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非正态误差线性回归中 t 比率与 F 比率的性质AI 解读

In this paper we derive the necessary and sufficient conditions for the t-ratio to be Student's t distributed. In particular, it is demonstrated for a special case that under conditions of nonnormality characterized by elliptical symmetry, the t-ratio remains Student's t distributed provided that the random vector forming the t-ratio has a diagonal covariance structure. Our results also show that the findings of Magnus (2002, in A. Ullah, A.T.K. Wan, & A. Chaturvedi (eds.),…

一种简单的时间序列正态性检验AI 解读

This paper considers testing for normality for correlated data. The proposed test procedure employs the skewness-kurtosis test statistic, but studentized by standard error estimators that are consistent under serial dependence of the observations. The standard error estimators are sample versions of the asymptotic quantities that do not incorporate any downweighting, and, hence, no smoothing parameter is needed. Therefore, the main feature of our proposed test is its…

近积分模型中回归型季节单位根检验统计量的渐近分布AI 解读

In this paper we derive representations for the limiting distributions of the regression-based seasonal unit root test statistics of Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238) and Beaulieu and Miron (1993, Journal of Econometrics 55, 305–328), inter alia, when the underlying process displays near seasonal integration. Our results generalize those presented in previous studies by allowing for an arbitrary seasonal periodicity (including the…

估计高等教育的社会回报：来自纵向与重复横截面数据的证据AI 解读

Economists have speculated for at least a century that the social return to education may exceed the private return. In this paper, I estimate spillovers from college education by comparing wages for otherwise similar individuals who work in cities with different shares of college graduates in the labor force. OLS estimates show a large positive relationship between the share of college graduates in a city and individual wages, over and above the private return to education.…

Fixed effects estimators of panel models can be severely biased because of the well-known incidental parameters problem. We show that this bias can be reduced by using a panel jackknife or an analytical bias correction motivated by large T. We give bias corrections for averages over the fixed effects, as well as model parameters. We find large bias reductions from using these approaches in examples. We consider asymptotics where T grows with n, as an approximation to the…

An important objective of empirical research on treatment response is to provide decision makers with information useful in choosing treatments. Manski (2000, 2002, 2003) showed how identification problems generate ambiguity about the identity of optimal treatment choices. This paper studies treatment choice using sample data. I consider a planner who must choose among alternative statistical treatment rules, these being functions that map observed covariates of population…

This paper develops a new methodology that makes use of the factor structure of large dimensional panels to understand the nature of nonstationarity in the data. We refer to it as PANIC-Panel Analysis of Nonstationarity in Idiosyncratic and Common components. PANIC can detect whether the nonstationarity in a series is pervasive, or variable-specific, or both. It can determine the number of independent stochastic trends driving the common factors. PANIC also permits valid…

差异化产品需求系统参数估计的极限定理AI 解读

We provide an asymptotic distribution theory for a class of generalized method of moments estimators that arise in the study of differentiated product markets when the number of observations is associated with the number of products within a given market. We allow for three sources of error: sampling error in estimating market shares, simulation error in approximating the shares predicted by the model, and the underlying model error. It is shown that the estimators are CAN…

单调似然比假设的检验AI 解读

Although monotonicity of the likelihood ratio for conditioned densities is a common technical assumption in economic models, empirical tests for its plausibility do not appear to have been conducted. This article develops such a test based on the theory of order-restricted inference that is robust with respect to the correlation structure of the distributions being compared. The test is applied to study the technology revealed by agricultural production experiments. For the…

具有共同随机方差的状态空间模型AI 解读

This article considers a combination of the linear Gaussian state space model and the stochastic volatility model. The focus is on the simultaneous estimation of parameters related to the stochastic processes of both the mean and variance parts of the model. Kalman filter and Monte Carlo maximum likelihood methods lead to an elegant estimation procedure for which the simulation error can be made arbitrarily small. The standard asymptotic properties of maximum likelihood…

分数协整的最优残差检验与汇率动态AI 解读

A Lagrange multiplier test of the null hypothesis of cointegration in fractionally cointegrated models is proposed. The test statistic uses fully modified residuals to cancel the endogeneity and serial correlation biases, and standard asymptotic properties apply under the null and under local alternatives. With iid Gaussian errors, the asymptotic Gaussian power envelope of all (unbiased) tests is achieved by the one-sided (two-sided) test. The finite-sample properties are…

利用含分类错误的有序响应模型分析移民口语熟练度AI 解读

We develop parametric models that incorporate misclassification error in an ordered response model and compare them with a semiparametric model that nests the parametric models. We apply these estimators to the analysis of English-speaking fluency of immigrants in the United Kingdom, focusing on Lazear's theory that due to learning or self-selection, there is a negative relation between speaking fluency and the ethnic minority concentration in the region. Specification tests…

美国医院行业规模报酬的非参数分析AI 解读

Abstract This paper presents new estimates of scale economies for US hospitals. We show that the common translog specification of hospital costs is a misspecification, and employ nonparametric, local linear estimation with both continuous and discrete covariates. A bootstrap method is used to provide inferences regarding ray scale economies and expansion path scale economies for a large sample of hospitals covering 1984–1996. We find evidence of changes in the structure of…

相关回归误差的非参数检测AI 解读

In regression problems it is hard to detect correlated errors since the errors are not observed. In this paper, a nonparametric method is proposed for the detection of correlated errors when the design points are equally spaced. It turns out that the first‐order sample autocovariance of the residuals from the kernel regression estimates provides essential information about correlated errors and its bootstrap is quite effective in implementing such information.

