论文检索

经济统计与计量经济学AI 解读

1. Introduction. I. DATA AND DESCRIPTION. 2. Economic Data. 3. Descriptive Statistics. 4. Frequency Distributions. II. SPECIFICATION AND ESTIMATION OF REGRESSION MODELS. 5. Simple Regression: Theory. 6. Simple Regression: Application. 7. Multiple Regression: Theory and Application. III. PROBABILITY DISTRIBUTIONS. 8. Probability Theory. 9. Random Variables and Probability Distributions. 10. The Normal and t Distributions. IV. INFERENCE IN REGRESSION. 11. Sampling Theory in…

非线性理性预期模型的广义工具变量估计AI 解读

This paper describes a method for estimating and testing nonlinear rational expectations models directly from stochastic Euler equations. The estimation procedure makes sample counterparts to the population orthogonality conditions implied by the economic model close to zero. An attractive feature of this method is that the parameters of the dynamic objective functions of economic agents can be estimated without explicitly solving for the stochastic equilibrium.

一般结构方程中普通最小二乘与工具变量估计量的矩AI 解读

G. H. Hillier, T. W. Kinal, V. K. Srivastava, On the Moments of Ordinary Least Squares and Instrumental Variables Estimators in a General Structural Equation, Econometrica, Vol. 52, No. 1 (Jan., 1984), pp. 185-202

摘要暂缺

有理分布滞后结构模型中的滞后设定AI 解读

This article presents methods for the preliminary specification of distributed lags in structural models in the absence of sufficient a priori information. It is argued that an instrumental-variables procedure produces good results as long as the goodness of fit in the instrument equations is satisfactory. When this is not the case, simple OLS specification is preferable to more complex instrumental-variables methods, even though it may produce some spurious parameters. The…

带协方差约束的线性联立方程模型识别：工具变量解释AI 解读

This picture is greatly complicated when restrictions on the structural disturbance variances and covariances, (henceforth "covariance restrictions") are allowed.Koopmans Rubin, and Leipnik (1950) recognized the usefulness of such restrictions for identification and demonstrated their equivalence to bilinear restrictions on the coefficients.This work was pursued by Wegge (1965) j Rothenberg (1971), and especially Fisher (1963, 1965), surveyed in Fisher (19-66, Chapters 3 and…

使用预定但非严格外生工具变量的时间序列模型近有效估计AI 解读

Particularly under the assumption of rational expectations, a model may have serially correlated errors and those errors may be uncorrelated with contemporaneous and lagged values of a predetermined instrument, yet the instruments may not be strictly exogenous. This paper proposes a method for transforming such a model to one without serial correlation, while keeping the instrument predetermined. Standard theory of instrumental variables estimation then applies. Furthermore,…

用于非嵌套假设检验的工具变量统计量的渐近性质AI 解读

This paper develops Instrumental Variables statistics for testing non-nested hypotheses when the hypotheses considered are single equations from a system of linear dynamic simultaneous equations. Asymptotic distributions of those statistics and of comparable Maximum Likelihood statistics are derived under the null hypothesis, a local non-nested alternative hypothesis, and a local "comprehensive" alternative hypothesis. The asymptotic powers of the non-nested hypothesis tests…

摘要暂缺

摘要暂缺

The permanent income hypothesis with rational expectation is restated, estimated, and tested by an instrumental variables technique on the postwar U.S. aggregate time-series data. The hypothesis is accepted on a consumption series which includes service flows from consumer durables. If the consumption series is the one in the National Income and Product Accounts, the hypothesis is decisively rejected. An explanation is suggested to reconcile the conflicting test results.

非线性理性预期模型的广义工具变量估计AI 解读

This paper describes a method for estimating and testing nonlinear rational expectations models directly from stochastic Euler equations. The estimation procedure makes sample counterparts to the population orthogonality conditions implied by the economic model close to zero. An attractive feature of this method is that the parameters of the dynamic objective functions of economic agents can be estimated without explicitly solving for the stochastic equilibrium.

