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局部中心极限定理、拒绝抽样的高阶相关性与逻辑似然渐近性质AI 解读

Let I1,…,In be independent but not necessarily identically distributed Bernoulli random variables, and let Xn=∑j=1nIj. For ν in a bounded region, a local central limit theorem expansion of $\mathbb {P}(X_{n}=\mathbb {E}X_{n}+\nu)$ is developed to any given degree. By conditioning, this expansion provides information on the high-order correlation structure of dependent, weighted sampling schemes of a population E (a special case of which is simple random sampling), where a…

回归模型中数据驱动的速率最优设定检验AI 解读

We propose new data-driven smooth tests for a parametric regression function. The smoothing parameter is selected through a new criterion that favors a large smoothing parameter under the null hypothesis. The resulting test is adaptive rate-optimal and consistent against Pitman local alternatives approaching the parametric model at a rate arbitrarily close to $1/\sqrt{n}$. Asymptotic critical values come from the standard normal distribution and the bootstrap can be used in…

非参数小波回归的置信集AI 解读

We construct nonparametric confidence sets for regression functions using wavelets that are uniform over Besov balls. We consider both thresholding and modulation estimators for the wavelet coefficients. The confidence set is obtained by showing that a pivot process, constructed from the loss function, converges uniformly to a mean zero Gaussian process. Inverting this pivot yields a confidence set for the wavelet coefficients, and from this we obtain confidence sets on…

用拟似然估计方程分析空间二元数据AI 解读

The goal of this paper is to describe the application of quasi-likelihood estimating equations for spatially correlated binary data. In this paper, a logistic function is used to model the marginal probability of binary responses in terms of parameters of interest. With mild assumptions on the correlations, the Leonov–Shiryaev formula combined with a comparison of characteristic functions can be used to establish asymptotic normality for linear combinations of the binary…

纵向数据广义估计方程的渐近结果AI 解读

We consider the marginal models of Liang and Zeger [Biometrika 73 (1986) 13–22] for the analysis of longitudinal data and we develop a theory of statistical inference for such models. We prove the existence, weak consistency and asymptotic normality of a sequence of estimators defined as roots of pseudo-likelihood equations.

相依删失下边际比例风险回归的似然方法AI 解读

In many public health problems, an important goal is to identify the effect of some treatment/intervention on the risk of failure for the whole population. A marginal proportional hazards regression model is often used to analyze such an effect. When dependent censoring is explained by many auxiliary covariates, we utilize two working models to condense high-dimensional covariates to achieve dimension reduction. Then the estimator of the treatment effect is obtained by…

通过交叉验证选择似然权重AI 解读

The (relevance) weighted likelihood was introduced to formally embrace a variety of statistical procedures that trade bias for precision. Unlike its classical counterpart, the weighted likelihood combines all relevant information while inheriting many of its desirable features including good asymptotic properties. However, in order to be effective, the weights involved in its construction need to be judiciously chosen. Choosing those weights is the subject of this article in…

广义函数型线性模型AI 解读

We propose a generalized functional linear regression model for a regression situation where the response variable is a scalar and the predictor is a random function. A linear predictor is obtained by forming the scalar product of the predictor function with a smooth parameter function, and the expected value of the response is related to this linear predictor via a link function. If, in addition, a variance function is specified, this leads to a functional estimating…

未知形式条件异方差下时间序列条件均值模型的广义谱检验AI 解读

Economic theories in time series contexts usually have implications on and only on the conditional mean dynamics of underlying economic variables. We propose a new class of specification tests for time series conditional mean models, where the dimension of the conditioning information set may be infinite. Both linear and nonlinear conditional mean specifications are covered. The tests can detect a wide range of model misspecifications in mean while being robust to…

带辅助数据的测量误差模型AI 解读

We study the problem of parameter inference in (possibly non-linear and non-smooth) econometric models when the data are measured with error. We allow for arbitrary correlation between the true variables and the measurement errors. To solve the identification problem, we require the existence of an auxiliary data-set that contains information about the conditional distribution of the true variables given the mismeasured variables. Our main assumption requires that the…

利用企业家努力与财富检验代理理论AI 解读

ABSTRACT We develop a principal‐agent model in an entrepreneurial setting and test the model's predictions using unique data on entrepreneurial effort and wealth in privately held firms. Accounting for unobserved firm heterogeneity using instrumental‐variables techniques, we find that entrepreneurial ownership shares increase with outside wealth and decrease with firm risk; effort increases with ownership; and effort increases firm performance. The magnitude of the effects…

平均导数与平均差分的核估计AI 解读

In this article we consider the problem of estimating average derivatives and differences using kernel estimators. Our analysis focuses on developing new methods that are appropriate in the context of bounded and discrete regressors and do not require higher-order kernels for consistency or asymptotic normality. We derive a new nonparametric estimator that we call the average difference estimator. We show that this estimator is consistent and root-N asymptotically normally…

