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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…

一类特定非线性时间序列系统的识别AI 解读

A nonlinear time series system is considered. The system has the property that the output series corresponding to a given input series is the sum of a noise series and the result of applying in turn the operations of linear filtering, instantaneous functional composition and linear filtering to the input series. Given a stretch of Gaussian input series and corresponding output series, estimates are constructed of the transfer functions of the linear filters, up to constant…

二元分布的一族依赖性概念AI 解读

A family of concepts of stochastic dependence for bivariate distribution functions is introduced. Each concept gives rise to a family of bivariate distribution functions. We show the equivalence of some of these families with families of positively dependent distribution functions, which are known in the literature, and characterize some of them by notions from reliability theory. Interrelations among the various families are studied, and some moment inequalities are…

时间序列与截面数据的合并估计AI 解读

PROGRAMS ARE AVAILABLE to facilitate calculation of least squares and instrumental variable coefficients and related statistics from data consisting of time-series observations for each of several cross-sectional units.' The (FORTRAN) programs2 must be used with the SPEAKEASY/FEDEASY processor3 and take the form of three FEDEASY commands that (1) form a moment (cross product) matrix from an arbitrarily large number of observations (CPMATRIX), (2) calculate least squares and…

析因设计中效应与混杂结构的辨识AI 解读

A method is developed for identifying effects and confounding patterns in factorial designs generated by Patterson's (1976) DSIGN algorithm. The method is an extension of that commonly used for symmetrical designs with prime number of levels.

析因设计中效应与混杂模式的识别AI 解读

A method is developed for identifying effects and confounding patterns in factorial designs generated by Patterson's (1976) DSIGN algorithm. The method is an extension of that commonly used for symmetrical designs with prime number of levels.

通过最大值随机变量的分布识别参数AI 解读

Summary Under what conditions does the distribution of the maximum of a set of independent random variables uniquely determine the distributions of the component random variables? In the univariate case, a sufficient condition is that for every pair of distinct densities in the family of possible densities, one density converges to zero infinitely faster than the other, as x → ∞. Hence, the distribution of max {X i, i = 1, ..., n} when X i has the distribution N(μi, σ2 i),…

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有限信息估计量一种修正的若干性质AI 解读

THE SMALL SAMPLE PROPERTIES of the estimators of parameters in a single equation of a system of equations have been investigated in several ways. Some of the many Monte Carlo studies that have been conducted are reviewed in Johnston [8]. Nagar [14] used expansions in powers of terms whose order in probability was T1, where T is the sample size, to obtain approximations of the small-sample behavior of the members of Theil's k-class estimators [18]. Basmann [4, 5], Kabe [9],…

两阶段最小二乘：应沿哪个方向最小化残差？AI 解读

A structural equation in a complete system may be written with the coefficient of one endogenous variable as unity and the coefficients of the other endogenous variables as parameters. To estimate these parameters two-stage least squares is usually applied by minimizing residuals in the direction of the first variable. In this paper, when there is one such parameter, that procedure is compared with adapting two-stage least squares to minimize residuals in the direction of…

连接两条时间序列的动态回归与分布滞后模型识别AI 解读

A methodology is introduced for identifying dynamic regression or distributed lag models relating two time series. First, specification of a bivariate time-series model is discussed, and its relationship to the usual dynamic regression model is indicated. Then, a two-stage identification procedure is presented which involves fitting univariate time-series models to each series, and identifying a dynamic shock model relating the two univariate model innovation series. The…

两阶段最小二乘：应沿哪个方向最小化残差？AI 解读

A structural equation in a complete system may be written with the coefficient of one endogenous variable as unity and the coefficients of the other endogenous variables as parameters. To estimate these parameters two-stage least squares is usually applied by minimizing residuals in the direction of the first variable. In this paper, when there is one such parameter, that procedure is compared with adapting two-stage least squares to minimize residuals in the direction of…

不同参数序列下联立方程估计量分布的渐近展开AI 解读

The distributions of the LIML and TSLS estimates of the coefficient of an endogenous variable in a single equation can be approximated by asymptotic expansions. This paper relates the expansions in terms of the noncentrality parameter and the sample size going to infinity, the noncentrality parameter going to infinity with the sample size held fixed, and the standard deviation of the disturbance going to zero (small-o). 1. INTRODUCriON RECENTLY, ASYMPTOTIC EXPANSIONS of the…

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一种特定非线性时间序列系统的识别AI 解读

A nonlinear time series system is considered. The system has the property that the output series corresponding to a given input series is the sum of a noise series and the result of applying in turn the operations of linear filtering, instantaneous functional composition and linear filtering to the input series. Given a stretch of Gaussian input series and corresponding output series, estimates are constructed of the transfer functions of the linear filters, up to constant…

杜宾–沃森检验统计量分布函数的计算算法AI 解读

IN REGRESSION ANALYSIS most empirical economists use the well-known Durbin-Watson (DW) procedure [1] to test the hypothesis of no autocorrelation among the disturbances of a linear regression model against the hypothesis of a first-order autocorrelation. The use of this procedure is compromised by the fact that it is a bounds text and, hence, cannot discriminate between the two competing hypotheses for a range of intermediate values of the test statistic. This shortcoming…

线性样条与分段多元线性回归的若干算法AI 解读

This paper develops some efficient algorithms for linear spline and piecewise multiple linear regression. A plotting procedure that shows the existence and location of changes in linear regression models is developed as an adjunct to one of the algorithms. The algorithms are compared with other presently available algorithms both in terms of efficiency and in terms of performance on sets of artificial data. An example shows how the algorithms, implemented in portable FORTRAN…

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计量与谱分析程序 EASAI 解读

and FORTRAN IV which is designed to accommodate most researchers' everyday econometric needs. However, this program is particularly useful when spectral methods are combined (in an ex post sense) with regression and simultaneous equations estimation., Residuals from regression or simultaneous equations estimation are easily saved by EAS and used in later spectral computations by using only two program statements.1 All spectral computations are highly efficient since the fast…

关于聚合过程中的识别与信息损失的札记AI 解读

DISCUSSIONS OF IDENTIFICATION of parameters in simultaneous equation econometric models almost invariably assume that data are in the form of aggregative time series, i.e., only one measurement of each variable is available in each time period. This note shows that parameters in a model which is underidentified by the usual rank and order criteria at the aggregative level may be identified when disaggregated data aie available. The argument is presented in terms of a…

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