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因子模型中原始冲击数量的确定AI 解读

A widely held but untested assumption underlying macroeconomic analysis is that the number of shocks driving economic fluctuations, q, is small. In this article we associate q with the number of dynamic factors in a large panel of data. We propose a methodology to determineq without having to estimate the dynamic factors. We first estimate a VAR in r static factors, where the factors are obtained by applying the method of principal components to a large panel of data, then…

大 N、大 T 面板中动态因子数量的一致估计AI 解读

Bai and Ng proposed a consistent estimator for the number of static factors in a large N and T approximate factor model. This article shows how the Bai–Ng estimator can be modified to consistently estimate the number of dynamic factors in a restricted dynamic factor model. The modification is straightforward: The standard Bai–Ng estimator is applied to residuals obtained by projecting the observed data onto lagged values of principal-components estimates of the static…

满足基准约束的状态空间小区域估计AI 解读

This article shows how to benchmark small-area estimators, produced by fitting separate state–space models within the areas, to aggregates of the survey direct estimators within a group of areas. State–space models are used by the U.S. Bureau of Labor Statistics (BLS) for the production of all of the monthly employment and unemployment estimates in census divisions and the states. Computation of the benchmarked estimators and their variances is accomplished by incorporating…

计数时间序列参数驱动模型的辅助混合抽样及状态空间应用AI 解读

We consider parameter-driven models of time series of counts, where the observations are assumed to arise from a Poisson distribution with a mean changing over time according to a latent process. Estimation of these models is carried out within a Bayesian framework using data augmentation and Markov chain Monte Carlo methods. We suggest a new auxiliary mixture sampler, which possesses a Gibbsian transition kernel, where we draw from full conditional distributions belonging…

面板计数数据的非参数多样本检验AI 解读

We study the nonparametric k-sample test problem with panel count data. The asymptotic normality of a smooth functional of the nonparametric maximum pseudo-likelihood estimator (Wellner & Zhang, 2000) is established under some mild conditions. We construct a class of easy-to-implement nonparametric tests for comparing mean functions of k populations based on this asymptotic normality. We conduct various simulations to validate and compare the tests. The simulations show that…

信息性观测时点下的面板计数数据分析AI 解读

In this paper, we study panel count data with informative observation times. We assume nonparametric and semiparametric proportional rate models for the underlying event process, where the form of the baseline rate function is left unspecified and a subject-specific frailty variable inflates or deflates the rate function multiplicatively. The proposed models allow the event processes and observation times to be correlated through their connections with the unobserved…

广义线性混合模型中混合分布的诊断检验AI 解读

We introduce a diagnostic test for the mixing distribution in a generalised linear mixed model. The test is based on the difference between the marginal maximum likelihood and conditional maximum likelihood estimators of a subset of the fixed effects in the model. We derive the asymptotic variance of this difference, and propose a test statistic that has a limiting chi-squared distribution under the null hypothesis that the mixing distribution is correctly specified. This…

纵向数据广义估计方程中的协方差结构建模AI 解读

When used for modelling longitudinal data generalised estimating equations specify a working structure for the within-subject covariance matrices, aiming to produce efficient parameter estimators. However, misspecification of the working covariance structure may lead to a large loss of efficiency of the estimators of the mean parameters. In this paper we propose an approach for joint modelling of the mean and covariance structures of longitudinal data within the framework of…

用系统估计重新推导 Mundlak 的固定效应结果AI 解读

Mundlak (1978, Econometrica 46, 69–85) showed that the fixed effects estimator can be obtained as generalized least squares (GLS) for a panel regression model where the individual effects are random but are all hopelessly correlated with the regressors. This result was obtained by partitioned inversion after substituting the reduced form expression for the individual effects as a function of the means of all the regressors. This note shows that Mundlak's result can be…

Breitung 面板单位根检验及其局部渐近功效AI 解读

This note analyzes the local asymptotic power properties of a test proposed by Breitung (2000, in B. Baltagi (ed.), Nonstationary Panels, Panel Cointegration, and Dynamic Panels). We demonstrate that the Breitung test, like many other tests (including point optimal tests) for panel unit roots in the presence of incidental trends, has nontrivial power in neighborhoods that shrink toward the null hypothesis at the rate of n−1/4T−1 where n and T are the cross-section and…

短面板中的代际流动与样本选择AI 解读

Abstract Using data from the first 11 waves of the BHPS, this paper measures the extent of the selection bias induced by standard coresidence conditions—bias that is expected to be severe in short panels—on measures of intergenerational mobility in occupational prestige. We try to limit the impact of other selection biases, such as those induced by labour market restrictions that are typically imposed in intergenerational mobility studies, by using different measures of…

