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含删失内生变量与选择偏差的面板模型两步估计AI 解读

This paper presents some two-step estimators for a wide range of parametric panel data models with censored endogenous variables and sample selection bias. Our approach is to derive estimates of the unobserved heterogeneity responsible for the endogeneity/selection bias to include as additional explanatory variables in the primary equation. These are obtained through a decomposition of the reduced form residuals. The panel nature of the data allows adjustment, and testing,…

Bootstrap 检验的检验水平失真AI 解读

We provide a theoretical framework in which to study the accuracy of bootstrap P values, which may be based on a parametric or nonparametric bootstrap. In the parametric case, the accuracy of a bootstrap test will depend on the shape of what we call the critical value function. We show that, in many circumstances, the error in rejection probability of a bootstrap test will be one whole order of magnitude smaller than that of the corresponding asymptotic test. We also propose…

使用模拟似然函数的统计推断AI 解读

This paper considers classical test statistics, namely, the likelihood ratio, efficient score, and Wald statistics, for econometric models under simulation estimation. The simulated likelihood ratio, simulated efficient score, and simulated Wald test statistics are shown to be asymptotically equivalent. Because the simulated score vector can be asymptotically biased, limiting distributions of these simulated statistics can be asymptotically noncentral χ2 distributed. This…

单整时间序列非线性变换的渐近理论AI 解读

An asymptotic theory for stochastic processes generated from nonlinear transformations of nonstationary integrated time series is developed. Various nonlinear functions of integrated series such as ARIMA time series are studied, and the asymptotic distributions of sample moments of such functions are obtained and analyzed. The transformations considered in the paper include a variety of functions that are used in practical nonlinear statistical analysis. It is shown that…

摘要暂缺

面板数据中的伪回归与残差型协整检验AI 解读

In the first half of the paper I study spurious regressions in panel data. Asymptotic properties of the least-squares dummy variable (LSDV) estimator and other conventional statistics are examined. The asymptotics of LSDV estimator are different from those of the spurious regression in the pure time-series. This has an important consequence for residual-based cointegration tests in panel data, because the null distribution of residual-based cointegration tests depends on the…

通胀预测中的信息差异化解读AI 解读

We test the hypothesis associated with a standard assumption in the theoretical literature on learning: that economic agents interpret information identically. We use a data set based on a survey of Israeli business executives forecasting future inflation. One of the main advantages of using this data is that a major change in the inflation regime in 1985 can be treated as a natural experiment in new beliefs formation. We develop a methodology for testing this hypothesis and…

摘要暂缺

广义矩估计中的一致矩条件选择程序AI 解读

This paper considers a generalized method of moments (GMM) estimation problem in which one has a vector of moment conditions, some of which are correct and some incorrect. The paper introduces several procedures for consistently selecting the correct moment conditions. Application of the results of the paper to instrumental variables estimation problems yields consistent procedures for selecting instrumental variables. The paper specifies moment selection criteria that are…

三角联立方程模型的非参数估计AI 解读

This paper presents a simple two-step nonparametric estimator for a triangular simultaneous equation model. The authors use series approximations that exploit the additive structure of the model. The first step comprises the nonparametric estimation of the reduced form and the corresponding residuals. The second step is the estimation of the primary equation via nonparametric regression with the reduced form residuals included as a regressor. The authors derive consistency…

资产收益波动率的单位根检验AI 解读

It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is the stochastic volatility model. The researcher may test for non‐stationarity of the volatility process by testing for a unit root in the log‐squared time series. This strategy for inference has many advantages, but is not followed in practice because these unit root tests are known to have very poor…

实际汇率随机游走假说的检验AI 解读

This paper tests the random walk hypothesis for the log‐differenced monthly US real exchange rates versus some major currencies. The tests we use are variance ratio test, Durlauf's (1991) spectral domain tests and Andrews and Ploberger's ( 1996) optimal tests. The variance ratio test is calculated by using Andrews' (1991) optimal data‐dependent methods. Finite sample properties of these tests are also reported. Because the results of applying these tests to the real exchange…

