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非平衡双向误差分量回归模型的替代估计量比较AI 解读

This paper considers the unbalanced two-way error component model studied by Wansbeek and Kapteyn (1989). Alternative analysis of variance (ANOVA), minimum norm quadratic unbiased and restricted maximum likelihood (REML) estimation procedures are proposed. The mean squared error performance of these estimators are compared using Monte Carlo experiments. Results show that for the estimates of the variance components, the computationally more demanding maximum likelihood (ML)…

自回归面板数据模型的投影估计量AI 解读

In this paper we explore a new approach to estimation for autoregressive panel data models, based on projecting the unobserved individual effects on the vector of observations on the lagged dependent variable. This approach yields estimators which coincide with known generalized method of moments estimators for models where stationarity is not imposed on the initial conditions and for models which satisfy mean stationarity. Our approach allows us to obtain a simple linear…

纵向数据的简约协方差矩阵估计AI 解读

This article proposes a data-driven method to identify parsimony in the covariance matrix of longitudinal data and to exploit any such parsimony to produce a statistically efficient estimator of the covariance matrix. The approach parameterizes the covariance matrix through the Cholesky decomposition of its inverse. For longitudinal data, this is a one-step-ahead predictive representation, and the Cholesky factor is likely to have off-diagonal elements that are zero or close…

含删失与协变量测量误差的非线性混合效应联合模型：艾滋病研究应用AI 解读

In recent years AIDS researchers have shown great interest in the study of HIV viral dynamics. Nonlinear mixed-effects models (NLMEs) have been proposed for modeling intrapatient and interpatient variations in viral load measurements. The interpatient variation often receives great attention and may be partially explained by time-varying covariates, such as CD4 cell counts. Statistical analyses in these studies are complicated by the following problems: (a) the viral load…

半参数线性混合模型的独立同分布蒙特卡洛算法AI 解读

Hybrid versions of independent and identically distributed weighted Chinese restaurant (WCR) algorithms are developed for inference in semiparametric linear mixed models under minimal assumptions for the random-effects distributions. The WCR method of working with the posterior partition structure leads to Rao–Blackwell estimates for higher-order moments of random effects, such as skewness and kurtosis, and can be used to estimate densities for random effects. A key feature…

聚类不完整纵向数据的边际分析方法AI 解读

Inverse probability–weighted generalized estimating equations are commonly used to deal with incomplete longitudinal data arising from a missing-at-random mechanism when the marginal means are of primary interest. In many cases, however, the repeated measurements themselves may arise in clusters, which leads to both a cross-sectional and a longitudinal correlation structure. In some applications, the degree of these types of correlation may become of scientific interest.…

品牌选择行为的半参数估计AI 解读

In the marketing literature there does not seem to be a widely accepted answer to the question of whether, when purchasing brands in a given product category, consumers react differently to a reduction in price and an increase in the deal discount. Previous studies that have attempted to address this issue have assumed that prices and deals have a linear effect on a brand's indirect utility. In this article, we estimate the utility of price and discount nonparametrically.…

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劳动者与雇主异质性下的均衡工资离散AI 解读

We construct and estimate an equilibrium search model with on–the–job–search. Firms make take–it–or–leave–it wage offers to workers conditional on their characteristics and they can respond to the outside job offers received by their employees. Unobserved worker productive heterogeneity is introduced in the form of cross–worker differences in a “competence” parameter. On the other side of the market, firms also are heterogeneous with respect to their marginal productivity of…

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劳动者与雇主异质性下的均衡工资离散AI 解读

We construct and estimate an equilibrium search model with on-the-job-search. Firms make take-it-or-leave-it wage offers to workers conditional on their characteristics and they can respond to the outside job offers received by their employees. Unobserved worker productive heterogeneity is introduced in the form of cross-worker differences in a "competence" parameter. On the other side of the market, firms also are heterogeneous with respect to their marginal productivity of…

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依赖结构未指定的纵向数据半参数模型估计AI 解读

This paper considers an extension of M‐estimators in semiparametric models for independent observations to the case of longitudinal data. We approximate the nonparametric function by a regression spline, and any M‐estimation algorithm for the usual linear models can then be used to obtain consistent estimators of the model and valid large‐sample inferences about the regression parameters without any specification of the error distribution and the covariance structure.…

聚类数据分析：组合估计方程方法AI 解读

Examples of clustered data include data from longitudinal studies and data sampled within groups. This paper proposes a regression analysis method for clustered data that optimally weights and combines contrasts of the data through a combination of estimating equations. Examples of combining between‐cluster, within‐cluster and longitudinal data contrasts are presented. The method results in increased estimation efficiency relative to generalised estimating equations with…

纵向数据协方差矩阵与动态模型的贝叶斯分析AI 解读

Parsimonious modelling of the within‐subject covariance structure while heeding its positive‐definiteness is of great importance in the analysis of longitudinal data. Using the Cholesky decomposition and the ensuing unconstrained and statistically meaningful reparameterisation, we provide a convenient and intuitive framework for developing conditionally conjugate prior distributions for covariance matrices and show their connections with generalised inverse Wishart priors.…

具有相互相关性的动态面板模型适合性检验AI 解读

We give several definitions of residual autocorrelations and derive their joint asymptotic distribution for the panel time series model of Hjellvik & Tjøstheim (1999a). A portmanteau goodness‐of‐fit test arises naturally from the asymptotic distribution. Simulation results show that the asymptotic standard errors compared satisfactorily with the empirical standard errors, that the goodness‐of‐fit test has reasonable empirical size, and that it is powerful enough to be useful…

半参数混合模型的影响诊断与异常值检验AI 解读

Summary Semiparametric mixed models are useful in biometric and econometric applications, especially for longitudinal data. Maximum penalized likelihood estimators (MPLEs) have been shown to work well by Zhang and co-workers for both linear coefficients and nonparametric functions. This paper considers the role of influence diagnostics in the MPLE by extending the case deletion and subject deletion analysis of linear models to accommodate the inclusion of a nonparametric…

正交参数与面板数据AI 解读

This paper describes a class of consistent estimators for short panels with fixed effects. The method is to find an orthogonal reparametrization of the fixed effects and then to integrate the new effects from the likelihood with respect to an appropriately chosen prior density. The resulting marginal posterior densities of the common parameters have modes that are shown to be consistent in the models examined here. The main result concerns the first-order autoregressive…

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地理贫困陷阱？中国农村消费增长的微观模型AI 解读

Abstract How important are neighbourhood endowments of physical and human capital in explaining diverging fortunes over time for otherwise identical households in a developing rural economy? To answer this question we develop an estimable micro model of consumption growth allowing for constraints on factor mobility and externalities, whereby geographic capital can influence the productivity of a household's own capital. Our statistical test has considerable power in…