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非满秩正态回归中同时外推的一个判据AI 解读

In recent work by O'Reilly, a necessary and sufficient condition for the existence of an unbiased estimate of the distribution function of a "future" observation was given. The result was obtained under the condition that the model had full rank. Here, the result is generalized to any number of future observations and the full rank condition is relaxed. The corresponding uniformly minimum variance unbiased estimator is identified from the density estimates given by Ghurye…

正态变量二次型的级数展开AI 解读

A differential operator is defined and applied to the gamma density function. By formal mathematical manipulation the resulting function can be identified with linear combinations of independent gamma variates and central and noncentral definite quadratic forms in independent normal variates. Laguerre series expansions in which the choice of parameters is of a general nature are given. These Laguerre series and chi-square, power and Edgeworth series are then compared in the…

两阶段最小二乘估计量的偏差与均方误差随样本量单调不增的证明AI 解读

A. D. Owen, A Proof that Both the Bias and the Mean Square Error of the Two-Stage Least Squares Estimator are Monotonically Non-Increasing Functions of Sample Size, Econometrica, Vol. 44, No. 2 (Mar., 1976), pp. 409-411

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以对象识别为准则的聚类及其在二维计数表中的应用AI 解读

The formation of a partition of objects, each with an associated random measurement X, is given operational meaning and a figure of merit. The information about X, given each object, is first reduced to information about X, given the cluster in the partition to which that object belongs. The figure of merit for a partition is then the probability of a correct object identification, on the basis of a realization of X, after the information loss. An algorithm is derived for…

观察性研究的设计与分析：综述AI 解读

In recent years the number of studies which attempt comparisons without adequate randomization has increased rapidly, particularly in disciplines and areas of research involving human populations. This article highlights some of the more important developments (and emerging needs) in the design and analysis of such investigations. It provides a historical overview of those techniques adapted to bias reduction, covers recent developments in contingency table analysis,…

非中心参数置信区间的计算AI 解读

Summary The end points of a confidence interval for the noncentrality parameter of noncentral χ2 or F are identified as upper and lower percentage points of a distribution. It is shown how these can be calculated by applying the inverse Cornish–Fisher expansion. The same procedure can be used to find the value of the noncentrality needed to give a fixed size χ2 or F test some specified power; however, in this situation the results may be only approximate.

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线性与若干非线性计量模型全信息估计量的工具变量方法AI 解读

FIML is shown to be an instrumental variables estimator where the instruments embody all the over-identifying a priori restrictions. FIML is compared to the two alternative estimators 3SLS and full information instrumental variables. 3SLS differs from FIML in not using all a priori restrictions in forming the instruments. The full information instrumental variables estimator when iterated to convergence yields the FIML estimate. For the case of nonlinearity in the parameters…

可能含一个已标识异常观测时的期望寿命改进估计AI 解读

A modified life testing model is defined where the sample contains at most one “identified” spurious observation whose expected life is greater than that of the others which form a homogeneous group. Various estimators of the smaller expected life are considered and definitive preference relationships among them are established using the mean squared error criterion. The case where the expected life of the spurious observation is smaller than that of the others is also…

计量经济估计量性质的蒙特卡洛比较研究AI 解读

Together with straightforward simulation, this study makes use of antithetic-variate and control-variate techniques in investigating the properties of econometric estimators. It is shown that when the covariances between the disturbances are small, the results on the relative standing of the estimators are indeterminate; but when they are sufficiently large, full-information methods are superior to single-equation methods. FIML gave the best performance and 2SLS was the best…

This paper obtains Edgeworth or Gram-Charlier expansions for the t ratio of instrumental variable and k-class estimators, and uses them to give approximations to the confidence intervals obtained from these t ratios. These confidence intervals for large sample size are more accurate than the usual asymptotic confidence interval. Charlier expansions is applied to the t ratio of 2SLS and non-stochastic k-class estimators. Previous general theorems in this field, with the…

分段回归中的对数似然比AI 解读

This paper deals with the asymptotic distribution of the log likelihood ratio statistic in regression models which have different analytical forms in different regions of the domain of the independent variable. It is shown that under suitable identifiability conditions, the asymptotic chi square results of Wilks and Chernoff are applicable. It is shown by example that if there are actually fewer segments than the number assumed in the model, then the least squares estimates…

分段回归问题的渐近分布理论：可识别情形AI 解读

This paper deals with the asymptotic distribution theory of least squares estimators in regression models having different analytical forms in different regions of the domain of the independent variable. An important special case is that of broken line regression, in which each segment of the regression function is a different straight line. The residual sum of squares function has many corners, and so classical least squares techniques cannot be directly applied. It is…

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最大似然成对比较排序与二次指派AI 解读

A connexion is identified between maximum likelihood paired-comparison ranking and the problem of quadratic assignment discussed in the operational research literature. This relationship immediately gives a set of computational techniques for obtaining the necessary rankings, and, in addition, provides a general framework for testing the reasonableness of particular object sequencings suggested a priori.

变量测量误差：有限样本均方误差更小的一致估计量AI 解读

This article develops and examines the small sample properties of alternative estimators when the data is suspected to contain measurement error. Two types of estimators are considered: (1) a linear combination of the OLS and instrumental variable (IV) estimators and (2) a method of choosing between the OLS and IV estimators on the basis of sample information. Large sample approximations are used to derive optimal procedures that are then evaluated by Monte Carlo experiments…

迭代工具变量法与大型联立方程系统的估计AI 解读

The estimation method proposed here offers a way to achieve consistent estimates of simultaneous systems for which the number of observations falls short of the number of predetermined variables in the system as a whole. This method, called the iterative instrumental variables (IIV) method, can be described as iterative use of the instrumental variable interpretation of the 2SLS as given by Klein. A discussion is presented on convergence of the iterative procedure and the…

变量测量误差：有限样本中均方误差更小的一致估计量AI 解读

This article develops and examines the small sample properties of alternative estimators when the data is suspected to contain measurement error. Two types of estimators are considered: (1) a linear combination of the OLS and instrumental variable (IV) estimators and (2) a method of choosing between the OLS and IV estimators on the basis of sample information. Large sample approximations are used to derive optimal procedures that are then evaluated by Monte Carlo experiments…

实验设计中的基本对比及其数据分析用途AI 解读

The least squares solution for a block design is considered in some detail for both the intrablock and the interblock cases. It leads to the identification of certain contrasts, here called basic, that are estimated independently and with efficiency factors that are readily determined. Basic contrasts indicate possible partitions of the treatment sum of squares and aid in the computation of the appropriate analysis of variance. Also they help to clarify the relationship…

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In the first section of this paper the overidentifying restrictions on a system of linear simultaneous equations are expressed in terms of restrictions on the reduced form parameters. These restrictions provide the basis of a test of the structure using only the unrestricted reduced form parameter estimates. Under Ho the test proposed is asymptotically equivalent to a likelihood ratio test. The test may be applied as a single equation or complete system procedure and it may…

含三个内生变量方程中结构参数两阶段最小二乘估计量的精确均值AI 解读

Aman Ullah, A. L. Nagar, The Exact Mean of the Two-Stage Least Squares Estimator of the Structural Parameters in an Equation Having Three Endogenous Variables, Econometrica, Vol. 42, No. 4 (Jul., 1974), pp. 749-758

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