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家庭形成率及其构成的变化AI 解读

In the prediction of future household formation, it proves useful to separate movements caused by population changes from those caused by shifts in the occurrence rates of households among a given population. The varying rates of occurrence reflect the differential impacts of economic vairables and social change. This study indicates that until better data are available, forecasts of households will have to rely primarily upon judgment. This can be gained from an analysis of…

线性回归系统两种机制切换的假设检验AI 解读

Several approaches are explored for testing the hypothesis that no switch has occurred in the true values of the parameters of a linear regression system. The distribution of the relevant likelihood ratio λ is analyzed on the basis of the empirical distribution resulting from some sampling experiments. The hypothesis that −2 log λ has the χ2 distribution with the appropriate degrees of freedom is rejected and an empirical table of percentage points is obtained. Finally some…

时间序列回归模型的参数估计AI 解读

Summary We consider the estimation of the coefficients in a general linear regression model in which some of the explanatory variables are lagged values of the dependent variable. For discussing optimum properties the concept of best unbiased linear estimating equations is developed. It is shown that when the errors are normally distributed the method of least squares leads to optimum estimates. The properties of the least-squares estimates are shown to be the same…

利用 Pistimetric 概率预测自回归过程的说明AI 解读

Summary The distributions of the parameters and of the future values of a Markov scheme are obtained by a technique which combines the use of Bayes' theorem with the method of inference sometimes considered appropriate to situations where there exist sufficient estimators.

美国农业的计量经济模型AI 解读

Economists and agricultural economists have done parallel research in estimating quantitative economic relations for various economic sectors. This study is an attempt to bring together the agricultural and non-agricultural sectors by grafting onto a master model of the total economy a set of estimated relationships for the agricultural sector. In this way it is possible to trace the effects of changes in the non-agricultural economy through the agricultural sector and in…

美国农业的计量经济模型AI 解读

Economists and agricultural economists have done parallel research in estimating quantitative economic relations for various economic sectors. This study is an attempt to bring together the agricultural and non-agricultural sectors by grafting onto a master model of the total economy a set of estimated relationships for the agricultural sector. In this way it is possible to trace the effects of changes in the non-agricultural economy through the agricultural sector and in…

参数估计与自主增长AI 解读

The influence of certain specification errors on estimates of parameters in economic models is examined using Monte Carlo techniques. Autonomous growth is a secular change in the endogenous variables not explained by the exogenous variables and parameters of the structural equations. Autonomous growth will therefore appear in the shocks, and this usually causes them to become correlated with the exogenous variables in economic models—a specification error. The influence of…

统计谱分析中的带宽与分辨能力AI 解读

SUMMARY The purpose of this paper is to refute Grenander’s latest objections to the authors' work on statistical spectral analysis, and to clarify the distinction between resolvability, bandwidth, and bias.

用工具变量估计残差自相关的关系AI 解读

SUMMARY The instrumental variables method of estimating the coefficients of a linear relationship between time series which have measurement errors is applied to the case where the coefficients are functions of a set of parameters. The asymptotic error variance matrix of the estimates is obtained, asymptotic tests for the existence and identification of the suggested form of relationship are suggested, and asymptotic confidence regions are given. The general theory is then…

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随机微分方程系统中的参数估计AI 解读

In many fields of study there occur systems of lagged dependences which can be described approximately by systems of linear stationary stochastic differential equations. In this paper we consider the estimation of parameters in such systems, using an approach similar to that of Bartlett (1946, 1955) and Quenouille (1957), and discuss conditions for identification of the separate behaviour relationships of a system. Little is known about the small-sample properties of…

短自回归序列中序列相关系数的不同定义AI 解读

Various definitions of the serial correlation coefficient are considered in relation to alternative methods of estimating autoregressive parameters from short time-series. It is concluded that estimates based on three experimental series considered are affected less by changes in definition of the serial correlation coefficient than by changes in the basic method of estimation. However, two definitions are shown to be dependent on the size of the correction for the mean and…

具有两个不同状态的线性回归系统参数估计AI 解读

In attempting to estimate the parameters of a linear regression system obeying two separate regimes, it is necessary first to estimate the position of the point in time at which the switch from one regime to the other occurred. The suggested maximum likelihood estimating procedure is based upon a direct examination of the likelihood function. An asymptotic and a small-sample test are suggested for testing the hypothesis that no switch occurred against the single alternative…

