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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…

一阶移动平均过程协方差矩阵的逆AI 解读

Three distinct expressions are noted for the elements of the inverse of the covariance matrix ΣT of T successive observations from a stationary first order moving average process. An observation of Arato (1961) shows that the problem of finding the exact inverse can be reduced to the problem of finding the covariance determinant |∑T|⁠. Approximate expressions for ∑T-1 are then obtained by approximating various forms of the determinant. The resulting approximate inverses are…

混合移动平均与自回归系统的估计AI 解读

Estimates are constructed of the parameters in mixed moving average autoregressive models based upon Fourier transformation of the data. These are shown to be asymptotically normal with the same distribution as the maximum likelihood estimators for the Gaussian case. The method extends to the vector case but the procedure is discussed in detail only for vector moving averages.

Durbin–Watson 检验与 BLUS 检验的功效比较AI 解读

In an earlier paper [5] the authors compared the power of the BLUS test with the probability of a correct decision of the Durbin-Watson bounds test. A method to compute the distribution of the Von Neumann ratio under the null hypothesis and under the alternative hypothesis was given. In the present paper the latter method is used to tabulate the BLUS-test statistic and to compute the exact significance points of the Durbin-Watson test for several examples. Powers of both…

州生产总值与州级计量经济模型AI 解读

A methodology for estimating a state's gross state product (GSP) from primary data sources is presented and applied to Ohio. The social accounts for estimating GSP are used as a skeletal framework orf building a 27 equation econometric model of Ohio. The model is essentially an interdependent system consisting of behavioral equations in the following sectors: consumer, investment, state fiscal, output and personal income, and federal income tax. The sample period for most of…

Durbin–Watson 检验与 BLUS 检验的功效比较AI 解读

In an earlier paper [5] the authors compared the power of the BLUS test with the probability of a correct decision of the Durbin-Watson bounds test. A method to compute the distribution of the Von Neumann ratio under the null hypothesis and under the alternative hypothesis was given. In the present paper the latter method is used to tabulate the BLUS-test statistic and to compute the exact significance points of the Durbin-Watson test for several examples. Powers of both…

州生产总值与州级计量经济模型AI 解读

A methodology for estimating a state's gross state product (GSP) from primary data sources is presented and applied to Ohio. The social accounts for estimating GSP are used as a skeletal framework orf building a 27 equation econometric model of Ohio. The model is essentially an interdependent system consisting of behavioral equations in the following sectors: consumer, investment, state fiscal, output and personal income, and federal income tax. The sample period for most of…

摘要暂缺

动态计量经济模型的均衡协方差矩阵AI 解读

This paper presents a convenient form for the asymptotic, or equilibrium, covariance matrix of the endogenous variable vector of a dynamic econometric model.

自相关误差下若干两阶段回归方法的小样本性质AI 解读

In a linear regression model, when errors are autocorrelated, several asymptotically efficient estimators of parameters have been suggested in the literature. In this paper we study their small sample efficiency using Monte Carlo methods. While none of these estimators turns out to be distinctly superior to the others over the entire range of parameters, there is a definite gain in efficiency to be had from using some two-stage procedure in the presence of moderate high…

动态计量经济模型的均衡协方差矩阵AI 解读

This paper presents a convenient form for the asymptotic, or equilibrium, covariance matrix of the endogenous variable vector of a dynamic econometric model.

基于最小二乘残差周期图的回归序列相关检验AI 解读

A well-known procedure for testing for serial correlation is to plot out the sample path of the cumulated periodogram and to compare the resulting graph with the Kolmogorov-Smirnov limits. The paper considers small-sample aspects of this procedure when the periodogram is calculated from the residuals from least-squares regression. It is shown that for a test against an excess of low-frequency relative to high-frequency variation in the errors of the regression model, a pair…

非平稳信号的滤波AI 解读

Summary We observe a record consisting of a “signal” plus “noise” up to the time instant t, and wish to extract the value of the signal at the time instant (t + m) by means of a linear filter. Here, m may be positive (corresponding to “prediction”) or negative (corresponding to “smoothing”). In this paper we consider the case where both the signal and noise processes are non-stationary and possess evolutionary spectral representations. Using this approach we obtain a close…

时间序列非平稳性的检验AI 解读

Summary We consider the problem of testing a given time-series for stationarity. The approach is based on evolutionary spectral analysis, and the proposed method consists essentially in testing the “homogeneity” of a set of evolutionary spectra evaluated at different instants of time. Using a logarithmic transformation, we show that the mechanics of the test are formally equivalent to a two-factor analysis of variance procedure when the residual variance is known, a priori.…

混合移动平均自回归系统的估计AI 解读

Estimates are constructed of the parameters in mixed moving average autoregressive models based upon Fourier transformation of the data. These are shown to be asymptotically normal with the same distribution as the maximum likelihood estimators for the Gaussian case. The method extends to the vector case but the procedure is discussed in detail only for vector moving averages.

