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加权样本的极限定理及其在序贯蒙特卡洛方法中的应用AI 解读

In the last decade, sequential Monte Carlo methods (SMC) emerged as a key tool in computational statistics [see, e.g., Sequential Monte Carlo Methods in Practice (2001) Springer, New York, Monte Carlo Strategies in Scientific Computing (2001) Springer, New York, Complex Stochastic Systems (2001) 109–173]. These algorithms approximate a sequence of distributions by a sequence of weighted empirical measures associated to a weighted population of particles, which are generated…

基于小波中位数回归的稳健非参数估计AI 解读

In this paper we develop a nonparametric regression method that is simultaneously adaptive over a wide range of function classes for the regression function and robust over a large collection of error distributions, including those that are heavy-tailed, and may not even possess variances or means. Our approach is to first use local medians to turn the problem of nonparametric regression with unknown noise distribution into a standard Gaussian regression problem and then…

条件政策预测的有效性检验AI 解读

Central Banks regularly make forecasts, such as the Fed's Greenbook forecast, that are conditioned on hypothetical paths for the policy interest rate. While there are good public policy reasons to evaluate the quality of such forecasts, up until now, the most common approach has been to ignore their conditional nature and apply standard forecast efficiency tests. In this paper we derive tests for the efficiency of conditional forecasts. Intuitively, these tests involve…

大型多方程马尔可夫切换模型的推断方法AI 解读

Inference for multiple-equation Markov-chain models raises a number of difficulties that are unlikely to appear in smaller models. Our framework allows for many regimes in the transition matrix, without letting the number of free parameters grow as the square as the number of regimes, but also without losing a convenient form for the posterior distribution. Calculation of marginal data densities is difficult in these high-dimensional models. This paper gives methods to…

弱工具变量回归中的有效双侧非相似不变检验AI 解读

As Nelson and Startz [Nelson, C.R., Startz, R., 1990a. The distribution of the instrumental variable estimator and its t ratio when the instrument is a poor one. Journal of Business 63, S125-S140; Nelson, C.R., Startz, R., 1990b. Some further results on the exact small sample properties of the instrumental variables estimator. Econometrica 58, 967-976] dramatically demonstrated, standard hypothesis tests and confidence intervals in instrumental variables regression are…

孟加拉国的早婚、初潮年龄与女性受教育程度AI 解读

Using data from rural Bangladesh, we explore the hypothesis that women attain less schooling as a result of social and financial pressure to marry young. We isolate the causal effect of marriage timing using age of menarche as an instrumental variable. Our results indicate that each additional year that marriage is delayed is associated with 0.22 additional year of schooling and 5.6 percent higher literacy. Delayed marriage is also associated with an increase in use of…

分组因变量的半参数分析及其在医师慈善诊疗供给中的应用AI 解读

We present estimators for semiparametric regression models where the dependent variable is grouped, that is, known to fall in a specified group with observable thresholds while its true value remains latent. Income, weeks unemployed, and treatment length are examples of such variables. Because the model is not amenable to direct estimation, estimators are derived from a transform in which the index emerges as the partially linear component in a vector of identities.…

多工具变量下的估计AI 解读

Using many valid instrumental variables has the potential to improve efficiency but makes the usual inference procedures inaccurate. We give corrected standard errors, an extension of Bekker to nonnormal disturbances, that adjust for many instruments. We find that this adjustment is useful in empirical work, simulations, and in the asymptotic theory. Use of the corrected standard errors in t-ratios leads to an asymptotic approximation order that is the same when the number…

矩条件冗余与似不相关回归模型中 OLS 的效率AI 解读

In this note, based on the generalized method of moments (GMM) interpretation of the usual ordinary least squares (OLS) and feasible generalized least squares (FGLS) estimators of seemingly unrelated regressions (SUR) models, we show that the OLS estimator is asymptotically as efficient as the FGLS estimator if and only if the cross-equation orthogonality condition is redundant given the within-equation orthogonality condition. Using the condition for redundancy of moment…

Breitung 统计量极限分布的一般界AI 解读

We consider the Breitung (2002, Journal of Econometrics 108, 343–363) statistic ξ n , which provides a nonparametric test of the I(1) hypothesis. If ξ denotes the limit in distribution of ξ n as n → ∞, we prove (Theorem 1) that 0 ≤ ξ ≤ 1/π 2 , a result that holds under any assumption on the underlying random variables. The result is a special case of a more general result (Theorem 3), which we prove using the so-called cotangent method associated with Cauchy's residue…

动态 OLS 协整回归中超前与滞后阶数的数据驱动选择AI 解读

Saikkonen (1991, Econometric Theory 7, 1–21) developed an asymptotic optimality theory for the estimation of cointegrated regressions. He proposed the dynamic ordinary least squares (OLS) estimator obtained by augmenting the static cointegrating regression with leads and lags of the first differences of the I(1) regressors. However, the assumptions imposed preclude the use of information criteria such as the Akaike information criterion (AIC) and Bayesian information…

