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设计性缺失下的功效计算：铅暴露与注意力随访研究AI 解读

Longitudinal designs often change at critical times based on available funding, staffing, scientific opportunities, and subjects. This article presents three levels of investigation into missingness by design in a partially completed longitudinal study: Missingness that is completely at random (MCAR), at random (MAR), and nonignorable (MN). We first derive new expressions for the asymptotic variance and power based on multivariate normal data that are either MCAR or missing…

自变量无测量误差或有测量误差时的聚类数据非参数函数估计AI 解读

We consider local polynomial kernel regression with a single covariate for clustered data using estimating equations. We assume that at most m < ∞ observations are available on each cluster. In the case of random regressors, with no measurement error in the predictor, we show that it is generally the best strategy to ignore entirely the correlation structure within each cluster and instead pretend that all observations are independent. In the further special case of…

计量经济学实践：方法与应用论文集AI 解读

Part 1 Specification analysis and aggregation. Part 2 Distributed lags. Part 3 Errors in variables and panel data. Part 4 Applications. Part 5 Data issues.

面板计数数据下计数过程均值的两种估计量AI 解读

We study two estimators of the mean function of a countingprocess based on “panel count data.” The setting for “panel count data” is one in which $n$ independent subjects, each with a counting process with common mean function, are observed at several possibly different times duringa study. Following a model proposed by Schick and Yu, we allow the number of observation times, and the observation times themselves, to be random variables. Our goal is to estimate the mean…

高频数据处理的若干计量经济学方法AI 解读

According to Ragnar Frisch (1933), econometrics involves the mutual penetration of quantitative economic theory and statistical observation. Today, econometric research rarely has all the ingredients spelled out in Frisch's definition. Most econometric models are either very structural, contrived, and unfortunately typically rejected or else they are statistical summaries of stylized data features and unfortunately difficult to link unambiguously to a single theoretical…

新西兰计量经济学研究组首次会议纪要AI 解读

The inaugural meeting of the NZESG was held in February 1997 and comprised 14 papers, a software demonstration, and a roundtable panel discussion. Around 15 participants attended throughout, with stronger attendance on the first day.

不完整面板下的联立方程估计AI 解读

This paper compares the performance of several single and system estimators of a two equation simultaneous model with unbalanced panel data. The Monte Carlo design varies the degree of unbalancedness in the data and the variance components ratio due to the individual effects. One useful result for applied researchers is that the feasible error components 2SLS and 3SLS procedures based on simple ANOVA type estimators of the variance components perform well with incomplete…

面板数据半参数模型的统计推断AI 解读

In a longitudinal study, suppose that, for each subject, repeated measurements of the response variable and covariates are collected at a set of distinct, irregularly spaced time points. We consider a semiparametric model which relates the mean of the response variable at each time point proportionally to a function of a time-dependent covariate vector to analyse such panel data. Inference procedures for regression parameters are proposed without involving any nonparametric…

概率统计史札记：Pizzetti 于1891年对正态观测分析的贡献AI 解读

Pizzetti's work is considered as bridging the gap between Helmert and Fisher. By means of an orthonormal transformation Pizzetti decomposed the total sum of squares in the linear normal model into its constituent and independent parts, thus providing the theoretical basis for the analysis of variance in the fixed effects model. He calculated a table of the χ2 distribution, which he used for finding probability limits for s/σ. He derived the estimates of the components of…

广义线性混合模型的参考贝叶斯方法AI 解读

Bayesian methods furnish an attractive approach to inference in generalized linear mixed models. In the absence of subjective prior information for the random-effect variance components, these analyses are typically conducted using either the standard invariant prior for normal responses or diffuse conjugate priors. Previous work has pointed out serious difficulties with both strategies, and we show here that as in normal mixed models, the standard invariant prior leads to…

估计函数的窗口子抽样及其在回归模型中的应用AI 解读

We propose a subsampling method for estimating the asymptotic standard error of a statistic β n that is the solution to an estimating equation 1/n Σn j=1 Uj(Y j Xj, β) = 0 where the data Yj may be temporally or spatially correlated and the estimating function may depend on covariates Xj . A key statistic that we consider in detail is a generalized linear model regression coefficient computed under the assumption of independence. The availability of a consistent variance…

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配电规模经济的半参数分析AI 解读

We estimate the costs of distributing electricity using data on municipal electric utilities in Ontario, Canada for the period 1993-5. The data reveal substantial evidence of increasing returns to scale with minimum efficient scale being achieved by firms with about 20,000 customers. Larger firms exhibit constant or decreasing returns. Utilities which deliver additional services (such as water|sewage), have significantly lower costs, indicating the presence of economies of…

This paper reexamines the benefits of pooling and, in addition, contrasts the performance of newly proposed heterogeneous estimators. The analysis utilizes a panel data set from 46 American states over the period 1963 to 1992 and a dynamic demand specification for cigarettes. Also, the forecast performance of the various estimators is compared.

