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烟草支出面板估计中的个体异质性与删失AI 解读

Abstract A panel of households is used to test the rational addiction model of Becker et al. ( 1994 ). These data raise problems of measurement errors, censoring, and unobservable heterogeneity. We use sample separation information to exclude those households who never purchase tobacco. To deal with the remaining zeros we compare specifications based on infrequency of purchase and on censoring. GMM and system‐GMM are used to deal with errors‐in‐variables and unobservable…

共享脆弱性回归模型的一种简便估计量AI 解读

Summary We propose a simple estimation procedure for a proportional hazards frailty regression model for clustered survival data in which the dependence is generated by a positive stable distribution. Inferences for the frailty parameter can be obtained by using output from Cox regression analyses. The computational burden is substantially less than that of the other approaches to estimation. The large sample behaviour of the estimator is studied and simulations show that…

单调缺失纵向数据分析中的模式混合模型与选择模型AI 解读

Summary We examine three pattern–mixture models for making inference about parameters of the distribution of an outcome of interest Y that is to be measured at the end of a longitudinal study when this outcome is missing in some subjects. We show that these pattern–mixture models also have an interpretation as selection models. Because these models make unverifiable assumptions, we recommend that inference about the distribution of Y be repeated under a range of plausible…

依赖删失下 Copula 模型关联参数的估计AI 解读

Summary Many biomedical studies involve the analysis of multiple events. The dependence between the times to these end points is often of scientific interest. We investigate a situation when one end point is subject to censoring by the other. The model assumptions of Day and co-workers and Fine and co-workers are extended to more general structures where the level of association may vary with time. Two types of estimating function are proposed. Asymptotic properties of the…

利用因果图选择协变量以估计控制方案的因果效应AI 解读

Summary Consider a case where cause–effect relationships between variables can be described by a causal path diagram and the corresponding linear structural equation model. The paper proposes a graphical selection criterion for covariates to estimate the causal effect of a control plan. For designing the control plan, it is essential to determine both covariates that are used for control and covariates that are used for identification. The selection of covariates used for…

矩形阵列渐近框架下投影得分方法的效率AI 解读

Summary The paper considers a rectangular array asymptotic embedding for multistratum data sets, in which both the number of strata and the number of within-stratum replications increase, and at the same rate. It is shown that under this embedding the maximum likelihood estimator is consistent but not efficient owing to a non-zero mean in its asymptotic normal distribution. By using a projection operator on the score function, an adjusted maximum likelihood estimator can be…

基于最大相关及其正交分解的拟合优度检验AI 解读

Summary We propose a goodness-of-fit statistic Qn based on the Hoeffding maximum correlation for testing uniformity and we show its relationship to Gini's mean difference. We compute exact and asymptotic critical values and study the power of the test proposed against a representative set of alternatives.

独立与相依观测下崩溃点的综合定义AI 解读

Summary We provide a new definition of breakdown in finite samples, with an extension to asymptotic breakdown. Previous definitions centre on defining a critical region for either the parameter or the objective function. If for a particular outlier configuration the critical region is entered, breakdown is said to occur. In contrast with the traditional approach, we leave the definition of the critical region implicit. Our proposal encompasses previous definitions of…

条件统计推断与相关性的量化AI 解读

Summary We argue that it can be fruitful to take a predictive view on notions such as the precision of a point estimator and the confidence of an interval estimator in frequentist inference. This predictive approach has implications for conditional inference, because it immediately allows a quantification of the concept of relevance for conditional inference. Conditioning on an ancillary statistic makes inference more relevant in this sense, provided that the ancillary is a…

t 分布的偏斜扩展及其应用AI 解读

Summary A tractable skew t-distribution on the real line is proposed. This includes as a special case the symmetric t-distribution, and otherwise provides skew extensions thereof. The distribution is potentially useful both for modelling data and in robustness studies. Properties of the new distribution are presented. Likelihood inference for the parameters of this skew t-distribution is developed. Application is made to two data modelling examples.