摘要暂缺

两阶段最小绝对离差估计量AI 解读

In this paper the method of least absolute deviations is applied to the estimation of the parameters of a structural equation in the simultaneous equations model. A class of estimators called two stage least absolute deviations estimators is defined, their asymptotic properties are derived, and the problem of finding the optimal member of the class is considered. IN THIS PAPER WE APPLY the method of least absolute deviations to the estimation of the parameters of a…

独立观测下的工具变量回归AI 解读

INTRODUCTION THE METHOD OF INSTRUMENTAL VARIABLES (IV), proposed independently by Reiersol [15] and Geary [4], is one of the most useful classes of estimation techniques available to econometricians. The method is particularly useful in the context of errors-in-variables and simultaneous equation problems, and it ineludes ordinary least squares (OLS), two-stage least squares (2SLS) (Klein [9]), three-stage least squares (3SLS) (Madansky [12]) and certain full-information…

非线性联立模型工具变量估计量的比较研究AI 解读

In the context of single equation approaches to the estimation of nonlinear simultaneous models, three classes of estimators can be established, using different fitted values established by a stage-one regression. The first uses the Fitted values of the nonlinear function in the second-stage regression. The second, called here the naive instrument, substitutes a fitted value inside the nonlinear function. The third uses an estimate of the conditional expectation of the…

非线性联立模型工具变量估计量的比较研究AI 解读

In the context of single equation approaches to the estimation of nonlinear simultaneous models, three classes of estimators can be established, using different fitted values established by a stage-one regression. The first uses the Fitted values of the nonlinear function in the second-stage regression. The second, called here the naive instrument, substitutes a fitted value inside the nonlinear function. The third uses an estimate of the conditional expectation of the…

摘要暂缺

面板数据与不可观测个体效应AI 解读

Abstract An important purpose in pooling time-series and cross-section data is to control for individual-specific unobservable effects which may be correlated with other explanatory variables, e.g. latent ability in measuring returns to schooling in earnings equations or managerial ability in measuring returns to scale in firm cost functions. Using instrumental variables and the time-invariant characteristics of the latent variable, we derive: 1. (1) a test for the presence…

线性函数关系与联立方程中估计量分布的渐近展开AI 解读

We derive asymptotic expansions of the distributions of the maximum likelihood (ML) estimator and the ordinary least squares (OLS) estimator in a linear functional relationship model as the sample size increases infinitely. These expansions are equivalent to the asymptotic expansions of the distributions of the limited information maximum likelihood (LIML) estimator when the covariance is known to within a proportionality constant and the two-stage least squares (TSLS)…

简单变量测量误差模型的工具变量估计AI 解读

Alternative instrumental variable estimators for the slope in the simple errors-in-variables model are discussed. The maximum likelihood estimator is derived for the model in which the error covariance is known to be zero and for the model in which the error covariance is unknown. Modified maximum likelihood estimators and randomly weighted average estimators similar to those studied by Huntsberger are discussed. The limiting distributions of the estimators are presented and…

简单测量误差模型的工具变量估计AI 解读

Alternative instrumental variable estimators for the slope in the simple errors-in-variables model are discussed. The maximum likelihood estimator is derived for the model in which the error covariance is known to be zero and for the model in which the error covariance is unknown. Modified maximum likelihood estimators and randomly weighted average estimators similar to those studied by Huntsberger are discussed. The limiting distributions of the estimators are presented and…

用矩方法近似截断正态回归AI 解读

A NUMBER OF ARTICLES have been written in recent as well as more distant times on the subject of limited dependent variables. This broad classification includes two particular special cases. First, the dependent variable has finite probability mass concentrated at some limit point-the so called Tobit model. This case is referred to as the censored model in the statistical literature. The second case is when the dependent variable simply has a limited range and follows a…

联立方程模型设定错误的有限样本分析AI 解读

This article examines the effects of misspecification on the exact sampling distributions of the k-class estimators of a single equation in a simultaneous equations model. The analysis focuses on the effects of excluding relevant exogenous variables. The misspecification may occur in either the estimated equation itself or in the other equations in the system. Exact expressions and large-concentration parameter asymptotic expansions are stated and analyzed for the bias and…