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非线性模型的有效工具变量估计AI 解读

This paper considers asymptotically efficient instrumental variables estimation of nonlinear models in an i.i.d. environment. The optimal instruments are estimated by nonparametric methods, either nearest neighbor or series regression. Ways of choosing the degree of approximation of the nonparametric instruments are discussed. Asymptotic efficiency is shown. The finite sample properties of the estimators are examined in a small sampling study of an endogenous dummy variable…

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计量经济建模的统计基础AI 解读

Foreword David Hendry Preface Acknowledgements Part I. Introduction: 1. Econometric modelling, a preliminary view 2. Descriptive study of data Part II. Probability Theory: 3. Probability 4. Random variables and probability distributions 5. Random vectors and their distributions 6. Functions of random variables 7. The general notion of expectation 8. Stochastic processes 9. Limit theorems 10. Introduction to asymptotic theory Part III. Statistical Inferences: 11. The nature…

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稳健回归型模型设定检验的统一方法AI 解读

This paper develops a general approach to robust, regression-based specification tests for (possibly) dynamic econometric models. A useful feature of the proposed tests is that, in addition to estimation under the null hypothesis, computation requires only a matrix linear least-squares regression and then an ordinary least-squares regression similar to those employed in popular nonrobust tests. For the leading cases of conditional mean and/or conditional variance tests, the…

This paper studies the asymptotic properties of instrumental variable (IV) estimates of multivariate cointegrating regressions and allows for deterministic and stochastic regressors as well as quite general deterministic processes in the data-generating mechanism. It is found that IV regressions are consistent even when the instruments are stochastically independent of the regressors. This phenomenon, which contrasts with traditional theory for stationary time series, is a…

指标模型系数的半参数估计AI 解读

This paper gives a solution to the problem of estimating coefficients of index models, through the estimation of the density-weighted average derivative of a general regression function. A normalized version of the density-weighted average derivative can be estimated by certain linear instrumental variables coefficients. The estimators, based on sample analogies of the product moment representation of the average derivative, are constructed using nonparametric kernel…

结构方程中的 t 检验AI 解读

Properties of t ratios associated with the LIML, TSLS, and OLS estimators in a structural form estimation are studied. The existence of moments of these t ratios including the LIML form is proved first. Second, Monte Carlo simulations are performed to find out real sizes of the t test and the likelihood ratio test. Third, asymptotic expansions of the distributions of t ratios are derived under the null hypothesis to find out deviations of real sizes from nominal sizes…

统计信息与似然：批判性论文集AI 解读

I Information and Likelihood.- I Recovery of Ancillary Information.- 0. Notes.- 1. Introduction.- 2. The Sample Size Analogy.- 3. A Logical Difficulty.- 4. Conceptual Statistical Experiments.- II Statistical Information and Likelihood Part I: Principles.- 0. Notes.- 1. Statistical Information.- 2. Basic Definitions and Relations.- 3. Some Principles of Inference.- 4. Information as a Function.- 5. Fisher Information.- 6. The Likelihood Principle.- III Statistical Information…

利用面板数据进行有效估计AI 解读

IN AN IMPORTANT RECENT PAPER, Hausman and Taylor (1981)-hereafter HT-considered the instrumental-variable estimation of a regression model using panel data, when the individual effects may be correlated with a subset of the explanatory variables. They provided a simple consistent estimator and an efficient estimator. More recently, Amemiya and MaCurdy (1986)-hereafter AM-have suggested an alternative estimator which is more efficient than the HT estimator, under certain…

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非正态性对含结构变化的单一结构方程估计的影响AI 解读

Effect of nonnormality on the asymptotic property of three estimators of a single structural equation with structural change is examined. The three estimators are the limited information maximum likelihood estimator, derived under normality and equality of structural variances in different samples, given by Hodoshima, a two-stage least squares type estimator due to Barten and Bronsard, and a minimum distance estimator presented here. Normality is relaxed but the equality…

