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理性成瘾的计量经济学AI 解读

This article reexamines the econometric estimation of rational-addiction models considered by Becker, Grossman, and Murphy (BGM) for cigarette consumption. The rational-addiction model poses a number of additional econometric difficulties including endogeneity due to the presence of leads and lags of the dependent variable and serial correlation in the disturbances. BGM considered a fixed-effects two-stage least squares (2SLS) estimator. It is well known that this estimator…

面板数据中含二元内生解释变量的二元选择模型AI 解读

This article considers the estimation of the causal effect of fertility on female-labor-force participation equations. My main concern is to examine two considerations, the endogeneity of fertility and the impact of controlling for unobserved heterogeneity and for predetermined existing children. Using PSID data, a switching binary panel-data model that accounts for selectivity bias as well as for other forms of time-invariant unobserved heterogeneity is estimated.…

含固定效应的动态面板 Logit 模型的信息界AI 解读

In this paper, I calculate the semiparametric information bound in two dynamic panel data logit models with individual specific effects. In such a model without any other regressors, it is well known that the conditional maximum likelihood estimator yields a √ n -consistent estimator. In the case where the model includes strictly exogenous continuous regressors, Honoré and Kyriazidou (2000, Econometrica 68, 839–874) suggest a consistent estimator whose rate of convergence is…

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计算 Bayes 因子的马尔可夫链蒙特卡洛方法AI 解读

The problem of calculating posterior probabilities for a collection of competing models and associated Bayes factors continues to be a formidable challenge for applied Bayesian statisticians. Current approaches that take advantage of modern Markov chain Monte Carlo computing methods include those that attempt to sample over some form of the joint space created by the model indicators and the parameters for each model, others that sample over the model space alone, and still…

多项重复测量与双变量事件时间联合分析的潜变量模型AI 解读

This article presents a novel approach to analyzing a complex dataset from a prevention trial, where outcomes comprise multiple repeated mental health items and times to initiation of alcohol and tobacco use. The dataset has a nonnegligible portion of missing values and interval or left censored events. The substantive interest of the trial suggests a psychiatric distress latent variable that is reflected in the mental health items and potentially affects initiation of…

纵向数据与事件时间数据的联合建模：艾滋病应用AI 解读

In many clinical and epidemiologic studies, periodically measured disease markers are used to monitor progression to the onset of disease. Motivated by a study of CD4 counts in men infected with human immunodeficiency virus (HIV) at risk for acquired immunodeficiency syndrome (AIDS), we developed a joint model for analysis of both longitudinal and event time data. We use a longitudinal model for continuous data that incorporates a mean structure dependent on covariates, a…

多原因无应答下纵向调查离散结局分析的边缘模型AI 解读

Techniques for analyzing categorical outcomes obtained from longitudinal survey samples, with outcomes subject to multiple-cause nonresponse, are developed within the framework of weighted generalized estimating equations. Development of these techniques was motivated by disability data obtained from the Longitudinal Study of Aging (LSOA), a longitudinal survey sample containing missing follow-up for many elderly participants. We posit a model that combines different…

信息性删失下的重复事件数据分析AI 解读

Recurrent event data are frequently encountered in longitudinal follow-up studies. In statistical literature, noninformative censoring is typically assumed when statistical methods and theory are developed for analyzing recurrent event data. In many applications, however, the observation of recurrent events could be terminated by informative dropouts or failure events, and it is unrealistic to assume that the censoring mechanism is independent of the recurrent event process.…

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动态面板样本选择模型的估计AI 解读

This paper considers the problem of identification and estimation in panel data sample selection models with a binary selection rule, when the latent equations contain strictly exogenous variables, lags of the dependent variables, and unobserved individual effects. We derive a set of conditional moment restrictions which are then exploited to construct two-step GMM-type estimators for the parameters of the main equation. In the first step, the unknown parameters of the…

存在纵向协变量测量误差的比例风险模型半参数估计AI 解读

A common objective in longitudinal studies is to characterise the relationship between a failure time process and time‐independent and time‐dependent covariates. Time‐dependent covariates are generally available as longitudinal data collected periodically during the course of the study. We assume that these data follow a linear mixed effects model with normal measurement error and that the hazard of failure depends both on the underlying random effects describing the…

异质面板中基于似然的协整检验AI 解读

This paper presents a maximum likelihood panel test of the cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on this, the asymptotic distribution of the test statistic is shown to be normal. The small-sample size and power properties are investigated using Monte Carlo simulations. An empirical…

不等间隔伪面板中AR(1)模型的估计AI 解读

Surveys in developing countries are often taken at unequally spaced intervals. This paper provides for the estimation of dynamic pseudo-panel models with such data. Non-linear least squares, minimum distance, and one-step estimators are used to impose the non-linear parameter restrictions which occur in dynamic models over unequally spaced periods. Consistency and asymptotic normality of the estimators is established. A small-scale Monte Carlo simulation study corroborates…

英国宏观经济预测面板分析AI 解读

This paper looks at unobserved components models and examines the implied weighting patterns for signal extraction. There are four main themes. The first concerns the implications of correlated disturbances driving the components, especially those cases in which the correlation is perfect. The second is about the way in which ARIMA-based methods for trend extraction relate to those based on unobserved components. The third explores the impact of heteroscedasticity and…

半连续纵向数据的两部分随机效应模型AI 解读

A semicontinuous variable has a portion of responses equal to a single value (typically 0) and a continuous, often skewed, distribution among the remaining values. In cross-sectional analyses, variables of this type may be described by a pair of regression models; for example, a logistic model for the probability of nonzero response and a conditional linear model for the mean response given that it is nonzero. We extend this two-part regression approach to longitudinal…

基于纵向标志物贝叶斯层级变点与混合模型的癌症风险筛查AI 解读

The standard approach to early detection of disease with a quantitative marker is to set a population-based fixed reference level for making further individual screening or referral decisions. For many types of disease, including prostate and ovarian cancer, additional information is contained in the subject-specific temporal behavior of the marker, which exhibits a characteristic alteration early in the course of the disease. In this article we derive a Bayesian approach to…

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投资融资约束的跨期变化AI 解读

This article is concerned with understanding how financial constraints on investment vary over the business cycle and whether these constraints are related to macroeconomic policies. These issues are investigated within the framework of a time-varying parameter model using U.S. company panel data from 1971 to 1993. A preliminary investigation of parameter stability in investment equations using cross-sectional estimation techniques indicates a pattern of parameter variation…

面板数据中选择动态的检验AI 解读

This article applies different approaches to distinguish state dependence from unobserved heterogeneity and serial correlation and, hence, test for state dependence in consumer brand choices. First, we apply a simple method proposed by Chamberlain, which involves lagged exogenous variables only. Second, we also estimate a lagged-dependent-variable specification proposed by Wooldridge. Third, we use the estimation approach suggested by Wooldridge to estimate a model with both…

存在回答误差与未应答时的估计AI 解读

Error in survey data originates from failure to contact the sample and from false answers to verifiable questions. These errors may be systematic and associated with uncooperative or unreliable respondents. Zabel modeled attrition in the Survey of Income and Program Participation and found systematic demographic and design effects. Bollinger and David modeled response error and identified correlations to income per capita. In this analysis, we link missing interviews in a…

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