论文检索

利用北卡罗来纳州面板数据估计犯罪经济模型AI 解读

Abstract This paper replicates the Cornwell and Trumbull ( 1994 ) estimation of a crime model using panel data on 90 counties in North Carolina over the period 1981–1987. While the Between and Within estimates are replicated, the fixed effects 2SLS as well as the 2SLS estimates are not. In fact, the fixed effects 2SLS estimates turn out to be insignificant for all important deterrent variables as well as legal opportunity variables. We argue that the usual Hausman test,…

基于小波的函数型混合模型AI 解读

Summary Increasingly, scientific studies yield functional data, in which the ideal units of observation are curves and the observed data consist of sets of curves that are sampled on a fine grid. We present new methodology that generalizes the linear mixed model to the functional mixed model framework, with model fitting done by using a Bayesian wavelet-based approach. This method is flexible, allowing functions of arbitrary form and the full range of fixed effects…

潜在马尔可夫模型转移概率线性假设的似然推断AI 解读

Summary For a class of latent Markov models for discrete variables having a longitudinal structure, we introduce an approach for formulating and testing linear hypotheses on the transition probabilities of the latent process. For the maximum likelihood estimation of a latent Markov model under hypotheses of this type, we outline an EM algorithm that is based on well-known recursions in the hidden Markov literature. We also show that, under certain assumptions, the asymptotic…

含缺失时变协变量的 Cox 模型渐近理论AI 解读

The relationship between a time-dependent covariate and survival times is usually evaluated via the Cox model. Time-dependent covariates are generally available as longitudinal data collected regularly during the course of the study. A frequent problem, however, is the occurence of missing covariate data. A recent approach to estimation in the Cox model in this case jointly models survival and the longitudinal covariate. However, theoretical justification of this approach is…

货币政策变化如何影响银行贷款：奥地利银行数据分析AI 解读

Abstract Using a panel of Austrian bank data we show that the lending decisions of the smallest banks are more sensitive to interest rate changes, and that for all banks, sensitivity changes over time. We propose to estimate the groups of banks that display similar lending reactions by means of a group indicator which, after estimation, indicates each bank's classification. Additionally, we estimate a state indicator that indicates the periods during which the lending…

异质面板平稳性的均值组检验AI 解读

This paper proposes a panel-based mean group test for the null of stationarity against the alternative of unit roots in the presence of both heterogeneity across cross-section units and serial correlation across time periods. Using both sequential and joint asymptotic analyses the proposed test statistic is shown to be distributed as standard normal under the null for large N (number of groups) and large T (number of time periods). Monte Carlo results support the use of…

非线性双重差分模型的识别与推断AI 解读

This paper develops a generalization of the widely used difference-in-differences method for evaluating the effects of policy changes. We propose a model that allows the control and treatment groups to have different average benefits from the treatment. The assumptions of the proposed model are invariant to the scaling of the outcome. We provide conditions under which the model is nonparametrically identified and propose an estimator that can be applied using either repeated…

一般重复测量问题中的半参数估计AI 解读

Summary The paper considers a wide class of semiparametric problems with a parametric part for some covariate effects and repeated evaluations of a nonparametric function. Special cases in our approach include marginal models for longitudinal or clustered data, conditional logistic regression for matched case–control studies, multivariate measurement error models, generalized linear mixed models with a semiparametric component, and many others. We propose profile kernel and…

函数主成分分析的惩罚样条模型AI 解读

Summary We propose an iterative estimation procedure for performing functional principal component analysis. The procedure aims at functional or longitudinal data where the repeated measurements from the same subject are correlated. An increasingly popular smoothing approach, penalized spline regression, is used to represent the mean function. This allows straightforward incorporation of covariates and simple implementation of approximate inference procedures for…

多矩条件下的广义矩估计AI 解读

This paper provides a first order asymptotic theory for generalized method of moments (GMM) estimators when the number of moment conditions is allowed to increase with the sample size and the moment conditions may be weak. Examples in which these asymptotics are relevant include instrumental variable (IV) estimation with many (possibly weak or uninformed) instruments and some panel data models covering moderate time spans and with correspondingly large numbers of…

利用间距检验面板数据的横截面相关性AI 解读

This article provides tools for characterizing the extent of cross-section correlation in panel data when we do not know a priori how many and which series are correlated. Our tests are based on the probability integral transformation of the ordered correlations. We first split the transformed correlations by their size into two groups, then evaluate the variance ratio of the two subsamples. The problem of testing cross-section correlation thus becomes one of identifying…

经济发展与人力资本回报：平滑系数半参数方法AI 解读

Abstract This paper investigates the impact of human capital on the process of economic growth by allowing the contribution of traditional inputs (capital and labour) as well as that of human capital to vary both across countries and time. The former is accomplished by constructing an index of TFP growth for traditional inputs, while the latter through semiparametric methods. We derive estimates of the output elasticity and social return to human capital for 51 countries at…