财富—消费比与消费—习惯比AI 解读

Recent research finds that the ratio of aggregate wealth to consumption emerges as a strong forecaster of stock returns. This article reports that the wealth-consumption ratio remains as a strong predictor of stock returns at the presence of the consumption-habit ratio. Most of the variability of the wealth-consumption ratio is not related to the movements of the lagged, contemporaneous, or leading consumption-habit ratios. The results reject the hypothesis that the…

股权溢价的结构突变AI 解读

This article uses Bayesian marginal likelihood analysis to compare univariate models of the stock return behavior and test for structural breaks in the equity premium. The analysis favors a model that relates the equity premium to Markov-switching changes in the level of market volatility and accommodates volatility feedback. For this model, there is evidence of a one-time structural break in the equity premium in the 1940s, with no evidence of additional breaks in the…

金融交易价格与交易时间的离散状态连续时间模型AI 解读

Financial transaction prices typically lie on a discrete grid of values and arrive at random times. This paper proposes an econometric model with this structure. The distribution of each price change is a multinomial, conditional on past information and the time interval between the transactions. The proposed autoregressive conditional multinomial (ACM) model is not restricted to be Markov or symmetric in response to shocks; however, such restrictions can be imposed. The…

(a) Let , where Q is the fixed effects (FE) transformation given by Q = I NT − P with P = I N [otimes ] ι T ι T ′/ T .

基于间距的最大似然替代方法AI 解读

In the statistics literature, asymptotic properties of the Maximum Product of Spacings estimator are derived from first principles. We propose an alternative derivation based on the comparison between its objective function and that of the Maximum Likelihood estimator.We thank the co-editor Paolo Paruolo for his patience and an anonymous referee for providing references to the statistics literature.

长记忆模型的代入估计AI 解读

We consider the Gaussian ARFIMA(j,d,l) model, with spectral density and an unknown mean . For this class of models, the n−1-normalized information matrix of the full parameter vector, (μ,θ), is asymptotically degenerate. To estimate θ, Dahlhaus (1989, Annals of Statistics 17, 1749–1766) suggested using the maximizer of the plug-in log-likelihood, , where is any n(1−2d)/2-consistent estimator of μ. The resulting estimator is a plug-in maximum likelihood estimator (PMLE). This…

积分时间序列非线性变换的进一步渐近结果AI 解读

This paper establishes various results involving functions of integrated processes. Two theorems—which improve similar results by Park and Phillips—are proved for averages of functions of an integrated process that has not been rescaled by the square root of sample size. In addition, two results are given that characterize asymptotic behavior of averages of nonintegrable functions of rescaled integrated processes; the observations close to the pole take over asymptotic…

协整的贝叶斯参考分析AI 解读

A Bayesian reference analysis of the cointegrated vector autoregression is presented based on a new prior distribution. Among other properties, it is shown that this prior distribution distributes its probability mass uniformly over all cointegration spaces for a given cointegration rank and is invariant to the choice of normalizing variables for the cointegration vectors. Several methods for computing the posterior distribution of the number of cointegrating relations and…

非参数前沿估计：基于条件分位数的方法AI 解读

In frontier analysis, most of the nonparametric approaches (free disposal hull [FDH], data envelopment analysis [DEA]) are based on envelopment ideas, and their statistical theory is now mostly available. However, by construction, they are very sensitive to outliers. Recently, a robust nonparametric estimator has been suggested by Cazals, Florens, and Simar (2002, Journal of Econometrics 1, 1–25). In place of estimating the full frontier, they propose rather to estimate an…

协整矩阵子矩阵的秩检验AI 解读

This paper proposes a test of the rank of the submatrix of β, where β is a cointegrating matrix. In addition, the submatrix of β⊥, an orthogonal complement to β, is investigated. We construct the test statistic by using the eigenvalues of the quadratic form of the submatrix. We show that the test statistic has a limiting chi-square distribution when data are nontrending, whereas for trending data we have to consider a conservative test or other testing procedure that…

惩罚样条的精确似然比检验AI 解读

Penalised-spline-based additive models allow a simple mixed model representation where the variance components control departures from linear models. The smoothing parameter is the ratio of the random-coefficient and error variances and tests for linear regression reduce to tests for zero random-coefficient variances. We propose exactlikelihood and restricted likelihood ratio tests for testing polynomial regression versus a general alternative modelled by penalised splines.…

协变量调整回归AI 解读

We introduce covariate-adjusted regression for situations where both predictors and response in a regression model are not directly observable, but are contaminated with a multiplicative factor that is determined by the value of an unknown function of an observable covariate. We demonstrate how the regression coefficients can be estimated by establishing a connection to varying-coefficient regression. The proposed covariate-adjustment method is illustrated with an analysis…