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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…

正交自变量下多元回归显著性的事后判定AI 解读

Summary In multivariate regression, when the regressors are orthogonal, the estimates of the coefficients may be regarded, in the normal case, as an independent normal random sample with estimable variance. Significance is determined by the absolute magnitude of the highest member of the sample, after consideration of order statistics more generally in this context. The method is applied to time series data analysed by Fisher and Yates (1957): while these authors identified,…

分位数估计的若干问题AI 解读

Summary The problem of estimating quantiles in the context where restriction to particular parametric families is inappropriate is considered, for simple random sampling and stratified sampling. For the former type of sampling the distribution-free procedures are obtained and the admissible estimators identified, and certain other questions are dealt with. In the stratified sampling situation similar problems are considered, less successfully.

联立方程估计量对模型随机假设的敏感性AI 解读

The paper reports the results of several sampling experiments investigating the sensitivity of various simultaneous-equations estimators to errors in the exogenous variables, stochastic coefficients, heteroskedastic disturbances and auto correlated disturbances. The estimates studied are direct least squares, two-stage least squares, Nagar's unbiased k-class estimator, limited-information maximum likelihood, three-stage least squares, and full-information maximum likelihood.…

联立方程估计量对模型随机假设的敏感性AI 解读

The paper reports the results of several sampling experiments investigating the sensitivity of various simultaneous-equations estimators to errors in the exogenous variables, stochastic coefficients, heteroskedastic disturbances and auto correlated disturbances. The estimates studied are direct least squares, two-stage least squares, Nagar's unbiased k-class estimator, limited-information maximum likelihood, three-stage least squares, and full-information maximum likelihood.…

序贯抽样在分析性调查中的应用AI 解读

SUMMARY The nature of an analytical sample survey is discussed in general, and a sequential sampling scheme is proposed for certain situations. It is assumed that the subgroups of the population which are to be compared form a one-way classification, and are not identifiable in advance of drawing a simple random sample from the population. With sequential sampling, one continues to sample from the general population until the variance constraints are satisfied. It is…

条件期望的一个极值性质AI 解读

This note demonstrates that for bivariate random variables (X, Y) the correlation between Y and functions of X is maximized by the function f(X) = E(Y | X). The result provides a finite sample justification for the common scoring prooedure of giving the jth largest observation the score of the expected value of the jth order statistic of a standard distribution. Asymptotically the result also indicates that when one is using instrumental variables as an aid to estimation,…

大易感人群中的简单随机流行曲线AI 解读

one assumes that each of the x susceptibles at a given time can receive the infection from any of the y infectives then in circulation; thus, the rate of accrual of new cases is proportional to the product xy-we shall take the factor of proportionality (the 'infection-rate') to be unity, as may clearly always be done through a proper choice of the time scale. One feels that the accrual rate should be construed as a probabilistic transition rate: under this construction, the…

分析性调查的双重抽样方案AI 解读

The concept of analytical sample surveys is discussed in general, and a double sampling scheme is proposed for certain situations. Emphasis is placed on the presentation of a method which can be used to solve a certain class of problems. It is assumed that the subgroups of the population which are to be compared form a one-way classification, and are not identifiable in advance of drawing a simple random sample from the population. With double sampling, a large sample is…

近似可识别性与扰动项方差AI 解读

THE OBSERVATION that large disparity in the variances of the disturbances from different structural equations in a simultaneous system can aid identification is as old as the discovery of the identification problem itself. Thus, in the classic example of E. J. Working [10], it is observed that whereas in the Marshallian cross neither the supply nor the demand curve is identified, this is not the case if one of the curves shifts about a great deal relative to the other. If…

均值与精度均未知的独立多元正态过程的贝叶斯分析AI 解读

Under the assumption that neither the mean vector nor the variance-covariance matrix are known with certainty, the natural conjugate family of prior densities for the multivariate Normal process is identified. Prior-posterior and preposterior analysis is done assuming that the prior is in the natural conjugate family. A procedure is presented for obtaining non-degenerate joint posterior and preposterior distributions of all parameters even when the number of objective sample…

摘要暂缺

有效调查访员的识别AI 解读

In studies where validation data is not available, effective interviewers are identified on the basis of various measures of interviewing performance. Yet little is known about the validity of these measures. In the study reported, sample addresses were selected on a probability basis from the records of financial institutions and the holdings reported to the interviewer were compared with institution records for the day of the interview. The frequency with which an…