一阶移动平均过程协方差矩阵的逆AI 解读

Three distinct expressions are noted for the elements of the inverse of the covariance matrix ΣT of T successive observations from a stationary first order moving average process. An observation of Arato (1961) shows that the problem of finding the exact inverse can be reduced to the problem of finding the covariance determinant |∑T|⁠. Approximate expressions for ∑T-1 are then obtained by approximating various forms of the determinant. The resulting approximate inverses are…

基于最小二乘残差周期图的回归序列相关检验AI 解读

A well-known procedure for testing for serial correlation is to plot out the sample path of the cumulated periodogram and to compare the resulting graph with the Kolmogorov-Smirnov limits. The paper considers small-sample aspects of this procedure when the periodogram is calculated from the residuals from least-squares regression. It is shown that for a test against an excess of low-frequency relative to high-frequency variation in the errors of the regression model, a pair…

一阶平稳马尔可夫残差下样本均值的效率AI 解读

The efficiency of the sample mean relative to the “best” linear unbiased estimator when residuals follow a first-order stationary Markoff process is studied. The minimum efficiency for correlation ρ ≧ 0 occurs at the unique root of a certain equation depending on the sample size n and decreases monotonically in n toward the value .878 obtained by Ylvisaker in the continuous case. It is tabulated for selected n ≦ 300, together with the value of p at which the minimum is…

向量时间序列中最小二乘估计的效率AI 解读

Summary A theorem due to Rosenblatt (1959) concerning the circumstances under which least squares is asymptotically efficient for the estimation of the matrix of regression parameters in a system of regressions is re-formulated in a simpler form and is extended. A theorem is proved relating to the efficiency of least squares under linear constraints which is not specifically of a time series nature.

Haavelmo 模型的贝叶斯分析AI 解读

In this paper, the exact posterior distributions of the parameters of Haavelmo's model I is derived for locally uniform prior distributions. Marginal distributions of the parameters have been obtained for Haavelmo's data. Then the predictive probability density of the model is derived for given values of the exogenous variable, investment. In order to check some of the specifying assumptions, the model is expanded and analyzed under the assumption that the error terms are…

BLS 与人口普查局修订季节调整程序的谱评价AI 解读

This paper presents spectral criteria to evaluate seasonal adjustment procedures, and applies them to the estimated spectral properties of the monthly unemployment series, as adjusted by past and present methods of the Bureau of Labor Statistics (BLS) and of the Census Bureau. It also re-examines some conclusions reported in the Gordon Committee Report (1962) and in Nerlove (1964) on past methods of adjustment. The paper concludes that (1) the loss in spectral power between…

人口普查局与 BLS 季节调整方法的线性近似AI 解读

The Census and BLS ratio-to-moving-average seasonal adjustment methods are usually specified by procedural steps. They can be written mathematically as combinations of linear and non-linear operations on the logarithms of the original series. For some purposes the non-linear operations can be ignored. The Census and BLS historical seasonal factors are almost identical to those from a simpler model using ratios to a centered 12-term moving average. They also closely resemble…

平稳时间序列创新方差的估计AI 解读

The log of the periodogram is used to estimate the innovation variance of a stationary time series. The difference between the log of the estimated variance of the process and the log of the estimated innovation variance is used as a test for white noise. It is shown that this test is equivalent to Bartlett's test for homogeneity of variances applied to the periodogram without grouping and the asymptotic properties are derived.

时间序列相关结构相容性检验的Quenouille扩展AI 解读

Summary Quenouille's test compares under stated assumptions the correlation structures of two lengths of time series to see if they are compatible. A test is here derived to compare any number of lengths of time series. As in Quenouille's test, the derivation depends on assumed or fitted values of autoregression coefficients; the test is shown to be insensitive to errors in these values.