与最优者的多重比较及其经济应用AI 解读

In this paper we discuss a statistical method called multiple comparisons with the best, or MCB. This paper is meant to introduce MCB to economists. We discuss possible uses of MCB in economics. The application that we treat in most detail is the construction of confidence intervals for inefficiency measures from stochastic frontier models with panel data. We also consider an application to the analysis of labour market wage gaps. Copyright � 2000 John Wiley & Sons, Ltd.

美国各州失业率的层级贝叶斯估计AI 解读

Under a federal-state cooperative program, the U.S. Bureau of Labor Statistics (BLS) publishes monthly unemployment rate estimates for its 50 states and the District of Columbia. The primary source of data for this estimation problem is the Current Population Survey (CPS). However, the CPS state unemployment rate estimates are unreliable, because the survey provides relatively few observations per state. Various federal agencies use state-level unemployment rate estimates…

美国各州失业率的层级贝叶斯估计AI 解读

Under a federal-state cooperative program, the U.S. Bureau of Labor Statistics (BLS) publishes monthly unemployment rate estimates for its 50 states and the District of Columbia. The primary source of data for this estimation problem is the Current Population Survey (CPS). However, the CPS state unemployment rate estimates are unreliable, because the survey provides relatively few observations per state. Various federal agencies use state-level unemployment rate estimates…

非动态面板中的门槛效应：估计、检验与推断AI 解读

Threshold regression methods are developed for non-dynamic panels with individual-specific fixed effects. Least squares estimation of the threshold and regression slopes is proposed using fixed-effects transformations. A non-standard asymptotic theory of inference is developed which allows construction of confidence intervals and testing of hypotheses. The methods are applied to a 15-year sample of 565 US firms to test whether financial constraints affect investment…

固定效应动态面板模型的初始条件有多大信息量？AI 解读

I consider estimation of the autoregressive panel model with fixed effects yit=ci+βyi,t−1+εit. I investigate the estimation method developed by Blundell and Bond (1998), which makes use of the stationarity of the initial levels. I do it by numerically comparing the semiparametric information bounds for the case that incorporates the stationarity of the initial condition and for the case that does not. It is found that the efficiency gain can be substantial.

具有 AR(1) 扰动的不等间隔面板数据回归AI 解读

This paper deals with the estimation of unequally spaced panel data regression models with AR(1) remainder disturbances. A feasible generalized least squares (GLS) procedure is proposed as a weighted least squares that can handle a wide range of unequally spaced panel data patterns. This procedure is simple to compute and provides natural estimates of the serial correlation and variance components parameters. The paper also provides a locally best invariant test for zero…

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已婚女性跨期劳动参与中的状态依赖、序列相关与异质性AI 解读

The intertemporal labor force participation of married women is analyzed using a dynamic search framework. Maximum simulated likelihood (MSL) estimation is used to estimate dynamic Probit models, and the sensitivity to alternative assumptions examined using Linear Probability models. Participation decisions are characterized by significant positive state dependence, unobserved heterogeneity, and negatively correlated errors. The hypothesis that women's participation is…

求职理论隐含风险函数形状不等式约束下的半参数持续期模型推断AI 解读

Using a four-month panel of revised Current Population Survey data from September-December 1993, we extend the class of semiparametric hazard models of the type first studied by Prentice and Gloeckler (1978), and brought to the attention of economists by Meyer (1988, 1990), to incorporate inequality restrictions on the shape of the hazard. This extension enables us to test hypotheses regarding the shape of the hazard implied by search theory using duration data alone. These…

劳动供给实证模型中相互依赖行为的识别AI 解读

In this paper we test a particular form of interdependent behaviour, namely the hypothesis that individuals' choices of hours of work are influenced by the average hours of work in a social reference group. There are problems in empirically disentangling the effects of interdependent behaviour and preference variation across groups. We show that panel data or data from several points in time are needed. In the empirical analysis we combine cross-section data from 1973, 1980,…