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摘要暂缺

联立方程系统中系数的有限信息最大似然估计分布的渐近展开AI 解读

An asymptotic expansion is made of the distribution of the limited information maximum likelihood estimate of the coefficient of one endogenous variable in an equation with two endogenous variables when the coefficient of the other endogenous variable is prescribed to be unity. The equation is one of a system of simultaneous equations, and all the predetermined variables in the system are assumed to be exogenous. The expansion in terms of the noncentrality parameter, which…

不完整数据问题中参数估计的结构刻画AI 解读

A framework is given for organizing and understanding the problems of estimating the parameters of a multivariate data set which contains blocks of missing observations. The basic technique is to decompose the original estimation problem into smaller estimation problems by factoring the likelihood of the observed data into a product of likelihoods. The result is summarized in a “factorization table,” which identifies the “complete-data” factors whose parameters may be…

随机解释变量与扰动独立性的替代检验：有限样本结果AI 解读

RegWuTest performs a Wu (or Durbin-Wu-Hausman) specification test on a regression just estimated by instrumental variables. Because it works off the last regression, there are no parameters. Wu(1973), Alternative tests of independence between stochastic regressors and disturbances, Econometrica vol 42, 529-546.(This abstract was borrowed from another version of this item.)

联立方程框架中的随机参数：识别与估计AI 解读

problems of a particular equation in the model. Examples are given. Further generalizations are also considered but only conditional results are given. Further work is suggested.

变量含测量误差的回归模型中斜率的一致估计AI 解读

Consistent estimators for the slope coefficient in a regression model, where both variables are subject to errors, do not exist without some restrictions on the model. When the serial correlation of (lag 1) of the regression is known to be nonzero, one can obtain extra information from the first differences and get a consistent estimator for the slope. It turns out that this estimator is (asymptotically) equivalent to an estimator which uses as instrumental variable the…

变量含测量误差回归模型中斜率的一致估计AI 解读

Consistent estimators for the slope coefficient in a regression model, where both variables are subject to errors, do not exist without some restrictions on the model. When the serial correlation of (lag 1) of the regression is known to be nonzero, one can obtain extra information from the first differences and get a consistent estimator for the slope. It turns out that this estimator is (asymptotically) equivalent to an estimator which uses as instrumental variable the…

不放回抽样中样本和的概率不等式AI 解读

Upper bounds are established for the probability that, in sampling without replacement from a finite population, the sample sum exceeds its expected value by a specified amount. These are obtained as corollaries of two main results. Firstly, a useful upper bound is derived for the moment generating function of the sum, leading to an exponential probability inequality and related moment inequalities. Secondly, maximal inequalities are obtained, extending Kolmogorov's…

实验设计的基本对比及其数据分析应用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…

使用可识别与不可识别模型的探索性潜在结构分析AI 解读

This paper considers a wide class of latent structure models. These models can serve as possible explanations of the observed relationships among a set of m manifest polytomous variables. The class of models considered here includes both models in which the parameters are identifiable and also models in which the parameters are not. For each of the models considered here, a relatively simple method is presented for calculating the maximum likelihood estimate of the…

关于比较相关比例的 Cochran Q 检验的注记AI 解读

Cochran's Q-test, proposed to test the equality of three proportions for correlated observations, may have a larger asymptotic significance level than the nominal one, unless the admissible family of distributions is restricted to ensure that under the hypothesis the correlations between the observations are also equal. For a large class of such restricted families, optimal C 2(α) tests of the hypothesis are obtained, and the family for which the Q-test is an optimal C 2(α)…

用于比较相关比例的 Cochran Q 检验注记AI 解读

Cochran's Q-test, proposed to test the equality of three proportions for correlated observations, may have a larger asymptotic significance level than the nominal one, unless the admissible family of distributions is restricted to ensure that under the hypothesis the correlations between the observations are also equal. For a large class of such restricted families, optimal C 2(α) tests of the hypothesis are obtained, and the family for which the Q-test is an optimal C 2(α)…

摘要暂缺

This paper sets out a general criterion for the identifiability of a statistical system, based on Kullback's integral. It is shown that the general identification problem is equivalent to a maximisation problem, or where parameter restrictions are present, a problem in nonlinear programming. The relationship of this criterion to that based on the of the underlying distribution is also exhibited. THE COLLECTION OF results on the identification problem in econometrics is by…

按种族与性别估计截至18岁被送入少年教养学校的比例AI 解读

Estimates of the race and sex specific prevalence to age 18 of commitment to a training school are derived. The obtained relative prevalence rates are found to be similar to another set for a different criterion, a different time, and a different, smaller jurisdiction. It is concluded that differences in relative rates of three to one make it impossible to interpret differences in absolute rates without taking into account the racial composition of the population. This…

积分移动平均过程的样本自相关函数行为AI 解读

Little is known about the behaviour of the sample autocorrelation function when the generating stochastic process is nonstationary. In this note the behaviour of the sample autocorrelation function for a particular integrated moving average process is examined and the implications for model identification are discussed.

摘要暂缺

用于分层与分析性调查的双重抽样AI 解读

SUMMARY A simple method of double sampling for stratification is proposed and the classical nonresponse theory is obtained as a special case. The method leads to simple solutions for the optimal design of analytical surveys involving comparison of group means, when the groups are not identifiable in advance.

N this paper, I will generalize the modified Newton method previously applied in Chow (1968) to the computation of full-information maximum likelihood estimates of parameters of a system of linear structural equations to the case of a system of nonlinear structural equations. The success of that method for linear systems 1 has stimulated my present attempt to generalize it for nonlinear systems. The subject of maximum likelihood estimation of nonlinear simultaneous equation…

未知滞后长度的滞后回归AI 解读

Summary The problem considered is that of determining the parameters in a lagged regression of one stationary time series on another when the lag is unknown and is not an integral multiple of the time interval between observations. The residual in the regression is also taken to be a stationary time series. The method of estimation is based on the maximization with respect to the lag of a form of autocorrelation between the two series. However, the autocorrelation is defined…

积分移动平均过程的样本自相关函数行为AI 解读

Little is known about the behaviour of the sample autocorrelation function when the generating stochastic process is nonstationary. In this note the behaviour of the sample autocorrelation function for a particular integrated moving average process is examined and the implications for model identification are discussed.

高斯自回归移动平均模型的最大似然辨识AI 解读

Closed form representations of the gradients and an approximation to the Hessian are given for an asymptotic approximation to the log likelihood function of a multidimensional autoregressive moving average Gaussian process. Their use for the numerical maximization of the likelihood function is discussed. It is shown that the procedure described by Hannan (1969) for the estimation of the parameters of one-dimensional autoregressive moving average processes is equivalent to a…

T HE purpose of this paper is to point out how the efficient instrumental-variables technique discussed by Brundy and Jorgenson (1971) can be modified to take into account auto-regressive properties of the error terms. The limited-information and full-information estimators proposed in this paper are consistent and have the same asymptotic distributions as the limited-information and full-information maximum likelihood estimators, respectively. The full-information…

方差比例与识别问题AI 解读

1. TO BE CLEAR from the beginning, this note does not provide practical aids to identification; the information is very unlikely to be available. Rather, this paper serves an expository purpose, that of seeking to clarify two ideas: first, multiple-identification, by presenting and analyzing an example within a linear system, and second, Working's and Fisher's ideas on relative variances as identification aids, by showing the consequences of knowing that one variance is a…