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通常似然与调整似然所构造多维置信集的期望体积AI 解读

Summary We consider a general multiparameter set-up, where both the interest and the nuisance parameters are possibly vector valued. We derive an explicit higher order asymptotic formula to compare the expected volumes of confidence sets given by likelihood ratio statistics arising from the usual profile likelihood and various adjustments thereof. Our general framework also allows us to include highest posterior density regions, with approximate frequentist validity, in the…

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核平滑方法下的收益率曲线估计AI 解读

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although we do show how to impose various restrictions in the estimation. Our method is based on kernel smoothing and is defined as the minimum of some localized population moment condition. The solution to the sample problem is not…

嵌套模型的预测精度相等与预测涵盖检验AI 解读

We examine the asymptotic and finite-sample properties of tests for equal forecast accuracy and encompassing applied to 1-step ahead forecasts from nested parametric models. We first derive the asymptotic distributions of two standard tests and one new test of encompassing. Tables of asymptotically valid critical values are provided. Monte Carlo methods are then used to evaluate the size and power of the tests of equal forecast accuracy and encompassing. The simulations…

跨期劳动供给模型工具变量估计的有限样本偏误：跨期替代弹性真的很小吗？AI 解读

The empirical literature on intertemporal labor supply behavior documents that the intertemporal elasticity of substitution of labor supply is very low, with a plausible range of zero to 0.2. Drawing upon the literature on the distribution of instrumental variables (IV) estimators, this paper demonstrates that this conventional wisdom is erroneous because it does not take into account the severe finite sample bias in these estimates that arise from weak instruments. This…

This paper employs recently developed techniques for testing hypotheses in cointegrated panels to test the strong version of purchasing power parity for a panel of post Bretton Woods data. We compare results using fully modified and dynamic OLS approaches, and strongly reject the hypothesis. We also introduce a new between-dimension dynamic OLS estimator and find that the between-dimension FMOLS and DOLS estimates of the long-run deviation from purchasing power parity are…

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含单位根的门槛自回归模型AI 解读

This paper develops an asymptotic theory of inference for an unrestricted two-regime threshold autoregressive (TAR) model with an autoregressive unit root. We find that the asymptotic null distribution of Wald tests for a threshold are nonstandard and different from the stationary case, and suggest basing inference on a bootstrap approximation. We also study the asymptotic null distributions of tests for an autoregressive unit root, and find that they are nonstandard and…

滞后阶数选择与兼具良好尺寸和功效的单位根检验AI 解读

It is widely known that when there are errors with a moving-average root close to −1, a high order augmented autoregression is necessary for unit root tests to have good size, but that information criteria such as the AIC and the BIC tend to select a truncation lag (k) that is very small. We consider a class of Modified Information Criteria (MIC) with a penalty factor that is sample dependent. It takes into account the fact that the bias in the sum of the autoregressive…

重新审视远期贴水异象：计量经济学证据AI 解读

Abstract Using both semiparametric and parametric estimation methods, this paper corroborates earlier findings of fractionally integrated behaviour in the forward premium. Two new explanations are also proposed to help reconcile earlier conflicting empirical evidence on the time series properties of the forward premium. Traditional regression approaches used to test the forward rate unbiasedness hypothesis are then evaluated, including regression in levels, in returns…

可预测性的度量：理论与宏观经济应用AI 解读

Abstract We propose a measure of predictability based on the ratio of the expected loss of a short‐run forecast to the expected loss of a long‐run forecast. This predictability measure can be tailored to the forecast horizons of interest, and it allows for general loss functions, univariate or multivariate information sets, and covariance stationary or difference stationary processes. We propose a simple estimator, and we suggest resampling methods for inference. We then…

序贯检验后次要参数的无偏估计AI 解读

We consider, within a Brownian motion framework, estimation of secondary parameters following a sequential test. Whitehead (1986b) proposed a method for reducing the bias of maximum likelihood estimators. In this paper we present unbiased estimators to eliminate the bias.