短自回归序列中序列相关系数的不同定义AI 解读

Various definitions of the serial correlation coefficient are considered in relation to alternative methods of estimating autoregressive parameters from short time-series. It is concluded that estimates based on three experimental series considered are affected less by changes in definition of the serial correlation coefficient than by changes in the basic method of estimation. However, two definitions are shown to be dependent on the size of the correction for the mean and…

去除趋势后的谱密度估计AI 解读

Summary A correction for bias, in the estimate of the spectral density, is derived for the case where a general form of trend has been removed, and a general expression for the bias (to the order n –1) in the serial correlations, due to trend removal, is obtained from this.

平稳时间序列谱密度的一致与渐近有效估计AI 解读

Summary Several general classes of estimates of the spectral density function of a stationary time series are introduced, which are shown to include most estimates previously suggested by various researchers. Asymptotic expressions are given for the mean square error of these estimates. We thus determine, for each estimate, the class of time series for whose spectral density it is a consistent estimate. Further, for a given time series, the minimum integrated mean square…

使用工具变量估计经济关系AI 解读

which the relationships are not exact, so that a set of ideal economic variables is assumed to be generated by a set of dynamic stochastic relationships, as in Koopmans [12], and the actual economic time series are assumed to differ from the ideal economic variables because of random disturbances or measurement errors. The asymptotic error variance matrix for the coefficients of one of the relationships is obtained in the case in which these relationships are estimated using…

平稳时间序列的统计分析AI 解读

Stationary Stochastic Processes and Their Representations: 1.0 Introduction 1.1 What is a stochastic process? 1.2 Continuity in the mean 1.3 Stochastic set functions of orthogonal increments 1.4 Orthogonal representations of stochastic processes 1.5 Stationary processes 1.6 Representations of stationary processes 1.7 Time and ensemble averages 1.8 Vector processes 1.9 Operations on stationary processes 1.10 Harmonizable stochastic processes Statistical Questions when the…

时间序列相关结构的比较AI 解读

SUMMARY The problem considered is that of comparing two lengths of time-series to test whether their correlation structures are similar. It is pointed out that this may be usefully done only if assumptions are made concerning the type of correlation structure of each series. A test is given depending upon assumed values for a common correlation structure. This test is shown to be insensitive to errors in these assumed values.

谱估计中的带宽与方差AI 解读

SUMMARY This paper deals with the uncertainty principle that governs the behaviour of bandwidth and variance in the estimation of the spectrum of a stationary stochastic process. Lomnicki and Zaremba (1957) have tried to show that this principle is not valid. It will be shown below that their reasoning is not correct. Further it will be shown, that not only is the uncertainty principle correct as it was originally stated, but that it can be extended in various directions.…

若干时间序列拟合优度检验的渐近功效AI 解读

SUMMARY The distances, upon which the asymptotic powers of certain goodness of fit tests for stationary time series depend, are expressed in terms of the spectral density functions on the null and alternative hypotheses.

渐近回归方程中不同估计量的效率AI 解读

Methods for the estimation of the parameter p in equation (1) have been discussed, this equation representing the expectation of observations on a quantity y for a specified value of x. The methods all involve taking as the estimator the ratio of either two linear functions or two quadratic functions of the observed y. Their relative efficiencies and biases are considered under two models for the generation of observations, the y either being independent and normally…

序列相关正态变量二次型的矩母函数AI 解读

A method used by Kac in the study of Wiener functionals is adapted to the problem of calculating in closed form the joint moment generating functions of linear combinations of quadratic forms (not simultaneously diagonable) in serially correlated normal variables. A class of Gaussian processes is found for which this method is successful. The results are worked out in detail for the special case of the Uhlenbeck-Ornstein process, which includes first order stochastic…

利用平滑异形随机序列局部性质的统计分析AI 解读

SUMMARY. A widening of the oonoept of stationarity leads to the concepts of smooth hetero-morphy and local homomorphy in stochastic series, obviating much of the need for the introduction of trend into structural specifications of statistical data. It is shown that formulae for sampling properties of local statistics in stationary stochastic series are applicable as they stand to series having these less restricted properties. 1. INTBODUCTION In a recent paper (1955a) the…