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马尔可夫链边际自助法AI 解读

Markov chain marginal bootstrap (MCMB) is a new method for constructing confidence intervals or regions for maximum likelihood estimators of certain parametric models and for a wide class of M estimators of linear regression. The MCMB method distinguishes itself from the usual bootstrap methods in two important aspects: it involves solving only one-dimensional equations for parameters of any dimension and produces a Markov chain rather than a (conditionally) independent…

联合分析模型的统一方法AI 解读

We present a unified approach to conjoint analysis models using a Bayesian framework. One data source is used to form a prior distribution for the partworths, whereas full-profile evaluations under a rating scale, ranking, discrete choice, or constant-sum scale constitute the likelihood data (“one model fits all”). Standard existing models for conjoint analysis, considered in the literature, become particular cases of the proposed specification, and explicit formulas for the…

解释黑人与白人的财富差距AI 解读

Many applications involve a decomposition of the mean intergroup difference in a given variable into the portion attributable to differences in the distribution of one or more explanatory variables and that due to differences in the conditional expectation function. This article notes two interrelated reasons why the Blinder–Oaxaca (B–O) method—the approach most commonly used in the literature—may yield misleading results. We suggest a natural solution that both provides a…

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统计遗传学非参数原假设检验中的群体异质性与单倍型频率误设调整AI 解读

Population heterogeneity and misspecified population haplotype frequencies are potential sources of bias in a variety of hypothesis testing problems in statistical genetics. Several strategies have been proposed for adjusting for population heterogeneity, but the theoretical basis for the strategies has been developed in relatively narrow contexts, and the methods in general do not exploit all of the available information. Here a generally applicable approach for efficient…

复杂抽样调查数据的潜类别分析AI 解读

High fruit and vegetable intake is associated with decreased cancer risk. However, dietary recall data from national surveys suggest that, on any given day, intake falls below the recommended minima of three daily servings of vegetables and two daily servings of fruit. There is no single widely accepted measure of “usual” intake. One approach is to regard the distribution of intake as a mixture of “regular” (relatively frequent) and “nonregular” (relatively infrequent)…

The paper by Kiefer, Vogelsang and Bunzel (2000), KVB henceforth, provides an interesting unconventional application of functional limit theory to a conventional problem. In this note, we point out that the limiting distribution of the t^{∗} test proposed by KVB turns out to be equivalent to the asymptotic distribution of one of the statistics analysed by Abadir and Paruolo (1997), AP henceforth. The mixed-Normal random variables studied in AP and KVB are different, but they…

使用不截断Bartlett核的异方差与自相关稳健标准误AI 解读

In this paper we analyze heteroskedasticity-autocorrelation (HAC) robust tests constructed using the Bartlett kernel without truncation. We show that while such an HAC estimator is not consistent, asymptotically valid testing is still possible. We show that tests using the Bartlett kernel without truncation are exactly equivalent to recent HAC robust tests proposed by Kiefer, Vogelsang and Bunzel (2000, Econometrica, 68, pp 695-714).

This paper presents a new test for fractionally integrated (FI) processes. In particular, we propose a testing procedure in the time domain that extends the well–known Dickey–Fuller approach, originally designed for the I(1) versus I(0) case, to the more general setup of FI(d0) versus FI(d1), with d1

Strategic behavior in a finite market can cause inefficiency in the allocation, and market mechanisms differ in how successfully they limit this inefficiency. A method for ranking algorithms in computer science is adapted here to rank market mechanisms according to how quickly inefficiency diminishes as the size of the market increases. It is shown that trade at a single market-clearing price in the "k"-double auction is "worst-case asymptotic optimal" among all plausible…

With the cointegration formulation of economic long–run relations the test for cointegrating rank has become a useful econometric tool. The limit distribution of the test is often a poor approximation to the finite sample distribution and it is therefore relevant to derive an approximation to the expectation of the likelihood ratio test for cointegration in the vector autoregressive model in order to improve the finite sample properties. The correction factor depends on…

We propose a novel statistic for conducting joint tests on all the structural parameters in instrumental variables regression. The statistic is straightforward to compute and equals a quadratic form of the score of the concentrated log–likelihood. It therefore attains its minimal value equal to zero at the maximum likelihood estimator. The statistic has a χ2 limiting distribution with a degrees of freedom parameter equal to the number of structural parameters. The limiting…

美国股指收益的时间不可逆性与 EGARCH 效应AI 解读

Abstract In this paper we suggest using a modified version of the time reversibility (TR) test of Chen, Chou and Kuan ( 2000 ) as a complementary diagnostic test for time series models. The modified CCK test is easy to compute and requires weaker moment conditions than existing tests. Our simulations demonstrate that this test is powerful against asymmetry in volatility but the BDS test is not. In the empirical study of US stock index returns, we first find that these…

