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一个典型恰好识别情形下结构系数 GCL 估计量的精确有限样本密度AI 解读

As is true of any statistical application, testing econometric statistical hypotheses involves constructing critical regions with prescribed probabilities of Type I error and determining probabilities of Type II error under alternative hypotheses. Such constructions and determinations presuppose knowledge of exact statistical distribution functions of econometric estimators and test statistics either directly, or indirectly, as in the case where a statistical distribution…

不完整多项分布数据的极大似然估计AI 解读

When sampling from a multinomial population, it may happen either by chance or by design that some of the observations are only partially classified. In this article the amount of information in the partially classified observation is evaluated, and maximum likelihood estimators are obtained using both completely classified and partially classified data. In general an iterative solution is required, but special cases are identified in which the solution is obtained in closed…

一个典型恰好识别情形下结构系数 GCL 估计量的精确有限样本密度AI 解读

As is true of any statistical application, testing econometric statistical hypotheses involves constructing critical regions with prescribed probabilities of Type I error and determining probabilities of Type II error under alternative hypotheses. Such constructions and determinations presuppose knowledge of exact statistical distribution functions of econometric estimators and test statistics either directly, or indirectly, as in the case where a statistical distribution…

This paper develops approximations of the Gram-Charlier type to the cumulative distribution function of the instrumental variables estimator on classical assumptions. In the special case where there are only two endogenous variables in the estimated equation, exact values of the cumulative distribution function are computed by numerical integration and compared with the approximations. Although the error in the approximation depends critically on the parameters of the…

联立方程最小绝对值与最小二乘估计量的小样本性质比较AI 解读

In this paper a distribution sampling study consisting of four major experiments is described. The L1 norm is employed in two new estimating techniques, direct least absolute (DLA) and two-stage least absolute (TSLA), and these two are compared to direct least squares (DLS) and two-stage least squares (TSLS). Four experiments testing the normal distribution case, a multicollinearity problem, a heteroskedastic variance problem, and a misspecified model were conducted. Two…

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In this paper various methods for the estimation of simultaneous equation models with lagged endogenous variables and first order serially correlated errors are discussed. The methods differ in the number of instrumental variables used. The asymptotic and small sample properties of the various methods are compared, and the variables which must be included as instruments to insure consistent estimates are derived. A suggestion on how to estimate the approximate covariance…

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This paper reports on a study of the timing of the economic impact of government defense procurement. By assuming that the letting of new orders signals the beginning and shipments signal the end of the impact of defense procurement, this research investigates the effects of changes in product mix and capacity utilization on the duration of such impacts. The effects of changes in product mix and capacity utilization on inventory accumulation are also investigated. RECENT…

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普通最小二乘与两阶段最小二乘估计量的精确抽样分布AI 解读

This paper presents the exact sampling distributions of the ordinary and the two-stage least squares estimators of a structural parameter in a structural equation with two endogenous variables in a complete system of stochastic equations. The results show that the distributions of the two estimators are essentially similar to each other. It can also be seen that both distributions depend crucially upon the deviation of a regression coefficient of disturbance terms of two…

普通最小二乘与两阶段最小二乘估计量的精确抽样分布AI 解读

This paper presents the exact sampling distributions of the ordinary and the two-stage least squares estimators of a structural parameter in a structural equation with two endogenous variables in a complete system of stochastic equations. The results show that the distributions of the two estimators are essentially similar to each other. It can also be seen that both distributions depend crucially upon the deviation of a regression coefficient of disturbance terms of two…

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In their paper on the three stage least squares method of estimation of a simultaneous equation system, Zellner and Theil [5] make the interesting observation that the large sample efficiency of the estimates of the parameters in the group of over-identified equations is unaffected if the three stage method is applied to this subsystem alone, ignoring all the exactly identified equations. It is shown in this paper that the estimates themselvesnot just their large sample…

多元统计中的缺失观测之四：简单线性回归札记AI 解读

In this note we examine the bias and small sample efficiency of certain estimators for the parameters of a linear regression function when some observations are missing. The estimators studies in this paper were suggested by the large sample study reported in this issue of the Journal. We conclude that our asymptotically unbiased estimators of β and μy | x have negligible bias in sample sizes as small as n = 20, and that our asymptotically unbiased estimator of σ2 may have…

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卷积分布的参数估计AI 解读

Summary Parametric estimation problems are considered when one observes a random variable which is the sum of two independent non-identically distributed random variables. Some basic identifiability theorems are given which suggest the method of moments as a general method for attacking such problems, particularly when one of the summand variables is discrete. Moment estimators and their asymptotic distributions are examined for various specific examples. Some applications…

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调查抽样中不等概率域估计量的使用AI 解读

Unbiased estimates of population parameters can be obtained from a sample survey when the sample units are not the primary units of estimation, i.e., when the correspondence between the units selected in the sample and the units of interest is not one to one. The survey technique used was that of a mail questionnaire with direct interviews of a subsample of non-respondents. The estimation technique used was that of domain estimators with unequal probability. Feasible…

This paper presents the region of coverage of the curve shape characteristics, α23 and δ = (2α4 −3α23 −6) /(α4+3), for a certain general system of distributions, Burr (1942). These curve-shape characteristics were chosen for comparison with the Pearson system because of the simplicity with which they map the members of the latter system, Craig (1936). It is here shown that the present system covers almost all of the regions of the main Pearson Types IV and VI, and an…

抽样调查的一种新估计理论AI 解读

A new estimation theory for sample surveys is proposed, the basic feature of which is a special parametrization of finite populations based on the assumptions that a character attached to the units is measured on a known scale with a finite set of scale points. In the class of estimators which do not functionally depend on the identification labels preattached to the units, the following results are proved: (1) For simple or stratified simple random sampling without…

近似设定与 k 类估计量的选择AI 解读

This paper carries on work in [2] and [4] on the asymptotic effects of small specification error in simultaneous equation estimation. The specification errors considered are inherent in the approximate nature of econometric models. It is shown that for any parameter and small enough specification error, the probability limits of two-stage least squares and limited-information maximum-likelihood, while different, lie on the same side of the true parameter value, the…

用于计量经济分析的数据季节调整AI 解读

An earlier paper [3] provides axioms for the seasonal adjustment of economic time series. Seasonally adjusted data should be minimum variance, unbiased, and linear in an appropriate sense. These axioms yield a unique method for seasonal adjustment. The seasonally adjusted data may be obtained by an application of ordinary least squares regression.1 The problem of seasonal adjustment of economic time series in [3] is not the same as the problem of seasonal adjustment of data…