含固定与非正态潜变量的相关样本分析AI 解读

A general structural equation model is fitted on a panel data set that consists of I correlated samples. The correlated samples could be data from correlated populations or correlated observations from occasions of panel data. We consider cases in which the full pseudo-normal likelihood cannot be used, for example, in highly unbalanced data where the participating individuals do not appear in consecutive years. The model is estimated by a partial likelihood that would be the…

纵向数据的函数型线性回归分析AI 解读

We propose nonparametric methods for functional linear regression which are designed for sparse longitudinal data, where both the predictor and response are functions of a covariate such as time. Predictor and response processes have smooth random trajectories, and the data consist of a small number of noisy repeated measurements made at irregular times for a sample of subjects. In longitudinal studies, the number of repeated measurements per subject is often small and may…

聚类数据广义部分线性模型的稳健估计AI 解读

In this article we consider robust generalized estimating equations for the analysis of semiparametric generalized partial linear models (GPLMs) for longitudinal data or clustered data in general. We approximate the nonparametric function in the GPLM by a regression spline, and use bounded scores and leverage-based weights in the estimating equation to achieve robustness against outliers. We show that the regression spline approach avoids some of the intricacies associated…

重复测量与生存时间联合分析中极大似然估计的渐近结果AI 解读

Maximum likelihood estimation has been extensively used in the joint analysis of repeated measurements and survival time. However, there is a lack of theoretical justification of the asymptotic properties for the maximum likelihood estimators. This paper intends to fill this gap. Specifically, we prove the consistency of the maximum likelihood estimators and derive their asymptotic distributions. The maximum likelihood estimators are shown to be semiparametrically efficient.

允许横截面依赖的购买力平价面板平稳性检验AI 解读

We investigate the purchasing power parity (PPP) hypothesis for a group of 17 countries using a new panel-based test of stationarity that allows for arbitrary cross-sectional dependence. We treat the short-run time series dynamics nonparametrically and thus avoid the need to fit separate, and potentially misspecified, models for the individual series. The statistic is simple to compute and uses standard normal critical values, even in the presence of a wide range of…

面板数据有助于解决购买力平价之谜吗？AI 解读

Although Rogoff described the “remarkable consensus” of 3- to 5-year half-lives of purchasing power parity (PPP) deviations among studies using long-horizon data, recent works using panel methods with post-1973 data report shorter half-lives of 2 to 2.5 years. But these studies do not use appropriate techniques to measure persistence. We extend median-unbiased estimation methods to the panel context, calculate both point estimates and confidence intervals, and provide strong…

随机系数品牌选择模型中的购买频率偏差AI 解读

Conventional random-coefficients models of conditional brand choice using panel data ignore the dependence of the random-coefficients distribution on the purchase frequencies. We show that this leads to biased estimates and propose a conditional likelihood approach to obtain unbiased estimates. Unlike alternative approaches that require observation of “no-purchase” occasions, our proposed method relies only on purchase data. Furthermore, our approach does not require that…

估计型估计方程：聚类与纵向数据的半参数推断AI 解读

Summary We introduce a flexible marginal modelling approach for statistical inference for clustered and longitudinal data under minimal assumptions. This estimated estimating equations approach is semiparametric and the proposed models are fitted by quasi-likelihood regression, where the unknown marginal means are a function of the fixed effects linear predictor with unknown smooth link, and variance–covariance is an unknown smooth function of the marginal means. We propose…

层级图模型AI 解读

There is continued debate regarding the exact relation between lower cholesterol levels and increased respiratory disease mortality. One of the goals of this study is to reveal the relationship between subcomponents of cholesterol and pulmonary function. We consider the subcomponents of total cholesterol, namely high-density lipoprotein cholesterol and low-density lipoprotein cholesterol, to investigate the relationship of cholesterol levels with pulmonary function in a…

多元纵向数据的动态相关AI 解读

Nonparametric methodology for longitudinal data analysis is becoming increasingly popular. The analysis of multivariate longitudinal data, where data on several time courses are recorded for each subject, has received considerably less attention, despite its importance for practical data analysis. In particular, there is a need for measures and estimates to capture dependency between the components of vector-valued longitudinal data. We propose and analyze a simple and…

增长混合模型的残差诊断AI 解读

Growth mixture modeling has become a prominent tool for studying the heterogeneity of developmental trajectories within a population. In this article we develop graphical diagnostics to detect misspecification in growth mixture models regarding the number of growth classes, growth trajectory means, and covariance structures. For each model misspecification, we propose a different type of empirical Bayes residual to quantify the departure. Our procedure begins by imputing…

信息性观测时点下纵向数据的半参数回归分析AI 解读

Statistical analysis of longitudinal data has been discussed by many authors, and a number of methods have been proposed. Most of the research have focused on situations where observation times are independent of or carry no information about the response variable and therefore rely on conditional inference procedures given the observation times. This article considers a different situation, where the independence assumption may not hold; that is, the observation times may…