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半参数线性过程之和的核方差估计量的一致性AI 解读

Conditions are derived for the consistency of kernel estimators of the variance of a sum of dependent heterogeneous random variables, with a representation as moving averages of near-epoch dependent functions of a mixing process. Fourth moments are not generally required. The conditions permit more dependence than a purely non-parametric representation allows, and may be close to those of the best-known conditions for the functional central limit theorem. The class of…

Cox回归中缺失协变量的双半参数方法AI 解读

The problem of nuisance covariate model specification is considered in Cox regression where the maximum semiparametric likelihood method is used to handle the missing covariates. A component of the covariates is modeled nonparametrically to achieve robustness against covariate model misspecification and to reduce the number of possibly intractable integrations involved in the parametric modeling of the covariates. The statistical properties of the proposed method are…

聚类失效时间数据的半参数混合效应模型AI 解读

The Cox proportional hazards model with a random effect has been proposed for the analysis of data which consist of a large number of small clusters of correlated failure time observations. The class of linear transformation models provides many useful alternatives to the Cox model for analyzing univariate failure time data. In this article, we generalize these models by incorporating random effects, which generate the dependence among the failure times within the cluster,…

利用多尺度最大似然检测混合分布AI 解读

A test of homogeneity tries to decide whether observations come from a single distribution or from a mixture of several distributions. A powerful theory has been developed for the case where the component distributions are members of an exponential family. When no parametric assumptions are appropriate, the standard approach is to test for bimodality, which is known not to be very sensitive for detecting heterogeneity. To develop a more sensitive procedure, this article…

协整的工具变量解释与分数协整推断AI 解读

In this paper we propose an alternative characterization of the central notion of cointegration, exploiting the relationship between the autocovariance and the cross-covariance functions of the series. This characterization leads us to propose a new estimator of the cointegrating parameter based on the instrumental variables (IV) methodology. The instrument is a delayed regressor obtained from the conditional bivariate system of nonstationary fractionally integrated…

含生成解释变量的依赖数据部分线性模型半参数估计AI 解读

In this paper we consider the problem of estimating a semiparametric partially linear model for dependent data with generated regressors. This type of model comes naturally from various econometric models such as a semiparametric rational expectation model when the surprise term enters the model nonparametrically, or a semiparametric type-3 Tobit model when the error distributions are of unknown forms, or a semiparametric error correction model. Using the nonparametric…

强依赖过程的频域预测与信号提取AI 解读

We frequently observe that one of the aims of time series analysts is to predict future values of the data. For weakly dependent data, when the model is known up to a finite set of parameters, its statistical properties are well documented and exhaustively examined. However, if the model was misspecified, the predictors would no longer be correct. Motivated by this observation and because of the interest in obtaining adequate and reliable predictors, Bhansali (1974, Journal…

条件异方差自回归模型的有效工具变量估计AI 解读

This paper analyzes autoregressive time series models where the errors are assumed to be martingale difference sequences that satisfy an additional symmetry condition on their fourth-order moments. Under these conditions quasi maximum likelihood estimators of the autoregressive parameters are no longer efficient in the generalized method of moments (GMM) sense. The main result of the paper is the construction of efficient semiparametric instrumental variables estimators for…

We investigate the nature of price competition among firms that produce differentiated products and compete in markets that are limited in extent. We propose an instrumental variables series estimator for the matrix of cross price response coefficients, demonstrate that our estimator is consistent, and derive its asymptotic distribution. Our semiparametric approach allows us to discriminate among models of global competition, in which all products compete with all others,…

Band spectral regression with both deterministic and stochastic trends is considered. It is shown that trend removal by regression in the time domain prior to band spectral regression can lead to biased and inconsistent estimates in models with frequency dependent coefficients. Both semiparametric and nonparametric regression formulations are considered, the latter including general systems of two-sided distributed lags such as those arising in lead and lag regressions. The…

协整向量线性约束检验：Wald 与似然比检验的有限样本大小和功效AI 解读

The Wald test for linear restrictions on cointegrating vectors is compared in finite samples using the Monte Carlo method. The Wald test is calculated within the vector error-correction based estimation methods of Bewley, Orden, Yang, and Fisher (1994, Journal of Econometrics 64, 3–27) and of Johansen (1991, Econometrica 59, 1551–1580), the canonical cointegration method of Park (1992, Econometrica 60, 119–143), the dynamic ordinary least squares method of Phillips and…