STAR 与 STAR-GARCH 模型的极大似然估计：理论与蒙特卡洛证据AI 解读

Abstract Theoretical and practical interest in non‐linear time series models, particularly regime switching models, have increased substantially in recent years. Given the abundant research activity in analysing time‐varying volatility through Generalized Autoregressive Conditional Heteroscedasticity (GARCH) processes (see Engle, 1982 ; Bollerslev, 1986 ), it is important to analyse regime switching models with GARCH errors. A popular specification in this class is the…

利用已实现方差估计二次变差AI 解读

Abstract This paper looks at some recent work on estimating quadratic variation using realized variance (RV)—that is, sums of M squared returns. This econometrics has been motivated by the advent of the common availability of high‐frequency financial return data. When the underlying process is a semimartingale we recall the fundamental result that RV is a consistent (as M → ∞) estimator of quadratic variation (QV). We express concern that without additional assumptions it…

金融市场波动率动态中的多重结构突变检测AI 解读

Abstract The paper evaluates the performance of several recently proposed tests for structural breaks in the conditional variance dynamics of asset returns. The tests apply to the class of ARCH and SV type processes as well as data‐driven volatility estimators using high‐frequency data. In addition to testing for the presence of breaks, the statistics identify the number and location of multiple breaks. We study the size and power of the new tests for detecting breaks in the…

兼顾线性模型辨别与参数估计的有效试验设计AI 解读

We consider experimental designs in a regression set‐up where the unknown regression function belongs to a known family of nested linear models. The objective of our design is to select the correct model from the family of nested models as well as to estimate efficiently the parameters associated with that model. We show that our proposed design is able to choose the true model with probability tending to one as the number of trials grows to infinity. We also establish that…

圆周回归AI 解读

A new model for an angular regression link function is introduced. The model employs an angular scale parameter, incorporates proper and improper rotations as special cases, and is equivalent to the Möbius circle mapping for complex variables. Desirable properties of the circle mapping carry over to angular regression. Parameter estimation and inferential methods are developed and illustrated.

删失数据变换模型的半参数分析AI 解读

A unified estimation procedure is proposed for the analysis of censored data using linear transformation models, which include the proportional hazards model and the proportional odds model as special cases. This procedure is easily implemented numerically and its validity does not rely on the assumption of independence between the covariates and the censoring variable. The estimator is the same as the Cox partial likelihood estimator in the case of the proportional hazards…

信息性删失下失效时间分布的估计AI 解读

We present a method for estimating the survival curve of a continuous failure time random variable from right-censored data. Our method allows adjustment for informative censoring due to measured prognostic factors for time-to-event and censoring while simultaneously quantifying the sensitivity of the inference to residual dependence between failure and censoring due to unmeasured factors. We present the results of a simulation study and illustrate our approach using data…

依赖结构未指定的纵向数据半参数模型估计AI 解读

This paper considers an extension of M‐estimators in semiparametric models for independent observations to the case of longitudinal data. We approximate the nonparametric function by a regression spline, and any M‐estimation algorithm for the usual linear models can then be used to obtain consistent estimators of the model and valid large‐sample inferences about the regression parameters without any specification of the error distribution and the covariance structure.…

基于最大似然排序的停止后追加数据序贯检验与估计AI 解读

SUMMARY Often in sequential trials some additional data become available after a stopping boundary has been reached. A method for incorporating such information from overrunning is developed, based on a maximum-likelihood ordering of the sample space after overrunning. This yields a p-value for the primary test and a median-unbiased estimator and confidence intervals for the parameter under test. The context is that of observing a Brownian motion with drift, with either…

覆盖问题的 Poisson 模型及其基因组应用AI 解读

Suppose a population has infinitely many individuals and is partitioned into unknown N disjoint classes. The sample coverage of a random sample from the population is the total proportion of the classes observed in the sample. This paper uses a nonparametric Poisson mixture model to give new understanding and results for inference on the sample coverage. The Poisson mixture model provides a simplified framework for inferring any general abundance‐K coverage, the sum of the…

非嵌套 Cox 模型的比较AI 解读

We derive the limiting distribution of the partial likelihood ratio under general conditions. The multiplicative hazards models being fitted may be nonnested and misspecified. The true model is not assumed to contain either model under consideration. The null hypothesis is that the models are equidistant in Kullback–Leibler metric applied to the rank likelihood. The statistic is consistent for the model which is closer to the truth. Its distribution depends on the unknown…