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分类数据的多元回归分析AI 解读

SUMMARY It is common to observe a vector of discrete and/or continuous responses in scientific problems where the objective is to characterize the dependence of each response on explanatory variables and to account for the association between the outcomes. The response vector can comprise repeated observations on one variable, as in longitudinal studies or genetic studies of families, or can include observations for different variables. This paper discusses a class of models…

利用纵向CD4 T细胞数量研究HIV感染进展的层级贝叶斯模型AI 解读

Taking the absolute number of CD4 T-cells as a marker of disease progression for persons infected with the human immunodeficiency virus (HIV), we model longitudinal series of such counts for a sample of 327 subjects in the San Francisco Men's Health Study (Waves 1–8, excluding zidovudine cases). We conduct a fully Bayesian analysis of these data. We employ individual level nonlinear models incorporating such critical features as incomplete and unbalanced data, population…

面板数据中的未回应：对生命周期消费函数估计的影响AI 解读

Abstract If missing observations in a panel data set are not missing at random, many widely applied estimators may be inconsistent. In this paper we examine empirically several ways to reveal the nature and severity of the selectivity problem due to nonresponse, as well as a number of methods to estimate the resulting models. Using a life cycle consumption function and data from the Expenditure Index Panel from the Netherlands, we discuss simple procedures that can be used…

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固定效应截断与删失回归的修剪最小绝对偏差与最小二乘估计AI 解读

This paper considers estimation of truncated.and censored regression models with fixed effects. Up until now, no estimator has been shown to be consistent as the cross-section dimension increases with the time dimension fixed. Trimmed least absolute deviations and trimmed least squares estimators are proposed for the case where the panel is of length two, and it is proven that they are consistent and asymptotically normal. It is not necessary to maintain parametric…

面板数据估计量的一些异常性质AI 解读

Abstract We study the biases that are likely to arise in practice with panel data when parameters vary across individuals, but this is not allowed for in estimation. We consider both stationary and non‐stationary regressors. We find that biases can be severe for relatively small parameter variation, and that this problem is hard to detect. We study in some detail by Monte‐Carlo the performance of the Anderson‐Hsiao estimator in the presence of this particular…

青少年时期家庭结构对高中毕业影响的不同估计AI 解读

Many studies have reported significant empirical associations between family structure during childhood and children's outcomes later in life. It may be that living in a nonintact family has adverse consequences for children. On the other hand, it may be that some unobserved process jointly determines family structure and children's outcomes. How then should one interpret the empirical evidence on the relationship between family structure and children's outcomes? The answer…

含误差分量的联立方程估计札记AI 解读

Baltagi [3] derived 2SLS and 3SLS analogues for a simultaneous equation model with error components. These were denoted by EC2SLS and EC3SLS. More recently, Balestra and Varadharajan-Krishnakumar [1] derived alternative 2SLS and 3SLS analogues; these were denoted by G2SLS and G3SLS. This note explains the relationship between these estimators and shows that the set of instruments employed by Balestra and Varadharajan-Krishnakumar is a subset of those used in Baltagi. In…

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工具变量非严格外生时序列相关面板模型的估计AI 解读

In recent years, researchers in many disciplines, including economics, accounting, finance, and marketing, have increasingly relied on panel data to model the behavior of individuals and firms. They have done so because panel data allow them to control for temporally persistent unobserved differences among individuals or firms that in many instances may bias estimates obtained from cross-sections.

《工具变量非严格外生且存在序列相关时的面板数据模型估计》评论AI 解读

Thomas MaCurdy, [On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous]: Comment, Journal of Business & Economic Statistics, Vol. 10, No. 1 (Jan., 1992), pp. 17-19

《工具变量非严格外生且存在序列相关时的面板数据模型估计》评论AI 解读

Fumio Hayashi, [On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous]: Comment, Journal of Business & Economic Statistics, Vol. 10, No. 1 (Jan., 1992), pp. 15-17

工具变量并非严格外生时含序列相关的面板模型估计：评论AI 解读

Peter Schmidt, Seung C. Ahn, Donald Wyhowski, [On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous]: Comment, Journal of Business & Economic Statistics, Vol. 10, No. 1 (Jan., 1992), pp. 10-14

对《工具变量非严格外生时含序列相关的面板数据模型估计》的回复AI 解读

Michael P. Keane, David E. Runkle, [On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous]: Reply, Journal of Business & Economic Statistics, Vol. 10, No. 1 (Jan., 1992), pp. 26-29

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增长曲线模型中的协变量选择AI 解读

The growth curve model introduced by Potthoff & Roy (1964) is a generalization of the multivariate analysis of variance model and is often employed to analyze longitudinal data, in which a single characteristic has been measured at p different occasions on each individual. Inferential problems of this model are studied by using analysis of covariance, i.e. partitioning the p measurements into the measurements of q response variables and p-q covariables. Rao (1965, 1966) and…

利用面板数据估计与检验工会工资效应AI 解读

We present estimates of the union wage effect controlling for unmeasured individual effects, and subject the conventional fixed-effects model to specification tests. For PSID men the union wage effect is 5-8% after controlling for person effects, as opposed to 20% in cross-section. Omnibus tests based on an unrestricted reduced form and instrumental variables tests based on differencing are consistent with conventional models. Tests based on comparing those who enter and…

水泥生产燃料系数的估计：非线性回归的固定效应方法AI 解读

Fuel coefficients of cement production--one for each process of production--are estimated by explicitly accounting for the multiple-kiln structure of cement plants. Unobserved heterogeneity across plants is found to be significant. Furthermore, since the estimable model is nonlinear in exogenous variables and parameters, a fixed-effects estimator for nonlinear regression is used to obtain the estimates.

轮换面板两阶段抽样下的价格指数方差估计AI 解读

Price index estimation is often based on complex rotating panel surveys. At each period, a time series of data is available for use in estimation. This paper examines how best to combine data for estimation of long-term and short-term changes and how to estimate the variances of the estimators in the context of two-stage sampling. Linearization estimators of variance for indexes of long- and short-term change are derived. The theory is supported by a simulation study using…

重复测量数据中变化速率的序贯比较AI 解读

There are many clinical trials in which the patients enter sequentially, and a response variable is measured repeatedly over time for each patient. A group sequential procedure is proposed for comparing the rates of change between two treatment groups. Some existing procedures for testing the equality of means between two treatment groups with repeated measurements data, such as those proposed by Armitage, Stratton, and Worthington and by Geary, can be interpreted as special…

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误设误差成分模型中回归系数方差的估计AI 解读

In a regression model with an arbitrary number of error components, the covariance matrix of the disturbances has three equivalent representations as linear combinations of matrices. Furthermore, this property is invariant with respect to powers, matrix addition, and matrix multiplication. This result is applied to the derivation and interpretation of the inconsistency of the estimated coefficient variances when the error components structure is improperly restricted. This…

家庭需求的空间模式AI 解读

This paper discusses economic processes that may give rise to spatial patterns in data and explores the relative merits of alternative modeling approaches when data are spatially correlated. An estimation scheme is presented that allows for spatial random effects and attention is focused on cases in which such a framework may be preferred to the more general fixed effects framework that nests it. The models presented are used together with information on the location of…