季节性非平稳时间序列中的共同周期AI 解读

This paper extends the notion of common cycles to quarterly time series having unit roots both at the zero and seasonal frequencies. It is shown that common cycles are present in the Hylleberg–Engle–Granger–Yoo decomposition of these series when there exists a linear combination of their seasonal differences which follows an MA process of order, at most, three. The pitfalls of seasonal adjustment for common cycles analysis are also documented. Inference on common cycles in…

大型细分需求系统的估计：条件线性系统估计量AI 解读

Empirical demand systems that do not impose unreasonable restrictions on preferences are typically non‐linear. We show, however, that all popular systems possess the property of conditional linearity. A computationally attractive iterated linear least squares estimator (ILLE) is proposed for large non‐linear simultaneous equation systems which are conditionally linear in unknown parameters. The estimator is shown to be consistent and its asymptotic efficiency properties are…

事件发生不规则且存在序列相关时的时间序列截面特征价格模型误差结构AI 解读

When estimating hedonic models of housing prices, the use of time series cross‐section repeat sales data can provide improvements in estimator efficiency and correct for unobserved characteristics. However, in cases where serial correlation is present, the irregular timing of sales should also be considered. In this paper we develop a model that uses information on the timing of events to account for the sporadic occurrence of events. The model presumes that the serial…

季节性非平稳时间序列中的共同周期AI 解读

This paper extends the notion of common cycles to quarterly time series having unit roots both at the zero and seasonal frequencies. It is shown that common cycles are present in the Hylleberg-Engle-Granger-Yoo decomposition of these series when there exists a linear combination of their seasonal differences which follows an MA process of order, at most, three. The pitfalls of seasonal adjustment for common cycles analysis are also documented. Inference on common cycles in…

资产收益波动率的单位根检验AI 解读

It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is the stochastic volatility model. The researcher may test for non-stationarity of the volatility process by testing for a unit root in the log-squared time series. This strategy for inference has many advantages, but is not followed in practice because these unit root tests are known to have very poor…

大型细分需求系统的估计：条件线性系统的估计量AI 解读

Empirical demand systems that do not impose unreasonable restrictions on preferences are typically non-linear. We show, however, that all popular systems possess the property of conditional linearity. A computationally attractive iterated linear least squares estimator (ILLE) is proposed for large non-linear simultaneous equation systems which are conditionally linear in unknown parameters. The estimator is shown to be consistent and its asymptotic efficiency properties are…

稀有事件概率的估计AI 解读

Let $(X_{1},Y_{1}), (X_{2},Y_{2}),\dots,(X_{n},Y_{n})$ be a random sample from a bivariate distribution function $F$ which is in the domain of attraction of a bivariate extreme value distribution function $G$. A subset $C$ of $\mathbb{R}^{2}$ is given, which contains none of the observations. We shall give an asymptotic confidence interval for $\Pr((X_{i},Y_{i}) \in C)$ under certain conditions.

第二类区间删失下光滑泛函的渐近最优估计AI 解读

For a version of the interval censoring model, case 2, in which the observation intervals are allowed to be arbitrarily small, we consider estimation of functionals that are differentiable along Hellinger differentiable paths. The asymptotic information lower bound for such functionals can be represented as the squared $L_{2}$-norm of the canonical gradient in the observation space. This canonical gradient has an implicit expression as a solution of an integral equation that…

估计置信度方法中的 Brown 悖论AI 解读

A widely held notion of classical conditional theory is that statistical inference in the presence of ancillary statistics should be independent of the distribution of those ancillary statistcs. In this paper, ancillary paradoxes which contradict this notion are presented for two scenarios involving confidence estimation. These results are related to Brown’s ancillary paradox in point estimation. Moreover, the confidence coefficient, the usual constant coverage probability…

椭圆分布下协方差矩阵估计的稳健改进AI 解读

This paper derives an extended version of the Haff or, more appropriately, Stein-Haff identity for an elliptically contoured distribution (ECD) . This identity is then used to show that the minimax estimators of the covariance matrix obtained under normal models remain robust under the ECD model.

计数过程的非参数贝叶斯估计量AI 解读

This paper is concerned with nonparametric Bayesian inference of the Aalen’s multiplicative counting process model. For a desired nonparametric prior distribution of the cumulative intensity function, a class of Lévy processes is considered, and it is shown that the class of Lévy processes is conjugate for the multiplicative counting process model, and formulas for obtaining a posterior process are derived. Finally, our results are applied to several practically important…