协整关系中的函数形式误设检验AI 解读

A simple specification test based on fully modified residuals and the cumulative sum (CUSUM) test for cointegration of Xiao and Phillips (2002, Journal of Econometrics , 108, 43–61) are considered as means of testing for functional form in long-run cointegrating relations. It is shown that both tests are consistent under functional form misspecification and lack of cointegration. A simulation experiment is carried out to assess the properties of the tests in finite samples.…

变系数动态面板模型的非参数估计AI 解读

We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data. The model assumes linearity in some continuous/discrete variables that can be exogenous/endogenous and allows for nonlinearity in other weakly exogenous variables. We propose a nonparametric generalized method of moments (NPGMM) procedure to estimate the functional coefficients, and we establish the consistency and asymptotic normality of the resulting…

GARCH 模型中 VaR 与 ES 估计的估计风险AI 解读

Value-at-risk (VaR) and expected shortfall (ES) are now both widely used risk measures. However, users have not paid much attention to the estimation risk issues, especially in the case of heteroskedastic financial time series. The key challenge arises from the fact that the estimated generalized autoregressive conditional heteroskedasticity (GARCH) innovations are not the true independent innovations. The purpose of this work is to provide an analytical method to assess the…

高斯线性回归结构变化的加权平均功效相似检验AI 解读

Average exponential F tests for structural change in a Gaussian linear regression model and modifications thereof maximize a weighted average power that incorporates specific weighting functions to make the resulting test statistics simple. Generalizations of these tests involve the numerical evaluation of (potentially) complicated integrals. In this paper, we suggest a uniform Laplace approximation to evaluate weighted average power test statistics for which a simple closed…

利用主成分联合建模成对稀疏函数数据AI 解读

We propose a modelling framework to study the relationship between two paired longitudinally observed variables. The data for each variable are viewed as smooth curves measured at discrete time-points plus random errors. While the curves for each variable are summarized using a few important principal components, the association of the two longitudinal variables is modelled through the association of the principal component scores. We use penalized splines to model the mean…

线性模型中无限多个对比的 Benjamini–Hochberg 方法AI 解读

Benjamini and Hochberg's method for controlling the false discovery rate is applied to the problem of testing infinitely many contrasts in linear models. Exact, easily calculated critical values are derived, defining a new multiple comparisons method for testing contrasts in linear models. The method is adaptive, depending on the data through the F-statistic, like the Waller–Duncan Bayesian multiple comparisons method. Comparisons with Scheffé's method are given, and the…

响应缺失下基于半参数模型的推断AI 解读

We consider a semiparametric model that parameterizes the conditional density of the response, given covariates, but allows the marginal distribution of the covariates to be completely arbitrary. Responses may be missing. A likelihood-based imputation estimator and a semi-empirical-likelihood-based estimator for the parameter vector describing the conditional density are defined and proved to be asymptotically normal. Semi-empirical loglikelihood functions for the parameter…

影响函数与稳健贝叶斯、经验贝叶斯小区域估计AI 解读

We introduce new robust small area estimation procedures based on area-level models. We first find influence functions corresponding to each individual area-level observation by measuring the divergence between the posterior density functions of regression coefficients with and without that observation. Next, based on these influence functions, properly standardized, we propose some new robust Bayes and empirical Bayes small area estimators. The mean squared errors and…

抽样调查加权与推断的新方法AI 解读

The validity of design-based inference is not dependent on any model assumption. However, it is well known that estimators derived through design-based theory may be inefficient for the estimation of population totals when the design weights are weakly related to the variables of interest and have widely dispersed values. We propose estimators that have the potential to improve the efficiency of any estimator derived under the design-based theory. Our main focus is limited…

线性模型下最优抽样与估计策略AI 解读

In some cases model-based and model-assisted inferences can lead to very different estimators. These two paradigms are not so different if we search for an optimal strategy rather than just an optimal estimator, a strategy being a pair composed of a sampling design and an estimator. We show that, under a linear model, the optimal model-assisted strategy consists of a balanced sampling design with inclusion probabilities that are proportional to the standard deviations of the…

比较两阶段自适应治疗策略的上确界加权对数秩检验与样本量AI 解读

In two-stage adaptive treatment strategies, patients receive an induction treatment followed by a maintenance therapy, given that the patient responded to the induction treatment they received. To test for a difference in the effects of different induction and maintenance treatment combinations, a modified supremum weighted log-rank test is proposed. The test is applied to a dataset from a two-stage randomized trial and the results are compared to those obtained using a…

大模型空间下用于模型选择的扩展贝叶斯信息准则AI 解读

The ordinary Bayesian information criterion is too liberal for model selection when the model space is large. In this paper, we re-examine the Bayesian paradigm for model selection and propose an extended family of Bayesian information criteria, which take into account both the number of unknown parameters and the complexity of the model space. Their consistency is established, in particular allowing the number of covariates to increase to infinity with the sample size.…

利用中位数与球面主成分进行稳健函数估计AI 解读

We present robust estimators for the mean and the principal components of a stochastic process in . Robustness and asymptotic properties of the estimators are studied theoretically, by simulation and by example. It is shown that the proposed estimators are generally more robust to outliers than the commonly used sample mean and principal components, although their properties depend on the spacings of the eigenvalues of the covariance function. Copyright 2008, Oxford…