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季度与年度总量储蓄函数的预测准确性AI 解读

Aggregate saving functions have been grouped into several models which have similar theoretical underpinnings. They are then tested under criteria pertaining to their predictive accuracy and their economic reasonableness. It is found that saving is predicted much more accurately when it includes net investment in consumer durables (i.e., “use value” saving, D S) as opposed to when it is defined as only personal saving (S). In predicting D S, the functions which use current…

线性模型中斜率系数发生变化的检验AI 解读

A locally most powerful test is developed for the hypothesis that a slope coefficient in a linear time series model is stable, against the alternative that the slope shifts exactly once somewhere in the series. Analysis of the procedure using artificial data indicates good power characteristics even when the ratio of the shift size to the error variance is moderate—especially if the shift does not occur very near either end of the series. Power also depends on the pattern of…

季度与年度总量储蓄函数的预测准确性AI 解读

Aggregate saving functions have been grouped into several models which have similar theoretical underpinnings. They are then tested under criteria pertaining to their predictive accuracy and their economic reasonableness. It is found that saving is predicted much more accurately when it includes net investment in consumer durables (i.e., “use value” saving, D S) as opposed to when it is defined as only personal saving (S). In predicting D S, the functions which use current…

FIRMS determine their demands for factors of production by finding the combination of factor inputs that will maximize profits or minimize costs, subject to a technological constraint the production function. Because the production function is common to decisions for all factors, the factor demands must be interrelated; each factor demand function contains parameters from the underlying production function which also appear in other demand functions. Yet factor demand…

含时变参数的非平稳时间序列模型拟合AI 解读

Summary We use the method of weighted least squares to estimate the time-dependent parameters of non-stationary time-series models. Approximate expressions for the bias and variance of the estimates, which could be used to assess the merits of various weight functions on the basis of “mean square error” criterion, are obtained. In Section 5, it is shown that the estimates obtained by weighted least-squares method are the same as estimates obtained by weighted…

自回归序列拟合的简化方法AI 解读

Summary The set of k equations arising from the asymptotic least-squares estimation procedure for fitting the unknown parameters in kth-order autoregressive models is shown to degenerate into two subsets, each of m equations for the even case (k = 2m), or two subsets, one of m equations and one of (m + 1) equations for the odd case (k = 2m + 1).

重新评价厂房与设备投资预期的预测能力AI 解读

This article suggests that anticipations alone do a better job of forecasting business plant and equipment expenditures than fitted functions which include only non-anticipatory data. Anticipations can also make a significant contribution in the presence of such data. Since previously published studies have come to different conclusions, the focus of this article is an evaluation of the methodology and results of those studies.

马尔可夫链阶数若干卡方检验的模拟评估AI 解读

This article reports a Monte Carlo evaluation of the levels of significance of chi-square tests for the order of two- and three-state Markov chains. Results are consistent with asymptotic theory only when samples are quite large.

厂房与设备投资预期预测能力的重新评估AI 解读

This article suggests that anticipations alone do a better job of forecasting business plant and equipment expenditures than fitted functions which include only non-anticipatory data. Anticipations can also make a significant contribution in the presence of such data. Since previously published studies have come to different conclusions, the focus of this article is an evaluation of the methodology and results of those studies.

抽样分布的奇异性：尤其是二次型之比AI 解读

A general theory of singularities in sampling distributions, given previously for statistical functions on a Euclidean space, is here extended to functions on a hypersphere; in particular, to distributions of ratios of quadratic forms. The parent distributions chiefly considered are normal and nonsingular. The theory expresses the density of a sampling distribution as the sum of a singular function and a smoother remainder. Cases are adduced in which the remainder vanishes:…

符号变化次数检测最小二乘残差自回归的相对效率AI 解读

From a constructed example of 100 random samples of size 40, in conjunction with the author's ACV method for comparing the relative efficiency of different tests of significance, it is found that a simple count of sign changes is nearly as efficient as the familiar Durbin-Watson test of autoregression of residuals. Individual decisions based on this test are closely similar to those from the number of runs test. On another actual body of data the three tests seem to be about…

利用初期稀疏数据进行平稳时间序列谱分析AI 解读

This paper studies the estimation of the spectrum of a stationary time series from ‘initially scarce’ data, i.e. data where the sampling period is shortened at some point during the period of observation. Two types of estimators are considered, the ‘simple’ estimators, so-called because they derive immediately from general theory which can essentially be applied to most missing data situations, and ‘alias-improved’ estimators, whose use unfortunately cannot be extended to…

随机变量序列中变点位置的推断AI 解读

Inference is considered about the point in a sequence of random variables at which the probability distribution changes. In particular, we examine a normal distribution with changing mean. The asymptotic distribution of the maximum likelihood estimate is derived and also the asymptotic distribution of the likelihood ratio statistic for testing hypotheses about the change-point. These asymptotic distributions are compared with some finite sample empirical distributions.

