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异质面板中基于似然的协整检验AI 解读

This paper presents a maximum likelihood panel test of the cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on this, the asymptotic distribution of the test statistic is shown to be normal. The small-sample size and power properties are investigated using Monte Carlo simulations. An empirical…

使用广义极差统计量检验单位根假设AI 解读

The application of rescaled range statistics in econometrics is restricted to long memory detection in economic and financial time series. However, in this paper it is shown how such statistics can be generalized and used to test the unit root hypothesis. The proposed generalizations lead to testing procedures that are found to be consistent against I (0 , I (2 as well as against fractional integration and misspecification of the deterministic trend. A Monte Carlo simulation…

Although difference-stationary (DS) and trend-stationary (TS) processes have been subject to considerable analysis, there are no direct comparisons for each being the datageneration process (DGP).We examine incorrect choice between these models for forecasting for both known and estimated parameters. Three sets of Monte Carlo simulations illustrate the analysis, to evaluate the biases in conventional standard errors when each model is misspecified, compute the relative…

不等间隔伪面板中AR(1)模型的估计AI 解读

Surveys in developing countries are often taken at unequally spaced intervals. This paper provides for the estimation of dynamic pseudo-panel models with such data. Non-linear least squares, minimum distance, and one-step estimators are used to impose the non-linear parameter restrictions which occur in dynamic models over unequally spaced periods. Consistency and asymptotic normality of the estimators is established. A small-scale Monte Carlo simulation study corroborates…

图形化条件矩检验AI 解读

Tests of misspecification or other defects in microeconometric models are usually numerical and based on an average over the sample. In this paper, it is shown that certain types of misspecification can be concealed by averaging, and a framework is developed which allows the specification to be checked in the near neighbourhood of each sample point, rather than for the sample as a whole. The framework involves the application of a scatter-plot smoothing technique to a pair…

含协整与确定性趋势解释变量的非线性计量模型AI 解读

This paper develops an asymptotic theory for a general class of nonlinear non-stationary regressions, extending earlier work by Phillips and Hansen (1990) on linear coin-tegrating regressions.The model considered accommodates a linear time trend and stationary regressors, as well as multiple I(1) regressors. We establish consistency and derive the limit distribution of the nonlinear least squares estimator. The estimator is consistent under fairly general conditions but the…

英国宏观经济预测面板分析AI 解读

This paper looks at unobserved components models and examines the implied weighting patterns for signal extraction. There are four main themes. The first concerns the implications of correlated disturbances driving the components, especially those cases in which the correlation is perfect. The second is about the way in which ARIMA-based methods for trend extraction relate to those based on unobserved components. The third explores the impact of heteroscedasticity and…

财政预测：国际货币基金组织、经合组织与欧委会的历史表现AI 解读

We analyse the relative performance of the IMF, OECD and EC in forecasting the government deficit, as a ratio to GDP, for the G7 countries. Interesting differences across countries emerge, sometimes supporting the hypothesis of an asymmetric loss function (i.e. of a preference for underprediction or overprediction), and potential benefits from forecast pooling.

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含协变量测量误差的失效时间线性变换模型AI 解读

In medical studies, patients' biological parameters are often imprecisely measured due to the measuring mechanism or the biological variability. In the presence of covariate measurement error, survival analysis using the Cox model with the observed covariate may yield a biased estimate for the regression parameter. Existing research on this topic has focused on adapting the Cox model to covariates with measurement errors. In this article we generalize linear transformation…

We explore the extension of James–Stein–type estimators in a direction that enables them to preserve their superiority when the sample size goes to infinity. Instead of shrinking a base estimator toward a fixed point, we shrink it toward a data-dependent point. We provide an analytic expression for the asymptotic risk and bias of James–Stein–type estimators shrunk toward a data-dependent point and prove that they have smaller asymptotic risk than the base estimator.…

参数回归模型的拟合优度检验AI 解读

Several new tests are proposed for examining the adequacy of a family of parametric models against large nonparametric alternatives. These tests formally check if the bias vector of residuals from parametric fits is negligible by using the adaptive Neyman test and other methods. The testing procedures formalize the traditional model diagnostic tools based on residual plots. We examine the rates of contiguous alternatives that can be detected consistently by the adaptive…

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用边际结构模型估计非随机处理的联合因果效应AI 解读

Even in the absence of unmeasured confounding factors or model misspecification, standard methods for estimating the causal effect of time-varying treatments on survival are biased when (a) there exists a time-dependent risk factor for survival that also predicts subsequent treatment, and (b) past treatment history predicts subsequent risk factor level. In contrast, methods based on marginal structural models (MSMs) can provide consistent estimates of causal effects when…

比较数字与模拟乳腺摄影的研究设计和分析方案AI 解读

Because randomized trials have shown a reduction in breast cancer mortality, analog mammography for the early detection of breast cancer has gained widespread use. Recently, several manufacturers have developed digital mammography, which promises great advantages in the storage and transmission of images. We were asked to design a study to compare the two types of mammography in terms of their performance for the early detection of breast cancer. A standard measure of…

单通道事件相关电位的随机小波包模型推断AI 解读

Event-related potentials (ERPs) are brain electrical potentials associated with sensory and cognitive processing. ERP researchers typically wish to separate a recorded time series into functionally distinct component waveforms, and to estimate the effects of experimental conditions on each component. We present an integrated statistical approach to the decomposition of single-channel ERPs and to inference concerning the component waveforms and the effects of experimental…

曲线的贝叶斯小波回归及其光谱校准应用AI 解读

Motivated by calibration problems in near-infrared (NIR) spectroscopy, we consider the linear regression setting in which the many predictor variables arise from sampling an essentially continuous curve at equally spaced points and there may be multiple predictands. We tackle this regression problem by calculating the wavelet transforms of the discretized curves, then applying a Bayesian variable selection method using mixture priors to the multivariate regression of…

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随机删失与序约束下的密度估计AI 解读

Do a random censorship and/or order restrictions (e.g., nonnegativity, monotonicity, convexity) affect estimation of a smooth density under mean integrated squared error (MISE)? Under mild assumptions, the known asymptotic results, which are concerned only with rates, answer “no.” This answer, especially for censored data, contradicts practical experience and statistical intuition. So what can be said about constants of MISE convergence? It is shown that asymptotically (a)…

点过程的半参数变换模型AI 解读

In this article, we propose a family of semiparametric transformation models for point processes with positive jumps of arbitrary sizes. These models offer great flexibilities in formulating the effects of covariates on the mean function of the point process while leaving the stochastic structure completely unspecified. We develop a class of estimating equations for the baseline mean function and the vector-valued regression parameter based on censored point processes and…

ARCH 模型的 Whittle 估计AI 解读

For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be [square root of n]-consistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by comparison with the work of Zaffaroni (1999, “Gaussian Inference on Certain Long-Range Dependent Volatility Models,” Preprint), who established the same properties on the basis of an alternative class of models with martingale difference…