适用于二元数据的高效 Robbins–Monro 程序AI 解读

The Robbins–Monro procedure does not perform well in the estimation of extreme quantiles, because the procedure is implemented using asymptotic results, which are not suitable for binary data. Here we propose a modification of the Robbins–Monro procedure and derive the optimal procedure for binary data under some reasonable approximations. The improvement obtained by using the optimal procedure for the estimation of extreme quantiles is substantial.

贝叶斯线性运动学与贝叶斯线性—贝叶斯图模型AI 解读

Probability kinematics (Jeffrey, 1965, 1983) furnishes a method for revising a prior probability specification based upon new probabilities over a partition. We develop a corresponding Bayes linear kinematic for a Bayes linear analysis given information which changes our beliefs about a random vector in some generalised way. We derive necessary and sufficient conditions for commutativity of successive Bayes linear kinematics which depend upon the eigenstructure of the joint…

含测量误差回归中的主 Hessian 方向AI 解读

We consider a nonlinear regression problem with predictors with measurement error. We assume that the response is related to unknown linear combinations of a p‐dimensional predictor vector through an unknown link function. Instead of observing the predictors, we observe a surrogate vector with the property that its expectation is linearly related to the predictor vector with constant variance. We use an important linear transformation of the surrogates. Based on the…

利用小规模暴发估计疫苗效力AI 解读

Let CV and C0 denote the number of cases among vaccinated and unvaccinated individuals, respectively, and let υ be the proportion of individuals vaccinated. The quantity ê = 1–(1–υ)CV/(υC0) = 1–(relative attack rate) is the most used estimator of the effectiveness of a vaccine to protect against infection. For a wide class of vaccine responses, a family of transmission models and three types of community settings, this paper investigates what ê actually estimates. It does so…

家庭群体中随机多类型流行病的阈值参数与安全接种覆盖率估计AI 解读

This paper is concerned with estimation of the threshold parameter R* for a stochastic model for the spread of a susceptible → infective → removed epidemic among a closed, finite population that contains several types of individual and is partitioned into households. It turns out that R* cannot be estimated consistently from final outcome data, so a Perron–Frobenius argument is used to obtain sharp lower and upper bounds for R*, which can be estimated consistently.…

病例队列删失数据半参数变换模型的加权估计方程AI 解读

SUMMARY In a case-cohort design introduced by Prentice (1986), covariates are assembled only for a subcohort randomly selected from the entire cohort, and any additional cases outside the subcohort. Semiparametric transformation models are considered here for failure time data from the case-cohort design. Weighted estimating equations are proposed for esti mation of the regression parameters. The estimation procedure of survival probability at given covariate levels is also…

双重删失数据的半参数回归分析AI 解读

We analyse doubly censored data using semiparametric transformation models. We provide inference procedures for the regression parameters and derive the asymptotic distributions of the proposed estimators. Procedures for model checking and model selection are also discussed. We illustrate our approach with a viral‐load dataset from a recent AIDS clinical trial.

基于加权对数秩统计量的聚类生存数据样本量公式AI 解读

We present a simple sample‐size formula for weighted log‐rank statistics applied to clustered survival data with variable cluster sizes and arbitrary treatment assignments within clusters. This formula is based on the asymptotic normality of weighted log‐rank statistics under certain local alternatives in the clustered data context. We also provide consistent variance estimators. The derived sample‐size formula reduces to Schoenfeld's (1983) formula for cases of no…

中等偏差事件的高效重要性抽样及其应用AI 解读

We propose a method for finding the alternative distribution in importance sampling. The alternative distribution is optimal in the sense that the asymptotic variance is minimised for estimating tail probabilities of asymptotically normal statistics. Our contribution to importance sampling is three‐fold. To begin with, we obtain an explicit expression for the mean of the optimal alternative distribution and the expression motivates a recursive approximation algorithm.…

广义估计方程与二次推断函数的稳健性评估AI 解读

In the presence of data contamination or outliers, some empirical studies have indicated that the two methods of generalised estimating equations and quadratic inference functions appear to have rather different robustness behaviour. This paper presents a theoretical investigation from the perspective of the influence function to identify the causes for the difference. We show that quadratic inference functions lead to bounded influence functions and the corresponding…