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参数非线性函数的自助法方差估计：长期能源需求弹性应用AI 解读

In many practical applications, one is interested in obtaining confidence intervals for nonlinear functions of the parameters. This paper considers the following different methods: Fieller's method, Taylor's series expansion, and bootstrap methods. Compared to some of the earlier results in the empirical studies that are against the application of bootstrap, our results suggest a different conclusion in favor of the bootstrap methods. © 2000 by the President and Fellows of…

随机永久突变AI 解读

This paper bridges the gap between processes where shocks are permanent and those with transitory shocks by formulating a process in which the long-run impact of each innovation is time-varying and stochastic. In the stochastic permanent breaks (STOPBREAK) process, frequent transitory shocks are supplemented by occasional permanent shifts. Consistency and asymptotic normality of quasi-maximum-likelihood estimates is established, and locally best hypothesis tests of the null…

脉冲响应百分位与百分位t自助置信区间的有限样本性质AI 解读

A Monte Carlo analysis of the coverage accuracy and average length of alternative bootstrap confidence intervals for impulse-response estimators shows that the accuracy of equal-tailed and symmetric percentile- t intervals can be poor and erratic in small samples (both in models with large roots and in models without roots near the unit circle). In contrast, some percentile bootstrap intervals may be both shorter and more accurate. The accuracy of percentile-t intervals…

不等概率样本中加权 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 variable probability stratified sampling. The characterization of the sampling scheme and representation of the objective function allow for a straightforward analysis. Simple, consistent asymptotic variance matrix estimators are proposed. When stratification is based on exogenous variables, I show that the unweighted M-estimator is more efficient than the weighted estimator under a…

参数位于边界时的估计AI 解读

This paper establishes the asymptotic distribution of extremum estimators when the true parameter lies on the boundary of the parameter space. The boundary may be linear, curved, and/or kinked. Typically the asymptotic distribution is a function of a multivariate normal distribution in models without stochastic trends and a function of a multivariate Brownian motion in models with stochastic trends. The results apply to a wide variety of estimators and models. Examples…

已婚女性跨期劳动参与中的状态依赖、序列相关与异质性AI 解读

The intertemporal labor force participation of married women is analyzed using a dynamic search framework. Maximum simulated likelihood (MSL) estimation is used to estimate dynamic Probit models, and the sensitivity to alternative assumptions examined using Linear Probability models. Participation decisions are characterized by significant positive state dependence, unobserved heterogeneity, and negatively correlated errors. The hypothesis that women's participation is…

求职理论隐含风险函数形状不等式约束下的半参数持续期模型推断AI 解读

Using a four-month panel of revised Current Population Survey data from September-December 1993, we extend the class of semiparametric hazard models of the type first studied by Prentice and Gloeckler (1978), and brought to the attention of economists by Meyer (1988, 1990), to incorporate inequality restrictions on the shape of the hazard. This extension enables us to test hypotheses regarding the shape of the hazard implied by search theory using duration data alone. These…

劳动供给实证模型中相互依赖行为的识别AI 解读

In this paper we test a particular form of interdependent behaviour, namely the hypothesis that individuals' choices of hours of work are influenced by the average hours of work in a social reference group. There are problems in empirically disentangling the effects of interdependent behaviour and preference variation across groups. We show that panel data or data from several points in time are needed. In the empirical analysis we combine cross-section data from 1973, 1980,…

求职理论所隐含风险率形状不等式约束下的半参数持续期模型推断AI 解读

Using a four-month panel of revised Current Population Survey data from September-December 1993, we extend the class of semiparametric hazard models of the type first studied by Prentice and Gloeckler (1978), and brought to the attention of economists by Meyer (1988, 1990), to incorporate inequality restrictions on the shape of the hazard. This extension enables us to test hypotheses regarding the shape of the hazard implied by search theory using duration data alone. These…

回归与多变量位置最大深度估计量的渐近分布AI 解读

We derive the asymptotic distribution ofthe maximal depth regression estimator recently proposed in Rousseeuw and Hubert. The estimator is obtained by maximizing a projection-based depth and the limiting distribution is characterized through a max–min operation of a continuous process. The same techniques can be used to obtain the limiting distribution of some other depth estimators including Tukey’s deepest point based on half-space depth. Results for the special case of…

弱条件下回代投影算法的存在性与渐近性质AI 解读

We derive the asymptotic distribution of a new backfitting procedure for estimating the closest additive approximation to a nonparametric regression function. The procedure employs a recent projection interpretation of popular kernel estimators provided by Mammen, Marron, Turlach and Wand and the asymptotic theory of our estimators is derived using the theory of additive projections reviewed in Bickel, Klaassen, Ritov and Wellner. Our procedure achieves the same bias and…