半参数混合模型中的经验似然AI 解读

Plant and animal studies of quantitative trait loci provide data which arise from mixtures of distributions with known mixing proportions. Previous approaches to estimation involve modelling the distributions parametrically. We propose a semiparametric alternative which assumes that the log ratio of the component densities satisfies a linear model, with the baseline density unspecified. It is demonstrated that a constrained empirical likelihood has an irregularity under the…

面板计数数据的半参数伪似然估计方法AI 解读

In this paper, we study panel count data with covariates. A semiparametric pseudolikelihood estimation method is proposed based on the assumption that, given a covariate vector Z, the underlying counting process is a nonhomogeneous Poisson process with the conditional mean function given by E{N (t) |Z} = Λ0 (t) exp (β′0Z). The proposed estimation method is shown to be robust in the sense that the estimator converges to its true value regardless of whether or not N (t) is a…

回顾性家庭研究的分析AI 解读

Case‐control samples allow straightforward calculation of estimates of the association between covariates and disease status by fitting a prospective logistic regression model. In genetic studies of disease, investigators often gather additional information on response and covariate variables from family members of cases and controls. The objective is to model the responses of all the family members in terms of the covariate data. Whittemore (1995) has discussed maximum…

删失终生医疗费用的校准回归AI 解读

Analysis of lifetime medical cost is challenged by its irregular distribution and by incomplete follow-up, particularly the latter with limited study duration as is typical in medical research. This article proposes the so-called calibration regression to address these issues by modeling not only lifetime medical cost but also survival time, in a semiparametric fashion. It is postulated that both outcomes, on possibly transformed scales, linearly relate to the covariates;…

半参数与非参数后验分布的渐近正态性AI 解读

In this article it is shown that the marginal semiparametric and nonparametric posterior distributions for a parameter of interest behave like an ordinary parametric posterior distribution. This in practice provides support of the utility of marginal semiparametric and nonparametric posterior distributions. In particular, the marginal semiparametric and nonparametric posterior distributions are asymptotically normal and centered at the corresponding maximum likelihood…

不可忽略无应答或信息性抽样下的调查数据估计AI 解读

Nonresponse is a very common phenomenon in survey sampling. Nonignorable nonresponse—that is, a response mechanism that depends on the values of the variable having nonresponse—is the most difficult type of nonresponse to handle. This article studies a likelihood-based estimation method for data with nonignorable nonresponse. The likelihood is semiparametric in the sense that it consists of a parametric component for the response mechanism (such as a logistic model) and a…

有序响应模型中的平移限制与半参数估计AI 解读

We develop a √n-consistent and asymptotically normal estimator of the parameters (regression coefficients and threshold points) of a semiparametric ordered response model under the assumption of independence of errors and regressors. The independence assumption implies shift restrictions allowing identification of threshold points up to location and scale. The estimator is useful in various applications, particularly in new product demand forecasting from survey data subject…

摘要暂缺

解释变量或结果具有区间数据时的回归推断AI 解读

This paper examines inference on regressions when interval data are available on one variable, the other variables being measured precisely. Let a population be characterized by a distribution P(y, x, v, v0, v1), where y∈R1, x∈Rk, and the real variables (v, v0, v1) satisfy v0≤v≤v1. Let a random sample be drawn from P and the realizations of (y, x, v0, v1) be observed, but not those of v. The problem of interest may be to infer E(y|x, v) or E(v|x). This analysis maintains…

Cox 比例风险模型与脆弱性模型的变量选择AI 解读

A class of variable selection procedures for parametric models via nonconcave penalized likelihood was proposed in Fan and Li (2001a). It has been shown there that the resulting procedures perform as well as if the subset of significant variables were known in advance. Such a property is called an oracle property. The proposed procedures were illustrated in the context of linear regression, robust linear regression and generalized linear models. In this paper, the nonconcave…

半参数工具变量估计量与检验统计量的 Edgeworth 近似AI 解读

We establish the validity of higher order asymptotic expansions to the distribution of a version of the nonlinear semiparametric instrumental variable considered in Newey (1990) as well as to the distribution of a Wald statistic derived from it. We employ local polynomial smoothing with variable bandwidth, which includes local linear, kernel, and [a version of] nearest neighbour estimates as special cases. Our expansions are valid to order n^(-2ϵ) for some 0 < ϵ < ½, where ϵ…

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