1930—2000年美国各州发明活动的动态演变AI 解读

Abstract We study the dynamics of the cross‐section distribution of patents per capita for the 48 continental US states from 1930 to 2000 using a discrete‐state Markov chain. We test for and find evidence in favor of the (knowledge) convergence hypothesis. The distribution of patents is converging to a limiting distribution that is significantly more concentrated than its initial distribution. States in the extreme are more mobile than states in the middle of the…

利用密度预测面板建模多期通胀不确定性AI 解读

Abstract This paper examines the determinants of inflation forecast uncertainty using a panel of density forecasts from the Survey of Professional Forecasters (SPF). Based on a dynamic heterogeneous panel data model, we find that the persistence in forecast uncertainty is much less than what the aggregate time series data would suggest. In addition, the strong link between past forecast errors and current forecast uncertainty, as often noted in the ARCH literature, is…

个体效应 F 检验统计量的渐近分布AI 解读

(the number of cross-sections) and T is fixed (the number of time periods). Three theoretical results emerge: (i) the standard F-test procedure will still deliver asymptotically valid inferences; (ii) under (pure) local random effects, the F-test and random effects test procedures have identical asymptotic power; (iii) under local fixed, or random effects which are correlated with the regressors, the F-test will have higher asymptotic power than the random effects test.…

促销与消费者库存行为的影响测度AI 解读

Temporary price reductions (sales) are common for many goods and naturally result in large increases in the quantity sold.Demand estimation based on temporary price reductions may mismeasure the long run responsiveness to prices.In this paper we quantify the extent of the problem and assess its economic implications.We structurally estimate a dynamic model of consumer choice using two years of scanner data on the purchasing behavior of a panel of households.The results…

含内生性的两部模型贝叶斯分析：医疗支出应用AI 解读

Abstract This paper studies the effect of managed care on medical expenditure using a model in which the insurance status is assumed to be endogenous. Insurance plan choice is modeled through the multinomial probit model. The medical expenditure variable, the outcome of interest, has a significant proportion of zeros that are handled using the two‐part model, extended to handle endogenous insurance. The estimation approach is Bayesian, based on the Gibbs Sampler. The model…

南非家庭特征与生活水平：考虑样本流失的分位数回归分析AI 解读

Abstract This paper examines whether the dismantling of apartheid has resulted in an improvement in the standard of living for the vast majority of South Africans. The study is based on a panel data set from the Kwazulu‐Natal province. We use weighted quantile regressions to examine the distribution of standards of living, which corrects for the potential bias arising from non‐random sample attrition. Our results show that there has been a significant increase in the spread…

重复微阵列时间进程数据的多元经验贝叶斯统计量AI 解读

In this paper we derive one- and two-sample multivariate empirical Bayes statistics (the MB-statistics) to rank genes in order of interest from longitudinal replicated developmental microarray time course experiments. We first use conjugate priors to develop our one-sample multivariate empirical Bayes framework for the null hypothesis that the expected temporal profile stays at 0. This leads to our one-sample MB-statistic and a one-sample T̃2-statistic, a variant of the…

条件生长图模型讨论的作者回复AI 解读

First of all, we would like to thank all the discussants for their encouragement of and insightful comments on our work.We are especially appreciative of their unique perspectives brought to the topic of conditional growth charts.The discussants raised a number of interesting questions from statistical as well as clinical points of view, some of which are broader and deeper than what we will be able to address fully in this rejoinder.Our rejoinder will focus on the issues…

关于纵向条件百分位图的讨论意见AI 解读

I will use the terms "reference centiles" or "centile charts," as the setting that I consider here is more general than that of "growth charts."Longitudinal reference centiles over some measure of time (typically age) are almost always implemented repeatedly on the same individual.In this kind of setting the notion of conditional or adaptive centile charts is very appealing, particularly when the within-individual variability is much less than that between individuals.While…

关于条件生长曲线方法的讨论AI 解读

Overview.Wei and He are to be congratulated on an innovative and important article.The conditional approach to growth charts described in their article is important in a practical sense, and the use of quantile regression is both natural and well motivated.We look forward to further application of their idea to actual practice, because the concept of "falling behind" in one's growth cycle has two meanings: the usual standard growth chart, and the conditional growth chart…

条件生长曲线图AI 解读

Growth charts are often more informative when they are customized per subject, taking into account prior measurements and possibly other covariates of the subject. We study a global semiparametric quantile regression model that has the ability to estimate conditional quantiles without the usual distributional assumptions. The model can be estimated from longitudinal reference data with irregular measurement times and with some level of robustness against outliers, and it is…

私人保险、自选择与医疗服务使用AI 解读

Observed differences in medical utilization between the privately insured and uninsured reflect the combined effects of self-selection and insurance incentives (moral hazard). This article provides a Bayesian framework for decomposing the disparity into incentive and selection components. The effect of self-selection in private insurance on the number of doctor visits is estimated using a multiyear sample of the U.S. adult non-Medicare population obtained from the Medical…