三维运动统计分析的方向模型AI 解读

Movement of an object in three dimensions involves rotation and translation. The data for analysis are the coordinates of landmarks on the object, recorded at several time points. Statistical models for describing the rotational component of the movement of an object are proposed in this work. Under the fixed‐axis model, the object rotates around an axis that does not change in time. The angular position of the object is then characterised by its rotation axis and an angle…

广义线性混合模型中的稳健估计AI 解读

We propose robust methods for estimation of parameters of interest in an extended generalised linear mixed model, in which only the conditional means of the responses given the random effects are specified. A first‐step estimator θ of the vector θ of parameters is obtained by solving a system of estimating equations. It is shown that θ is consistent. If, furthermore, the conditional variances are correctly specified, a second‐step estimator, θ, can be obtained by solving a…

区间删失数据的简便加速失效时间回归AI 解读

An approach is presented for fitting the accelerated failure time model to interval censored data that does not involve computing the nonparametric maximum likelihood estimate of the distribution function at the residuals. The approach involves estimating equations computed with the examination times from the same individual treated as if they had actually been obtained from different individuals. The dependence between different measurements obtained from the same…

合并可能相似的实验数据AI 解读

Given data from L experiments or observational studies initially believed to be similar, it is desired to estimate the mean corresponding to an experiment or observational study, Ej, of particular interest. It is often profitable to use the data from related studies to sharpen the estimate corresponding to experiment Ej . However, it is essential that all of the data that are combined be concordant with the data from Ej. We improve the methodology first proposed by Malec &…

神经网络中的贝叶斯推断AI 解读

Approximate marginal Bayesian computation and inference are developed for neural network models. The marginal considerations include determination of approximate Bayes factors for model choice about the number of nonlinear sigmoid terms, approximate predictive density computation for a future observable and determination of approximate Bayes estimates for the nonlinear regression function. Standard conjugate analysis applied to the linear parameters leads to an explicit…

利用Metropolis–Hastings算法推断部分观测非线性扩散模型AI 解读

In this paper, we introduce a new Markov chain Monte Carlo approach to Bayesian analysis of discretely observed diffusion processes. We treat the paths between any two data points as missing data. As such, we show that, because of full dependence between the missing paths and the volatility of the diffusion, the rate of convergence of basic algorithms can be arbitrarily slow if the amount of the augmentation is large. We offer a transformation of the diffusion which breaks…

广义估计方程中的稳健方差估计量AI 解读

The variance matrix of the estimated regression coefficient in the Liang–Zeger generalised estimating equation approach can be consistently estimated by the so‐called sandwich or robust estimator. In this note, we propose a modification to the Liang–Zeger prescription for implementing the robust variance estimator. Analytical and numerical evidence shows the superior performance of our proposal.

二元典型相关分析中的秩条件检验AI 解读

The likelihood ratio test for the hypothesis that the smaller of two canonical correlations is zero is nonsimilar; the distribution of the test statistic depends on the value of the largest canonical correlation. In applications the nuisance parameter usually has to be estimated, and this paper describes the distributional properties of the test, conditional on the estimator. Although these properties depend on the nuisance parameter, the dependency seems to be negligible…

相关密度型最小散度估计量的比较AI 解读

This paper compares the minimum divergence estimator of Basu et al. (1998) to a competing minimum divergence estimator which turns out to be equivalent to a method proposed from a different perspective by Windham (1995). Both methods can be applied for any parametric model and contain maximum likelihood as a special case. Efficiencies are compared under model conditions, and robustness properties are studied. Overall the two methods are found to perform quite similarly. Some…

保序回归：变点问题的另一种视角AI 解读

A test based on isotonic regression is developed for monotonic trends in short range dependent sequences and is applied to Argentina rainfall data and global warming data. This test provides another perspective for changepoint problems. The isotonic test is shown to be more powerful than some existing tests for trend.

正态混合分布的成分数检验AI 解读

We demonstrate that, under a theorem proposed by Vuong, the likelihood ratio statistic based on the Kullback–Leibler information criterion of the null hypothesis that a random sample is drawn from a k0‐component normal mixture distribution against the alternative hypothesis that the sample is drawn from a k1‐component normal mixture distribution is asymptotically distributed as a weighted sum of independent chi‐squared random variables with one degree of freedom, under…

广义线性与非线性混合模型中同质性的序约束得分检验AI 解读

Lin (1997), building on work by Solomon & Cox (1992) and Lin & Breslow (1996), introduced a score test for homogeneity in the generalised linear mixed model. In this paper we propose an improvement to Lin's test that exploits the fact that covariance parameters associated with random effects in the model are constrained so as to form a positive semidefinite covariance matrix. Therefore, an omnibus score test will have power against alternatives that are known never to occur.…