论文检索

非平稳单变量模型中的有效似然推断AI 解读

Recent literature shows that embedding fractionally integrated time series models with spectral poles at the long-run and/or seasonal frequencies in autoregressive frameworks leads to estimators and test statistics with nonstandard limiting distributions. However, we demonstrate that when embedding such models in a general I(d) framework the resulting estimators and tests regain desirable properties from standard statistical analysis. We show the existence of a local time…

摘要暂缺

摘要暂缺

摘要暂缺

摘要暂缺

摘要暂缺

多工具变量下的随机效应估计量AI 解读

In this paper we propose a new estimator for a model with one endogenous regressor and many instrumental variables. Our motivation comes from the recent literature on the poor properties of standard instrumental variables estimators when the instrumental variables are weakly correlated with the endogenous regressor. Our proposed estimator puts a random coefficients structure on the relation between the endogenous regressor and the instruments. The variance of the random…

GMM 与广义经验似然估计量的高阶性质AI 解读

In an effort to improve the small sample properties of generalized method of mo-ments (GMM) estimators, a number of alternative estimators have been suggested. These include empirical likelihood (EL), continuous updating, and exponential tilt-ing estimators. We show that these estimators share a common structure, being members of a class of generalized empirical likelihood (GEL) estimators. We use this structure to compare their higher order asymptotic properties. We find…

含测量误差的非线性模型估计AI 解读

This paper presents a solution to an important econometric problem, namely the root n consistent estimation of nonlinear models with measurement errors in the explanatory variables, when one repeated observation of each mismeasured regressor is available. While a root n consistent estimator has been derived for polynomial specifications (see Hausman, Ichimura, Newey, and Powell (1991)), such an estimator for general nonlinear specifications has so far not been available.…

资产定价检验中对未指定先验偏差的收益过滤AI 解读

Procedures are presented that allow the empiricist to estimate and test asset pricing models on limited-liability securities without the assumption that the historical payoff distribution provides a consistent estimate of the market's prior beliefs. The procedures effectively filter return data for unspecified historical biases in the market's priors. They do not involve explicit estimation of the market's priors, and hence, economize on parameters. The procedures derive…

改善多项Logit有限混合模型个体估计与预测的经验贝叶斯方法AI 解读

with by specifying either a multinomial or a normal distribution of the coefficients, leading to finite mixture logit and mixed logit models. Focusing on the former, we show that individual-level estimates and predictions of finite mixtures estimated by maximizing the likelihood function can be improved through integration over the estimation error of the hyperparameters, using an empirical Bayes approach. We investigate the conjecture that this approach is more robust…

行为假设如何影响结构推断？来自实验室实验的证据AI 解读

rational expectations has on structural inference in a dynamic discrete decision problem. Our design induces preferences up to the subjective rate of time preference, leaving unrestricted both this parameter and subjects' decision rules. We estimate subjects' discount rates under the assumption that all subjects use the rational expectations decision rule, and under weaker behavioral assumptions that allow decision rule heterogeneity. We find that certain sophisticated…

异质性模型的贝叶斯分析AI 解读

effects, which is also known as the heterogeneity model. First, we discuss the properties of various Markov chain Monte Carlo samplers that are obtained from full conditional Gibbs sampling by grouping and collapsing. Whereas full conditional Gibbs sampling turns out to be sensitive to the parameterization chosen for the mean structure of the model, the alternative sampler is robust in this respect. However, the logical extension of the approach to the sampling of the group…

抽样频率与匹配型号、特征回归价格指数的比较AI 解读

prices, because the price/performance ratio of models sold in consecutive periods is worse than that of new models. This "unrepresentativeness" of the sample potentially might be reduced by obtaining higher-frequency data, thus increasing the fraction of models that are matched. We propose a set of conformable indexes to test this hypothesis. Using computer prices from the Buy Direct press, we find, contrary to initial expectations, that the bias in the matched-model price…

融资约束与农场投资AI 解读

This study contributes to the q-based empirical investment literature by using a Bayesian approach to analyze the impact of internal financial variables on a q-based investment model, accounting specifically for variable selection and incorporating outliers explicitly within the advocated modeling framework. For the balanced panel analyzed, a farm's liquidity situation is found to affect its investment significantly. Incorporation of an outlier detection component changes…

若干稳健工具变量估计量的表现AI 解读

and rank regression estimators. The asymptotic properties of the estimators are discussed, and a small-scale Monte Carlo study is used to illustrate the potential advantages of the approach. Finally, the proposed methods are implemented for two empirical examples.