观测不足时的最小二乘法AI 解读

The optimality of the method of least squares is reconsidered when multicollinearity is present. An analysis is presented of the relationship between estimability and identifiability. The criterion of best linear minimum bias is developed, and shown to be equivalent to that of best linear conditionally unbiased estimation subject to complementary (non-estimable) linear restrictions. Imposition of erroneous estimable linear restrictions is shown to lower variances of…

有效访员的识别AI 解读

In studies where validation data is not available, effective interviewers are identified on the basis of various measures of interviewing performance. Yet little is known about the validity of these measures. In the study reported, sample addresses were selected on a probability basis from the records of financial institutions and the holdings reported to the interviewer were compared with institution records for the day of the interview. The frequency with which an…

二项分布混合模型的参数估计AI 解读

Let Y 1, ···, Y m be independent, each having distribution where 0 < p 1 < ··· < p r < 1, 0 < α j , < 1, Σα j = 1, and n ≧ 2r − 1. This distribution is a mixture of r binomials. It is shown to be an identifiable mixture under the given restrictions on the parameters. Moment estimators for the 2r − 1 parameters p 1, ···, P r , α1, ···, α r − 1 are constructed and the covariance matrix of the joint asymptotic normal distribution of the estimators is obtained. It is found by…

含系统性噪声的回归AI 解读

This paper identifies a type of highly correlated noise—systematic noise—that often arises in applications of linear regression to observations of spacecraft. An explicit formula is given for the inverse of the covariance matrix. The inverse matrix has a simple series expansion in ε2, where 1/ε is the amplitude of the systematic noise. When the leading term, the so-called filter matrix, is used in place of the exact inverse to estimate the regression parameters, the…

含系统性噪声的回归AI 解读

This paper identifies a type of highly correlated noise—systematic noise—that often arises in applications of linear regression to observations of spacecraft. An explicit formula is given for the inverse of the covariance matrix. The inverse matrix has a simple series expansion in ε2, where 1/ε is the amplitude of the systematic noise. When the leading term, the so-called filter matrix, is used in place of the exact inverse to estimate the regression parameters, the…

经济时间序列的季节调整与多元回归分析AI 解读

The logical implications of certain simple consistency requirements for appraising alternative procedures for seasonal adjustment constitute the first problem considered in this paper. It is shown that any sum preserving technique of seasonal adjustment that satisfies the quite reasonable requirements of orthogonality and idempotency can be executed on the electronic computer by standard least squares regression procedures. Problems involved in utilizing seasonally adjusted…

两个主要过度识别情形下GCL估计量精确分布的说明AI 解读

Basmann [3] has recently given the exact sampling distributions of the generalized classical linear (GCL) estimators of the parameters of a system of two simultaneous structural equations. In view of the importance of the GCL estimators in econometric statistics, a less intricate derivation by using formulae that might be more widely known to statisticians and econometricians, might be useful.

两类典型过度识别情形中 GCL 估计量精确分布的注记AI 解读

Basmann [3] has recently given the exact sampling distributions of the generalized classical linear (GCL) estimators of the parameters of a system of two simultaneous structural equations. In view of the importance of the GCL estimators in econometric statistics, a less intricate derivation by using formulae that might be more widely known to statisticians and econometricians, might be useful.

摘要暂缺

非线性系统的可识别性判据AI 解读

This paper considers the problem of criteria for the identifiability of a structural equation which is one of a set of equations linear in the parameters but not in the variables. The criteria are developed in terms of parameter restrictions of the rank condition type. By expansion in Taylor's series and combination with the results of Fisher [2], these results can be easily extended to far more general nonlinear systems. THE USUAL treatment of identifiability criteria is…

两个典型过度识别情形下广义经典线性估计量的精确有限样本分布AI 解读

The asymptotic unbiasedness and normality of alternative statistical estimators θ, θ,1 ··· of a given parameter θ* are generally proved without reference to any explicit knowledge of the exact finite sample distribution functions, F n (x), G n (x) ···. (Here n denotes sample size.) Within the class of asymptotically unbiased and normally distributed estimators of a given parameter it is sometimes possible to demonstrate that one estimator possesses a smaller asymptotic…