薄板回归样条AI 解读

Summary I discuss the production of low rank smoothers for d ≥ 1 dimensional data, which can be fitted by regression or penalized regression methods. The smoothers are constructed by a simple transformation and truncation of the basis that arises from the solution of the thin plate spline smoothing problem and are optimal in the sense that the truncation is designed to result in the minimum possible perturbation of the thin plate spline smoothing problem given the dimension…

大簇规模下广义估计方程的渐近理论AI 解读

Generalized estimating equations are used in regression analysis of longitudinal data, where observations on each subject are correlated. Statistical analysis using such methods is based on the asymptotic properties of regression parameter estimators. This paper presents asymptotic results when either the number of independent subjects or the cluster sizes (the number of observations on each subject) or both go to infinity. A set of (information matrix based) general…

多元尾概率的鞍点近似AI 解读

This paper presents a saddlepoint approximation to the cumulative distribution function of a random vector. The proposed approximation has accuracy comparable to that of existing expansions valid in two dimensions, and may be applied to random vectors of arbitrary length, subject only to the requirement that the distribution approximated either have a density or be confined to a lattice, and have a cumulant generating function. The result is derived by directly inverting the…

We propose a new test, based on model selection methods, for testing that the expectation of a Gaussian vector with n independent components belongs to a linear subspace of $\R^{n}$ against a nonparametric alternative. The testing procedure is available when the variance of the observations is unknown and does not depend on any prior information on the alternative. The properties of the test are nonasymptotic and we prove that the test is rate optimal [up to a possible log(n…

多元混合模型中成分分布的非参数估计AI 解读

Suppose k-variate data are drawn from a mixture of two distributions, each having independent components. It is desired to estimate the univariate marginal distributions in each of the products, as well as the mixing proportion. This is the setting of two-class, fully parametrized latent models that has been proposed for estimating the distributions of medical test results when disease status is unavailable. The problem is one of inference in a mixture of distributions…

流形上内蕴与外蕴样本均值的大样本理论AI 解读

Sufficient conditions are given for the uniqueness of intrinsic and extrinsic means as measures of location of probability measures Q on Riemannian manifolds. It is shown that, when uniquely defined, these are estimated consistently by the corresponding indices of the empirical $\hat Q_n$. Asymptotic distributions of extrinsic sample means are derived. Explicit computations of these indices of $\hat Q_n$ and their asymptotic dispersions are carried out for distributions on…

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非线性 STAR 框架下的单位根检验AI 解读

In this paper, we propose a simple testing procedure to detect the presence of nonstationarity against nonlinear but globally stationary exponential smooth transition autoregressive processes. We provide an advance over the existing literature in three senses. First, we derive the limiting nonstandard distribution of the proposed tests. Second, we find via Monte Carlo simulation exercises that under the alternative of a globally stationary ESTAR process, our proposed test…

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收入转移与低收入家庭的资产积累AI 解读

Contrary to the predictions of the standard life-cycle model, many low-lifetime-income households accumulate little wealth relative to their incomes compared to households with high lifetime income. I use data from the Panel Study of Income Dynamics and a correlated random-effects generalized-method-of-moments estimator to decompose the rich-poor gaps in wealth-to-permanent-income ratio into the portions attributable to differences in characteristics such as labor market…

03.1.1 利用完全数据似然推导有序 Probit 与 Logit 模型的观测信息矩阵AI 解读

Louis (1982) presents a method for computing the observed information matrix and standard errors of maximum likelihood estimates obtained via the EM algorithm based on the complete-data log likelihood function. The problem illustrates the well-known method of Louis (1982) for a widely used qualitative response model in econometrics. The observed-data log likelihood function for the following model can, of course, be easily differentiated to obtain the observed information…

一般分数阶单整过程的渐近理论及单位根检验应用AI 解读

In this paper, functional limit theorems for general fractional processes are established under quite weak conditions. The results are then used to derive weak convergence of general nonstationary fractionally integrated processes and to characterize unit root distribution in a model with error being a fractional autoregressive moving average process or a nonstationary fractionally integrated process.The authors thank three referees and an associate editor for their detailed…

模型选择后估计量的有限样本分布：一致与非一致逼近AI 解读

In Pötscher (1991, Econometric Theory 7, 163–185) the asymptotic distribution of a post-model-selection estimator, both unconditional and conditional on selecting a correct model (minimal or not), has been derived. Limitations of these results are (i) that they do not provide information on the distribution of the post-model-selection estimator conditional on selecting an incorrect model and (ii) that the quality of this asymptotic approximation to the finite-sample…