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纵向数据的半参数与非参数回归分析AI 解读

This article deals with the regression analysis of repeated measurements taken at irregular and possibly subject-specific time points. The proposed semiparametric and nonparametric models postulate that the marginal distribution for the repeatedly measured response variable Y at time t is related to the vector of possibly time-varying covariates X through the equations E{Y(t)|| X(t} = α0(t) + β′0X(t) and E{Y(t)||X(t)} = α0(t)+ β′0(t)X(t), where α0(t) is an arbitrary function…

利用家庭和社区随机效应研究马拉维儿童死亡率AI 解读

The Malawi Demographic and Health Survey conducted in 1992 collected the retrospective birth histories for a national sample of 4,878 women aged between 15 and 49 years. The sample was randomly selected by a two-stage sampling design. The data consist of biological, demographic, and social variables collected for each birth. This article models the infant and early childhood survival using family and community random effect multipliers on the fixed effect proportional…

协方差结构误设下的重复测量分析AI 解读

Summary In recent years various sophisticated methods have been developed for the analysis of repeated measures, or longitudinal data. The more traditional approach, based on a normal likelihood function, has been shown to be unsatisfactory, in the sense of yielding asymptotically biased estimates when the covariance structure is misspecified. More recent methodology, based on generalized linear models and quasi-likelihood estimation, has gained widespread acceptance as…

预测共识的检验AI 解读

A panel of forecasts may be defined to be in consensus when individual forecasters place identical weights on a common latent variable. We suggest this definition and formulate a dynamic latent-variable model to test for consensus. This method also tests whether it is valid to use the mean forecast as the consensus forecast. In applications to surveys of U.S. macroeconomic forecasters, there is greater consensus in forecasts for output growth than for inflation or…

利用二次推断函数改进广义估计方程AI 解读

Generalised estimating equations enable one to estimate regression parameters consistently in longitudinal data analysis even when the correlation structure is misspecified. However, under such misspecification, the estimator of the regression parameter can be inefficient. In this paper we introduce a method of quadratic inference functions that does not involve direct estimation of the correlation parameter, and that remains optimal even if the working correlation structure…

有序纵向调查数据分析：广义估计方程方法AI 解读

Longitudinal survey data may comprise ordinal polytomous repeated observations and a set of multidimensional covariates for a large number of individuals. One of the main goals of the longitudinal survey is then to describe the marginal expectation of the ordinal polytomous outcome variable as a function of the covariates while accounting for the structural as well as longitudinal correlations. The structural correlations come from the polytomous nature of the response…

This paper proposes a residual-based Lagrange multiplier (LM) test for a null that the individual observed series are stationary around a deterministic level or around a deterministic trend against the alternative of a unit root in panel data. The tests which are asymptotically similar under the null, belong to the locally best invariant (LBI) test statistics. The asymptotic distributions of the statistics are derived under the null and are shown to be normally distributed.…

删失停止时刻下递增随机过程均值的估计AI 解读

Data often come in the form of a longitudinal series, say N(·), whose observation has been “stopped” either by a terminal event U (e.g., death) or censoring event C (e.g., lost to follow-up). When N(·) is not deterministic, it is generally not possible to use standard survival analysis tools (e.g., the Kaplan-Meier estimator) to consistently estimate functionals of the distribution of N(U) because of “induced” informative censoring. Various seemingly unrelated estimators…

家庭内肺炎链球菌携带传播：二元纵向数据的潜在马尔可夫过程模型AI 解读

We present a Bayesian data augmentation model to estimate acquisition and clearance rates of carriage of Streptococcus pneumoniae (Pnc) bacteria. The panel observation data comprise 10 measurements of Pnc carriage (carrier/noncarrier of the bacteria) in all members of 97 families with young children over a period of 2 years. Using natural conditional independence assumptions, a transmission model is constructed for the unobserved dependent binary processes of the augmented…

利用面板数据估计接近单位根的自回归根AI 解读

Time series data are often well modeled by using the device of an autoregressive root that is local to unity. Unfortunately, the localizing parameter (c) is not consistently estimable using existing time series econometric techniques and the lack of a consistent estimator complicates inference. This paper develops procedures for the estimation of a common localizing parameter using panel data. Pooling information across individuals in a panel aids the identification and…

混合线性模型的小样本推断改进：Bartlett 校正与调整似然AI 解读

Summary The mixed linear model is a popular method for analysing unbalanced repeated measurement data. The classical statistical tests for parameters in this model are based on asymptotic theory that is unreliable in the small samples that are often encountered in practice. For testing a given fixed effect parameter with a small sample, we develop and investigate refined likelihood ratio (LR) tests. The refinements considered are the Bartlett correction and use of the…

最大最小期望效用的计量经济学应用AI 解读

Abstract Gilboa and Schmeidler (1989) develop a set of axioms for decision making under uncertainty. The axioms imply a utility function and a set of distributions such that the preference ordering is obtained by calculating expected utility with respect to each distribution in the set, and then taking the minimum of expected utility over the set. In a portfolio choice problem, the distributions are joint distributions for the data that will be available when the choice is…