生存分析中由函数索引的一般非参数检验类AI 解读

Many of the popular nonparametric test statistics for censored survival data used in two-sample, $k$-sample trend and continuous covariate situations are special cases of a general statistic, differing only in the choice of the covariate-based label and the weight function. A weight function determines the asymptotic efficiency of its corresponding statistic in this general class. Since the true alternatives are often unknown, we may not be able to foresee which weight…

离散随机输入线性系统盲反卷积的收敛速度AI 解读

In a recent paper, we proposed a new estimation method for the blind deconvolution of a linear system with discrete random input, when the observations may be noise perturbed. We give here asymptotic properties of the estimators in the parametric situation. With nonnoisy observations, the speed of convergence is governed by the $l_1$-tail of the inverse filter, which may have an exponential decrease. With noisy observations, the estimator satisfies a limit theorem with known…

泊松自助法的二阶正确性AI 解读

Rao, Pathak and Koltchinskii have recently studied a sequential approach to resampling in which resampling is carried out sequentially one-by-one (with replacement each time) until the bootstrap sample contains $m \approx (1 - e^{-1})n \approx 0.632n$ distinct observations from the original sample. In our previous work, we have established that the main empirical characteristics of the sequential bootstrap go through, in the sense of being within a distance $O(n^{-3/4})$ from…

多元位置与散布再加权估计量的渐近性质AI 解读

We investigate the asymptotic behavior of a weighted sample mean and covariance,where the weights are determined by the Mahalanobis distances with respect to initial robust estimators.We derive an explicit expansion for the weighted estimators. From this expansion it can be seen that reweighting does not improve the rate of convergence of the initial estimators.We also show that if one uses smooth $S$-estimators to determine the weights, the weighted estimators are…

部分线性可加 Cox 模型的有效估计AI 解读

The partly linear additive Cox model is an extension of the (linear) Cox model and allows flexible modeling of covariate effects semiparametrically. We study asymptotic properties of the maximum partial likelihood estimator of this model with right-censored data using polynomial splines. We show that, with a range of choices of the smoothing parameter (the number of spline basis functions) required for estimation of the nonparametric components, the estimator of the…

变系数模型中的统计估计AI 解读

Varying coefficient models are a useful extension of classical linear models. They arise naturally when one wishes to examine how regression coefficients change over different groups characterized by certain covariates such as age. The appeal of these models is that the coef .cient functions can easily be estimated via a simple local regression.This yields a simple one-step estimation procedure. We show that such a one-step method cannot be optimal when different coefficient…

半参数部分线性测量误差模型的估计AI 解读

We consider the partially linear model relating a response $Y$ to predictors ($X, T$) with mean function $X^{\top}\beta + g(T)$ when the $X$’s are measured with additive error. The semiparametric likelihood estimate of Severini and Staniswalis leads to biased estimates of both the parameter $\beta$ and the function $g(\cdot)$ when measurement error is ignored. We derive a simple modification of their estimator which is a semiparametric version of the usual parametric…

摘要暂缺

In this paper we utilize White's Reality Check bootstrap methodology (White (1999)) to evaluate simple technical trading rules while quantifying the data‐snooping bias and fully adjusting for its effect in the context of the full universe from which the trading rules were drawn. Hence, for the first time, the paper presents a comprehensive test of performance across all technical trading rules examined. We consider the study of Brock, Lakonishok, and LeBaron (1992), expand…

随机波动率模型中的贝叶斯单位根检验AI 解读

This article uses a Bayesian unit-root test in stochastic volatility models. The time series of interest is the volatility that is unobservable. The unit-root testing is based on the posterior odds ratio, which is approximated by Markov-chain Monte Carlo methods. Simulations show that the testing procedure is efficient for moderate sample size. The unit-root hypothesis is rejected in seven market indexes, and some evidence of nonstationarity is observed in the TWSI of Taiwan.

CoSmo：估计凸性与单调变换的约束散点平滑方法AI 解读

In many of the applied sciences, it is common that the forms of empirical relationships are almost completely unknown prior to study. Scatterplot smoothers used in nonparametric regression methods have considerable potential to ease the burden of model specification that a researcher would otherwise face in this situation. Occasionally the researcher will know the sign of the first or second derivatives, or both. This article develops a smoothing method that can incorporate…

购买力平价中对称性与比例性的面板检验AI 解读

Purchasing power parity (PPP) is a proposition equating the nominal exchange rate to the ratio of the domestic to foreign price levels. This article employs Bayesian panel-data methods to test for PPP, in particular, the implied symmetry and proportionality conditions. Using a dataset of all the Organization for Economic Cooperation and Development member countries in the post-Bretton Woods era, I do not find support for symmetry and proportionality in PPP over time and…

内生处理效应模型的估计与解释AI 解读

This article examines the relationship between two alternative approaches, instrumental variables and control function procedures, for estimating the impact of endogenous treatment effects. Although it is well known that the two approaches generate comparable estimates, the relationship between the estimators and their accompanying endogeneity tests appears not to be well understood. We show that the two procedures are closely related. We also examine the implications of the…