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面板数据中选择动态的检验AI 解读

This article applies different approaches to distinguish state dependence from unobserved heterogeneity and serial correlation and, hence, test for state dependence in consumer brand choices. First, we apply a simple method proposed by Chamberlain, which involves lagged exogenous variables only. Second, we also estimate a lagged-dependent-variable specification proposed by Wooldridge. Third, we use the estimation approach suggested by Wooldridge to estimate a model with both…

存在回答误差与未应答时的估计AI 解读

Error in survey data originates from failure to contact the sample and from false answers to verifiable questions. These errors may be systematic and associated with uncooperative or unreliable respondents. Zabel modeled attrition in the Survey of Income and Program Participation and found systematic demographic and design effects. Bollinger and David modeled response error and identified correlations to income per capita. In this analysis, we link missing interviews in a…

资产定价中贝叶斯推断的一则注记AI 解读

In this paper the authors extend results by Harvey and Zhou (1990, Journal of Financial Econometrics 26, 221–254) and Kandel, McCulloch, and Stambaugh (1995, Review of Financial Studies 8(1), 1–53) to derive the posterior distribution of a key parameter in a Bayesian analysis of asset pricing models. It is shown that this distribution depends upon the same terms that constitute the standard asset pricing test of Jobson and Korkie (1985, Canadian Journal of Administrative…

标准分层样本下加权 M 估计量的渐近性质AI 解读

I provide a systematic treatment of the asymptotic properties of weighted M -estimators under standard stratified sampling. Simple, consistent asymptotic variance matrix estimators are proposed for a broad class of problems. When stratification is based on exogenous variables, I show that the usual, unweighted M -estimator is more efficient than the weighted estimator under a generalized conditional information matrix equality. Hausman tests for the exogeneity of the…

含高阶多项式趋势的单位根季节自回归模型AI 解读

Seasonal autoregressive models with a polynomial trend of higher degee are treated. In the unit root case, the limiting distribution of the normalized least squares estimator for the autoregressive parameter and that of the corresponding t -statistic are discussed as the length of the sample period tends to infinity. In the case where the polynomial trend has the second or third degree, the joint moment generating functions associated with these limiting distributions are…

利用小波方法检验未知形式的序列相关AI 解读

A wavelet-based consistent test for serial correlation of unknown form is proposed. As a spatially adaptive estimation method, wavelets can effectively detect local features such as peaks and spikes in a spectral density, which can arise as a result of strong autocorrelation or seasonal or business cycle periodicities in economic and financial time series. The proposed test statistic is constructed by comparing a wavelet-based spectral density estimator and the null spectral…

协整关系含非线性时间趋势的向量自回归模型：统计推断AI 解读

This paper continues the work of Saikkonen (2001, Econometric Theory 17, 296–326) and develops an asymptotic theory of statistical inference in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations and general nonlinear parameter restrictions. Inference on parameters in cointegrating relations and short-run dynamics is studied separately. It is shown that Gaussian maximum likelihood estimators of parameters in cointegrating relations…

协整关系含非线性时间趋势的向量自回归模型：一致估计AI 解读

This paper studies the consistency of the Gaussian maximum likelihood estimator in a cointegrated vector autoregressive model with nonlinear time trends in cointegrating relations. The results are proved in a coordinate free framework that readily allows for general nonlinear parameter restrictions and makes it possible to show the consistency of reduced form parameter estimators without assuming identifiability of underlying structural parameters. Various consistency…

ARCH(p) 平方残差相关加权和的大样本分布AI 解读

We develop asymptotic theory for linear statistics of sample autocorrelations of squared residuals from an ARCH( p ) model. Our results are valid for most estimators used in practice and do not depend on the assumption of normality of the errors; the existence of the fourth moment is required. In several special cases, we identify the limit distributions as well-known functionals of a Brownian motion.

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GMM 估计量的稳健推断AI 解读

The local robustness properties of generalized method of moments (GMM) estimators and of a broad class of GMM based tests are investigated in a unified framework. GMM statistics are shown to have bounded influence if and only if the function defining the orthogonality restrictions imposed on the underlying model is bounded. Since in many applications this function is unbounded, it is useful to have procedures that modify the starting orthogonality conditions in order to…

参数模型对非参数备择的贝叶斯与条件频率学派检验AI 解读

Testing the fit of data to a parametric model can be done by embedding the parametric model in a nonparametric alternative and computing the Bayes factor of the parametric model to the nonparametric alternative. Doing so by specifying the nonparametric alternative via a Polya tree process is particularly attractive, from both theoretical and methodological perspectives. Among the benefits is a degree of computational simplicity that even allows for robustness analyses to be…