协整检验之间的混合信号AI 解读

Abstract This paper illustrates that, under the null hypothesis of no cointegration, the correlation of p ‐values from a single‐equation residual‐based test (i.e., ADF or $\widehat{Z}_{\alpha}$ ) with a system‐based test (trace or maximum eigenvalue) is very low even as the sample size gets large. With data‐generating processes under the null or ‘near’ it, the two types of tests can yield virtually any combination of p ‐values regardless of sample size. As a practical…

马尔可夫误差修正模型：股票价格与股息应用AI 解读

Abstract This paper considers Markov error‐correction (MEC) models in which deviations from the long‐run equilibrium are characterized by different rates of adjustment. To motivate our analysis and illustrate the various issues involved, our discussion is structured around the analysis of the long‐run properties of US stock prices and dividends. It is shown that the MEC model is flexible enough to account for situations where deviations from the long‐run equilibrium are…

关于恢复自助法一致性的方法的一则札记AI 解读

We consider the property of consistency and its relevance for determining the performance of the bootstrap. We analyse various parametric bootstrap approximations to the distributions of the Hodges and Stein estimators, whose behaviour is typical of that of super‐efficient estimators employed in wavelet regression, kernel density estimation and nonparametric curve fitting. Our results reveal not only some of the difficulties in selecting good modifications to the intuitive…

基于稳健离散度的主成分渐近分布AI 解读

Algebraically, principal components can be defined as the eigenvalues and eigenvectors of a covariance or correlation matrix, but they are statistically meaningful as successive projections of the multivariate data in the direction of maximal variability. An attractive alternative in robust principal component analysis is to replace the classical variability measure, i.e. variance, by a robust dispersion measure. This projection‐pursuit approach was first proposed in Li &…

随机删失下比例优势模型的检验AI 解读

In practical applications, it is not uncommon for the hazard functions of two groups to converge with time. One approach that allows for converging hazard functions is the proportional odds model. We develop a procedure for testing the proportional odds assumption when the available data consist of two independent random samples of randomly right‐censored lifetimes. Asymptotic normality of the test statistic is proved and the procedure is applied to two well‐known datasets.…

非线性及广义线性混合效应模型的混合估计方法AI 解读

A hybrid method that combines Laplace's approximation and Monte Carlo simulations to evaluate integrals in the likelihood function is proposed for estimation of the parameters in nonlinear mixed effects models that assume a normal parametric family for the random effects. Simulations show that these parametric estimates of fixed effects are close to the nonparametric estimates even though the mixing distribution is far from the assumed normal parametric family. An asymptotic…

关于“检验正态混合分布的成分数量”的札记AI 解读

In a recent paper, Lo et al. (2001) propose a test for the likelihood ratio statistic based on the Kullback–Leibler information criterion when testing the null hypothesis that a random sample is drawn from a mixture of k0 normal components against the alternative hypothesis of a mixture with k1 normal components with k0 less than k1. However, this result requires conditions that are generally not met when the null hypothesis holds. Consequently, the result is not proven and…

复杂入样机制下基于数据增广的条件似然推断AI 解读

In many applications, particularly in genetics, samples are drawn under complex ascertainment rules. For example, families may only be selected for study if two or more siblings have trait values exceeding some threshold. The correct likelihood for inference in such situations involves the probabilities of ascertainment, and these are frequently intractable. A consistent, but not fully efficient, method of analysis of such studies is proposed. The main idea is to augment the…