抽样分布的奇异性：特别是二次型比值的分布AI 解读

A general theory of singularities in sampling distributions, given previously for statistical functions on a Euclidean space, is here extended to functions on a hypersphere; in particular, to distributions of ratios of quadratic forms. The parent distributions chiefly considered are normal and nonsingular. The theory expresses the density of a sampling distribution as the sum of a singular function and a smoother remainder. Cases are adduced in which the remainder vanishes:…

用符号变化次数检验最小二乘残差自回归的相对效率AI 解读

From a constructed example of 100 random samples of size 40, in conjunction with the author's ACV method for comparing the relative efficiency of different tests of significance, it is found that a simple count of sign changes is nearly as efficient as the familiar Durbin-Watson test of autoregression of residuals. Individual decisions based on this test are closely similar to those from the number of runs test. On another actual body of data the three tests seem to be about…

自回归扰动下似不相关回归的估计AI 解读

Joint estimation of a system of linear regression equations with mutually correlated disturbances leads, in general, to more efficient estimates than estimation of each equation separately. A method of joint estimation developed by Arnold Zeller on the assumption that the disturbances are non-autocorrelated has recently been adapted by Richard Parks for the case in which this assumption does not hold. In the present article we develop several alternative estimators and…

生猪日度价格与数量预测：不同预测技术的比较AI 解读

Relatively few investigations treat the problem of short-run or daily price and quantity variations. This study concerns forecasting daily hog prices and quantities in selected terminal markets in the U. S. by using various causal and noncausal models. The purpose is to examine the economic and mathematical characteristics of the time series data, and then compare the developed models in terms of their forecasting ability. The performance of each model is evaluated using the…

每日生猪价格与数量预测：不同预测技术的比较AI 解读

Relatively few investigations treat the problem of short-run or daily price and quantity variations. This study concerns forecasting daily hog prices and quantities in selected terminal markets in the U. S. by using various causal and noncausal models. The purpose is to examine the economic and mathematical characteristics of the time series data, and then compare the developed models in terms of their forecasting ability. The performance of each model is evaluated using the…

季度投资行为计量模型的预测表现AI 解读

In this paper four alternative quarterly econometric models of investment behavior are compared with regard to predictive performance. Predictive performance may be assessed in two ways: (i) We compare prediction errors for a period of prediction with errors for a period of fit. (ii) We fit investment functions for both periods and test for structural change. These two procedures may be viewed as alternative tests of the hypothesis of structural change; the second is more…

季度投资行为的替代计量模型比较AI 解读

In this paper four alternative quarterly econometric models of investment behavior are fitted to a common set of data for individual manufacturing industries in the United States. Goodness of fit and absence of autocorrelation of errors are used as a basis for comparison of the performance of the alternative models. The econometric models are compared with each other and with alternative explanations of data on investment based on surveys of anticipated investment and on…

联立方程模型的对应原理AI 解读

Simultaneity as a LimitA well-known and highly convincing position on the nature of simultaneity in econometric models is that such models are only approximations to the true state of affairs.In fact, causation takes time, and the reactions given by the equations of the model truly occur not instantaneously but with a very small time lag.Unfortunately, however, data do not come to us sufficiently finely divided in time to allow us to observe such fastmoving reactions, so we…

时间序列谱矩的估计AI 解读

The task of estimating moments of the spectrum of a stationary time series, rather than the more common problem of estimating the spectrum itself, is discussed. In particular, explicit formulae are deduced for the mean and variance of an estimator of the normalized standard deviation of the spectrum. Besides its theoretical significance, the necessity for estimating such a moment is of practical importance, for example, in the analysis of the velocity distributions of…

二项变量序列中变点的统计推断AI 解读

The problem of making inferences about the point in a sequence of zero-one variables at which the binomial parameter changes is considered. The asymptotic distribution of the maximum likelihood estimate of the change-point is derived in computable form using random walk- results. The asymptotic distributions of likelihood ratio statistics for testing hypothesis about the change-point are also obtained. Some exact numerical results for these asymptotic distributions are given…

消费者态度数据的预测准确性AI 解读

This note evaluates the forecasting accuracy of the index of consumer sentiment constructed by the Michigan Survey Research Center. For the most part, other analyses have focused on the interpretation which should be given to an attitude variable or broadly described movements of the index of consumer sentiment in the vicinity of cyclical turning points. None of the studies have compared the accuracy of equations in which the attitude index is an independent variable against…