotically inefficient estimator, specification tests are devised for a number of model specifications in econometrics. Local power is calculated for small departures from the null hypothesis. An instrumental variable test as well as tests for a time series cross section model and the…

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摘要暂缺

检测移动平均模型系数空缺的大样本检验AI 解读

Summary A procedure is given in the paper for testing the hypothesis that a specified set of parameters in a moving average process assumes the value zero. In particular, the method is applicable for detecting whether a moving average process is seasonal or not. This large-sample test, which operates entirely in the time domain, is based on the estimated asymptotic covariance matrix of improved estimates of the autocorrelation function and is derived from the results of…

计量经济模型中的可识别性与一致可估性AI 解读

In this paper the concepts of identifiability and of exact and consistent estimability for econometric models are introduced in a rather general framework, and the relations between these concepts are investigated. As a main result we obtain conditions under which identifiability and consistency are equivalent almost everywhere.

简单变量测量误差模型中最小二乘与工具变量估计的比较AI 解读

IF ONE OF THE EXPLANATORY VARIABLES in a linear regression model is measured with error, the ordinary least squares estimator is known to be biased and inconsistent. Given suitable assumptions, an instrumental variables estimator is known to be consistent. In a large sample, the instrumental variables estimator is thus unambiguously preferred, but the choice of an estimator in a small sample remains a puzzle. The method of maximum likelihood sheds light on this puzzle. It…

联立方程系统中的内生虚拟变量AI 解读

This paper considers the formulation and estimation of simultaneous equation models with both discrete and continuous endogenous variables.The statistical model proposed here is sufficiently rich to encompass the álassjcai simultaneous equation model for continuous endogenous variables and more recent models for purely discrete endogenous variables as special cases of a more general model.Interest in discrete data has been ftsledby a rapid growth in the availability of…

联立方程简化式系数的修正 Stein 型估计量AI 解读

In this paper a reduced form estimator is developed which combines the corresponding restricted 3SLS and the unrestricted LS estimators. This estimator is similar to the 'positive part' Stein-like estimators proposed by Baranchik [2] and S. Sclove [16] in the classical multivariate regression context. It is shown that, whereas the restricted (derived) 3SLS and 2SLS reduced form estimates possess no finite moments (hence have unbounded risk), the modified Stein-like reduced…

多元自回归移动平均过程的拟合AI 解读

Akaike (1974) has shown that any autoregressive-moving average process admits a Markovian representation and conversely. There is a one-to-one correspondence between each autoregressive-moving average process and a member of a class of ‘special’ Markovian representations. Here we shall associate each of the above special representations with a uniquely defined ‘quasiautoregressive-moving average’ representation and we shall estimate the parameters involved by a technique…

摘要暂缺

带约束的间接最小二乘估计量AI 解读

An over-identified model could be defined as an exactly identified model that is subject to over-identifying restrictions. One could therefore define a constrained indirect least squares estimator for systems of equations similar to generalized least squares estimators under constraints for single equations. The estimator differs from three stage least squares in using the indirect least squares estimated covariance instead of the two stage least squares estimated…

方向与取向数据均匀性的不变检验AI 解读

The very general results of Beran and Gine on invariant tests of uniformity are applied to $S_p$, the surface of the unit hypersphere, and $H_p$, the surface of the unit hypersphere with antipodes identified, to give a class of invariant tests of uniformity for signed and unsigned directional data in $(p + 1)$-dimensions. The $(p + 1)$-dimensional analogues of the test statistics due to Rayleigh, Bingham, Ajne, and Gine are constructed as the simplest examples, and…

计量经济模型的通用计算程序：SHAZAMAI 解读

to prepare and allow a large number of options. The program can be run in batch mode or interactively at a computer terminal. Computer core storage is dynamically allocated so that large problems are only limited by the size of the machine. SHAZAM is designed to grow so that new algorithms and procedures can easily be added by any programmer familiar with the internal structure of the program. Features of SHAZAM include ordinary least squares, two-stage least squares,…

计量经济模型的随机模拟程序AI 解读

model. Many results (observed value, deterministic solution, computed mean among the replications, minimum and maximum of the stochastic solution, first relative differences of the observed, deterministic and mean stochastic values) are displayed and several empirical indicators of goodness of fit are computed: (1) the mean over the simulation period of the actual, deterministic and mean stochastic values; (2) the root mean square error (RMSE) of the deterministic and mean…

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工具变量估计方程中使用 Durbin h 检验的说明AI 解读

THE PURPOSE OF THIS PAPER is to consider the validity of Durbin's [1] h test when the h statistic is calculated from instrumental variable estimates of an autoregressive model. It seems useful to provide such an analysis since h tests based upon instrumental variable results have been reported in the empirical literature (for example, see McCallum [3]). The validity of the h test is investigated by deriving the asymptotic distribution (under the null hypothesis) of an…

用于回归模型选择的后验概率AI 解读

SUMMARY A simple Bayesian formula for the posterior probability of one of several regression models is shown to be systematically misleading unless all models have the same number of para- meters. Even in this case the use of improper priors leads to arbitrary inferences, as it does more generally. An alternative weighting for choosing a model is suggested and the relation- ship between significance tests and data-dependent priors mentioned. An alternative to the analysis of…

多元自回归移动平均过程的拟合AI 解读

Akaike (1974) has shown that any autoregressive-moving average process admits a Markovian representation and conversely. There is a one-to-one correspondence between each autoregressive-moving average process and a member of a class of ‘special’ Markovian representations. Here we shall associate each of the above special representations with a uniquely defined ‘quasiautoregressive-moving average’ representation and we shall estimate the parameters involved by a technique…