纵向数据的半参数与非参数回归分析AI 解读

This article deals with the regression analysis of repeated measurements taken at irregular and possibly subject-specific time points. The proposed semiparametric and nonparametric models postulate that the marginal distribution for the repeatedly measured response variable Y at time t is related to the vector of possibly time-varying covariates X through the equations E{Y(t)|| X(t} = α0(t) + β′0X(t) and E{Y(t)||X(t)} = α0(t)+ β′0(t)X(t), where α0(t) is an arbitrary function…

存在阻断与协同作用的群组检测AI 解读

Discovery and development of a new drug can cost hundreds of millions of dollars. Pharmaceutical companies have used group testing methodology routinely as one of the efficient high throughput screening techniques to search for “lead” compounds among collections of hundreds of thousands of chemical compounds. The lead compounds can be modified to produce new and effective molecules, which eventually may lead to new drugs. This article develops models and estimation…

点源附近疾病风险的贝叶斯建模AI 解读

Recently there has been increased interest, from both the media and the public, in the question, “Is there an excess of disease risk close to a prespecified point source?” To address this question, routinely available public health data may be analyzed. In the United Kingdom, as in many countries, health data and the associated population data that are required for comparison, are available as aggregated counts. In this article we propose to analyze such data using a…

利用混合模型迭代开展自动记录链接AI 解读

The goal of record linkage is to link quickly and accurately records that correspond to the same person or entity. Whereas certain patterns of agreements and disagreements on variables are more likely among records pertaining to a single person than among records for different people, the observed patterns for pairs of records can be viewed as arising from a mixture of matches and nonmatches. Mixture model estimates can be used to partition record pairs into two or more…

实时估计数百万个动态交易时点模式AI 解读

In some business applications, the transaction behavior of each customer is tracked separately with a customer signature. A customer's signature for buying behavior, for example, may contain information on the likely place of purchase, value of goods purchased, type of goods purchased, and timing of purchases. The signature may be updated whenever the customer makes a transaction, and, because of storage limitations, the updating may be able to use only the new transaction…

Cox 比例风险模型中缺失协变量的似然方法AI 解读

Problems associated with missing covariate data are well known but often ignored. We present a method for estimating the parameters in the Cox proportional hazards model when the missing data are missing at random (MAR) and censoring is noninformative. Due to the computational burden of this method, we introduce an approximation that allows us to use a weighted expectation-maximization (EM) algorithm to estimate the parameters more easily. When the missing covariates are…

非参数曲线估计的置信区间AI 解读

Numerous nonparametric regression methods exist that yield consistent estimators of function curves. Often, one is also interested in constructing confidence intervals for the unknown function. When a function estimate is based on a single global smoothing parameter the resulting confidence intervals may hold their desired confidence level 1 – α on average but because bias in nonparametric estimation is not uniform, they do not hold the desired level uniformly at all design…

异方差非参数回归模型的协方差分析方法AI 解读

We consider an ANCOVA design in which the relationship between the response Yi and the covariate Xi in cell (factor-level combination) i satisfies the model Yi = mi(Xi)+σi(Xi)ϵi, where the error term ϵi is assumed to be independent of Xi, and mi and σi are respectively a smooth (but unknown) regression and scale function. This model can be viewed as a generalization of the nonparametric ANCOVA model of Young and Bowman. As such it is a useful alternative for parametric or…

多元伯努利观测的平滑样条方差分析及眼科应用AI 解读

We combine a smoothing spline analysis of variance (SS-ANOVA) model and a log-linear model to build a partly flexible model for multivariate Bernoulli data. The joint distribution conditioning on the predictor variables is estimated. The log odds ratio is used to measure the association between outcome variables. A numerical scheme based on the block one-step successive over relaxation SOR–Newton-Ralphson algorithm is proposed to obtain an approximate solution for the…

利用家庭和社区随机效应研究马拉维儿童死亡率AI 解读

The Malawi Demographic and Health Survey conducted in 1992 collected the retrospective birth histories for a national sample of 4,878 women aged between 15 and 49 years. The sample was randomly selected by a two-stage sampling design. The data consist of biological, demographic, and social variables collected for each birth. This article models the infant and early childhood survival using family and community random effect multipliers on the fixed effect proportional…

购买力平价之谜的潜在陷阱：一价定律均值回归检验中的抽样与设定偏差AI 解读

The PPP puzzle is based on empirical evidence that international price differences for individual goods (LOOP) or baskets of goods (PPP) appear highly persistent or even nonstationary. The present consensus is these price differences have a half-life that is of the order of five years at best, and infinity at worst. This seems unreasonable in a world where transportation and transaction costs appear so low as to encourage arbitrage and the convergence of price gaps over much…