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含不可忽略退出和缺失协变量的多元纵向结果分析AI 解读

This article analyzes changes in treatment practices in outpatient methadone treatment units from a national panel study. The analysis of this dataset is challenging due to several difficulties, including multiple longitudinal outcomes, nonignorable nonresponses, and missing covariates. Specifically, the data included several variables that measure the effectiveness of methadone treatment practices for each unit. A substantial percentage of units (33%%) did not respond…

含 I(1) 过程的回归中的参数不稳定检验AI 解读

This article derives the large-sample distributions of Lagrange multiplier (LM) tests for parameter instability against several alternatives of interest in the context of cointegrated regression models. The fully modified estimator of Phillips and Hansen is extended to cover general models with stochastic and deterministic trends. The test statistics considered include the SupF test of Quandt, as well as the LM tests of Nyblom and of Nabeya and Tanaka. It is found that the…

大崩盘、石油价格冲击与单位根假说的进一步证据AI 解读

Perron (1989) has carried out tests of the unit root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil price shock. Here a variation of Perron's test is considered in which the break point is estimated rather than fixed. The asymptotic distribution of the "estimated break point" test statistic is determined and the data considered by Perron are reanalyzed. The authors find…

长记忆与状态转换AI 解读

The theoretical and empirical econometric literatures on long memory and regime switching have evolved largely independently, as the phenomena appear distinct. We argue, in contrast, that they are intimately related, and we substantiate our claim in several environments, including a simple mixture model, Engle and Lee's (1999) stochastic permanent break model, and Hamilton's (1989) Markov switching model. In particular, we show analytically that stochastic regime switching…

企业与时间变化的等式及不等式约束下的经济关系估计AI 解读

Abstract Applied econometricians often fail to impose economic regularity constraints in the exact form economic theory prescribes. We show how the Singular Value Decomposition (SVD) Theorem and Markov Chain Monte Carlo (MCMC) methods can be used to rigorously impose time‐ and firm‐varying equality and inequality constraints. To illustrate the technique we estimate a system of translog input demand functions subject to all the constraints implied by economic theory,…

三维运动统计分析的方向模型AI 解读

Movement of an object in three dimensions involves rotation and translation. The data for analysis are the coordinates of landmarks on the object, recorded at several time points. Statistical models for describing the rotational component of the movement of an object are proposed in this work. Under the fixed‐axis model, the object rotates around an axis that does not change in time. The angular position of the object is then characterised by its rotation axis and an angle…

保序回归：变点问题的另一种视角AI 解读

A test based on isotonic regression is developed for monotonic trends in short range dependent sequences and is applied to Argentina rainfall data and global warming data. This test provides another perspective for changepoint problems. The isotonic test is shown to be more powerful than some existing tests for trend.

马尔可夫状态转换与单位根检验AI 解读

We investigate the power and size performance of unit-root tests when the data undergo Markov regime switching. All tests, including those robust to a single break in trend growth rate, have low power against a process with a Markov-switching trend. Under the null hypothesis, we find that previously documented size distortions in Dickey-Fuller-type tests caused by a single break in trend growth rate or variance do not generalize to most parameterizations of Markov switching…

非参数回归问题中的参数化与推断AI 解读

Summary We consider local likelihood or local estimating equations, in which a multivariate function Θ(·) is estimated but a derived function λ(·) of Θ(·) is of interest. In many applications, when most naturally formulated the derived function is a non-linear function of Θ(·). In trying to understand whether the derived non-linear function is constant or linear, a problem arises with this approach: when the function is actually constant or linear, the expectation of the…

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…

结构突变、不完全信息与股票价格AI 解读

This article presents empirical evidence on the existence of structural breaks in the fundamentals process underlying U.S. stock prices. I develop an asset-pricing model that represents breaks in the context of a Markov switching process with an expanding set of nonrecurring states. Different hypotheses on how investors form expectations about future dividends after a break are proposed and analyzed. A model in which investors do not have full information about the…

比例风险模型中缩放 Schoenfeld 残差的一则说明AI 解读

Grambsch & Therneau (1994) show how Schoenfeld's partial residuals can be used to diagnose the nature of nonproportional hazards in Cox's (1972) model. Each residual is scaled by premultiplying by a time‐dependent variance matrix, to obtain estimates of time‐varying coefficients. Grambsch & Therneau also suggest an approximation in which each residual is scaled using the average variance matrix. This approximation is widely used. Here we investigate its reliability across a…

经济时间序列表观非线性是否源于结构不稳定？AI 解读

Many modelling issues and policy debates in macroeconomics depend on whether macroeconomic time series are best characterized as linear or nonlinear. If departures from linearity exist, it is important to know whether these are endogenously generated (as in, e.g. a threshold autoregressive model) or whether they merely reflect changing structure over time. In this paper, we discuss a model comparison methodology which addresses these issues. We advocate a Bayesian approach…

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二元非平稳时间序列的自动统计分析AI 解读

We propose a new method for analyzing bivariate nonstationary time series. The proposed method is a statistical procedure that automatically segments the time series into approximately stationary blocks and selects the span to be used to obtain the smoothed estimates of the time-varying spectra and coherence. It is based on the smooth localized complex exponential (SLEX) transform, which forms a library of orthogonal complex-valued transforms that are simultaneously…

用边际结构模型估计非随机处理的联合因果效应AI 解读

Even in the absence of unmeasured confounding factors or model misspecification, standard methods for estimating the causal effect of time-varying treatments on survival are biased when (a) there exists a time-dependent risk factor for survival that also predicts subsequent treatment, and (b) past treatment history predicts subsequent risk factor level. In contrast, methods based on marginal structural models (MSMs) can provide consistent estimates of causal effects when…

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…

ARCH序列平方残差的经验过程AI 解读

We derive the asymptotic distribution of the sequential empirical process of the squared residuals of an ARCH(p) sequence. Unlike the residuals of an ARMA process, these residuals do not behave in this context like asymptotically independent random variables, and the asymptotic distribution involves a term depending on the parameters of the model. We show that in certain applications, including the detection of changes in the distribution of the unobservable innovations, our…

摘要暂缺

扩散模型的 MCMC 分析及其金融应用AI 解读

This article proposes a new method for estimation of parameters in diffusion processes from discrete observations. The method is based on Markov-chain Monte Carlo methodology and applies to a wide class of models including systems with unobservable state variables and nonlinearities. The method is applied to the estimation of parameters in one-factor (CEV) interest-rate models and a two-factor model with a latent stochastic volatility component (SV). The CEV model is found…

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…

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…

商品指数期货条件波动率的状态转换建模AI 解读

Abstract Commodity index futures offer a versatile tool for gaining different forms of exposure to commodity markets. Volatility is a critical input in many of these applications. This paper examines issues in modelling the conditional variance of futures returns based on the Goldman Sachs Commodity Index (GSCI). Given that commodity markets tend to be ‘choppy’ (Webb, 1987 ), a general econometric model is proposed that allows for abrupt changes or regime shifts in…

广义似然比统计量与 Wilks 现象AI 解读

Likelihood ratio theory has had tremendous success in parametric inference, due to the fundamental theory of Wilks. Yet, there is no general applicable approach for nonparametric inferences based on function estimation. Maximum likelihood ratio test statistics in general may not exist in nonparametric function estimation setting. Even if they exist, they are hard to find and can not be optimal as shown in this paper. We introduce the generalized likelihood statistics to…