营销组合变量具有不同长期与短期效应的动态多项 Probit 品牌选择模型AI 解读

Abstract In this paper we propose a dynamic multinomial probit model in order to estimate the long‐run and short‐ run effects of marketing mix variables on brand choice. The latent variables, which contain the unobserved perceived utilities, follow a first‐order vector error correction autoregressive process of order 1 with current and lagged explanatory variables. The unrestricted autoregressive parameter matrix concerns the intertemporal correlation in perceived utilities…

利用期望估计方程处理协变量测量误差AI 解读

Summary Estimating equations which are not necessarily likelihood-based score equations are becoming increasingly popular for estimating regression model parameters. This paper is concerned with estimation based on general estimating equations when true covariate data are missing for all the study subjects, but surrogate or mismeasured covariates are available instead. The method is motivated by the covariate measurement error problem in marginal or partly conditional…

纵向数据的非参数动态加性回归模型AI 解读

In this work we study additive dynamic regression models for longitudinal data. These models provide a flexible and nonparametric method for investigating the time-dynamics of longitudinal data. The methodology is aimed at data where measurements are recorded at random time points. We model the conditional mean of responses given the full internal history and possibly time-varying covariates. We derive the asymptotic distribution for a new nonparametric least squares…

面板 Probit 中的异方差误设：GMM 与模拟最大似然的小样本比较AI 解读

This paper compares generalized method of moments (GMM) and simulated maximum likelihood (SML) approaches to the estimation of the panel probit model. Both techniques circumvent multiple integration of joint density functions without the need to restrict the error term variance-covariance matrix of the latent normal regression model. Particular attention is paid to a three-stage GMM estimator based on nonparametric estimation of the optimal instruments for given conditional…

观测与删失时间依赖协变量的面板计数数据回归分析AI 解读

Summary Panel count data often occur in a long-term study where the primary end point is the time to a specific event and each subject may experience multiple recurrences of this event. Furthermore, suppose that it is not feasible to keep subjects under observation continuously and the numbers of recurrences for each subject are only recorded at several distinct time points over the study period. Moreover, the set of observation times may vary from subject to subject. In…

函数线性模型的两步估计及其纵向数据应用AI 解读

Summary Functional linear models are useful in longitudinal data analysis. They include many classical and recently proposed statistical models for longitudinal data and other functional data. Recently, smoothing spline and kernel methods have been proposed for estimating their coefficient functions nonparametrically but these methods are either intensive in computation or inefficient in performance. To overcome these drawbacks, in this paper, a simple and powerful two-step…

含滞后因变量的面板离散选择模型AI 解读

In this paper, we consider identification and estimation in panel data discrete choice models when the explanatory variable set includes strictly exogenous variables, lags of the endogenous dependent variable as well as unobservable individual-specific effects. For the binary logit model with the dependent variable lagged only once, Chamberlain (1993) gave conditions under which the model is not identified. We present a stronger set of conditions under which the parameters…

动态面板模型中的合并估计：GDP增长率预测应用AI 解读

In this article, we analyze issues of pooling models for a given set of N individual units observed over T periods of time. When the parameters of the models are different but exhibit some similarity, pooling may lead to a reduction of the mean squared error of the estimates and forecasts. We investigate theoretically and through simulations the conditions that lead to improved performance of forecasts based on pooled estimates. We show that the superiority of pooled…

全球铝冶炼厂的成本与技术结构AI 解读

A cost model is developed for the estimation of several technological parameters describing the production process of aluminium smelters worldwide. The model is similar to Baltagi and Griffin's (1988), but, instead of estimating technological change using a panel data set of firms, we estimate, among other things, the vintage effect, using a cross-section of aluminium smelters in operation throughout 1994. The vintage effect is defined as the variable cost differential that…

全球铝冶炼厂的成本与技术结构AI 解读

A cost model is developed for the estimation of several technological parameters describing the production process of aluminium smelters worldwide. The model is similar to Baltagi and Griffin's (1988), but, instead of estimating technological change using a panel data set of firms, we estimate, among other things, the vintage effect, using a cross-section of aluminium smelters in operation throughout 1994. The vintage effect is defined as the variable cost differential that…

使用 GMM 自助法考察地方政府的动态行为AI 解读

Even though recent Monte Carlo evidence has shown that the use of bootstrap critical values, instead of asymptotic ones, improves the size of the tests substantially, empirical applications using GMM bootstrap techniques are largely missing. In this paper, the dynamic relationship between local government revenues and expenditures is re-investigated using GMM bootstrapping techniques on a panel of 265 Swedish municipalities over the period 1979-1987. A lag of one year is…

多维纵向数据：从连续、离散或事件时间响应估计治疗效应AI 解读

Multidimensional data arise when a number of different response variables are required to measure the outcome of interest. Examples of such outcomes include quality of life, cognitive ability, and health status. The goal of this article is to develop a methodology to estimate a treatment effect from multidimensional data that have been collected longitudinally using continuous, discrete, or time-to-event responses or a mixture of these types of responses. A transformation of…