移动平均误差下的单位根检验AI 解读

In this paper we propose a new approach to testing for unit roots in a time series {yt} with moving average innovations based on an instrumental variable estimator. If {yt} is a random walk with moving average innovations, we derive the limiting distribution of the instrumental variable estimator when the estimated model is either (i) the true model, (ii) a random walk with shift in mean, or (iii) a random walk with shift in mean and a linear time trend. These distributions…

随机过程的极限定理AI 解读

I. The General Theory of Stochastic Processes, Semimartingales and Stochastic Integrals.- II. Characteristics of Semimartingales and Processes with Independent Increments.- III. Martingale Problems and Changes of Measures.- IV. Hellinger Processes, Absolute Continuity and Singularity of Measures.- V. Contiguity, Entire Separation, Convergence in Variation.- VI. Skorokhod Topology and Convergence of Processes.- VII. Convergence of Processes with Independent Increments.- VIII.…

回归变量具有单位根时的渐近正态性AI 解读

Under fairly general conditions, ordinary least squares and linear instrumental variables estimators are asymptotically normal when a regression equation has nonstationary right hand side variables. Standard formulas may be used to calculate a consistent estimate of the asymptotic variance-covariance matrix of the estimated parameter vector, even if the disturbances are conditionally heteroskedastic and autocorrelated. So inference may proceed in the usual way. The key…

利用面板数据估计向量自回归模型AI 解读

This paper considers estimation and testing of vector autoregressio n coefficients in panel data, and applies the techniques to analyze the dynamic relationships between wages an d hours worked in two samples of American males. The model allows for nonstationary individual effects and is estimated by applying instrumental variables to the quasi-differenced autoregressive equations. The empirical results suggest the absence of lagged hours in the wage forecasting equation.…

事前实际利率模型及其导出的通胀预测AI 解读

A methodology for estimating expected real interest rates and making inflation forecasts, together with appropriate confidence intervals, is presented. The role of price expectations in determining real interest rates is also analyzed. Structural breaks in the process generating real interest rates are detected in 1980 and 1983 by tracking the accuracy of interest-rate forecasts. Analysis of these structural breaks reveals that the break at the beginning of 1983 returns the…

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面板数据的有效估计：工具变量估计量的经验比较AI 解读

Abstract Hausman and Taylor (1981) proposed an efficient instrumental variables estimator for panel data regression models where the individual effects may be correlated with some of the regressors. Amemiya and MacCurdy (1986) and Breusch, Mizon, and Schmidt (1986) have suggested instrumental variables estimators that are potentially more efficient than the Hausman and Taylor estimator. We address the empirical question of how large these efficiency gains might be. In our…

含风险项模型的计量分析AI 解读

Abstract In this paper we have attempted to provide an integrated approach to the estimation of models with risk terms. It was argued that there exist orthogonality conditions between variables in the information set and higher‐order moments of the unanticipated variable density. These could be exploited to provide consistent estimators of the parameters associated with the risk term. Specifically, it was recommended that an IV estimator should be applied, with instruments…

模型预测与设计估计能够协调到何种程度？AI 解读

Two general linear model-based predictors, one of the expectation of a finite population total and one of that total itself, are compared with the design-based generalized regression estimator (GRE). First, the predictors are made to conform to the GRE by modifying the regression parameter estimators but retaining the same (optimal) inclusion probabilities. Second, the GRE is made to conform with each of the predictors in turn by modifying the inclusion probabilities but…

任意变量子集含相关或不相关测量误差时的回归一致估计集合AI 解读

OVER THE LAST DECADE the problem of measurement errors in the independent variables of a regression equation has attracted renewed interest among econometricians. In the fifties and sixties, the problem was considered to be more or less hopeless due to its inherent underidentification (e.g., Theil (1971)). Apart from instrumental variables, the most frequently cited textbook solution was Wald's method of grouping (Wald (1940)). Recent insight into the properties of the…

协方差约束下联立方程模型的有效估计与识别AI 解读

The authors consider estimation of simultaneous equations models with covariance restrictions. They consider FIML estimation and extend J. A. Hausman's instrumental variables interpretation of the FIML estim ator to the covariance restrictions case. A slight variation on the i nstrumental variables theme yields a simple, efficient alternative to FIML. The authors augment the original equation system by equations implied by the covariance restrictions, linearized around an…