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单指标模型的半参数最小二乘与加权估计AI 解读

For the class of single-index models, I construct a semiparametric estimator of coefficients up to a multiplicative constant that exhibits 1 √n-consistency and asymptotic normality. This class of models includes censored and truncated Tobit models, binary choice models, and duration models with unobserved individual heterogeneity and random censoring. I also investigate a weighting scheme that achieves the semiparametric efficiency bound.

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GAUSS 与 MATLAB：一项比较AI 解读

Abstract I compare two high‐level matrix programming languages with built‐in function libraries and graphics routines. Their interactive nature and convenient syntax makes them ideal for use in econometric applications. The languages are remarkably similar in terms of their features and performance. MATLAB's chief advantage is that it runs on a wider array of hardware and operating systems than GAUSS. GAUSS's main advantage is that it has better coverage of statistical and…

美国医院药房的生产成本结构：按床位规模分组的时间序列证据AI 解读

Abstract There are current concerns about potential factor substitutions and their implications for factor employments and cost containment in US hospital pharmacies. A translog production cost model is estimated for these pharmacies, using 1981–9 times‐series data consisting of seven cross‐sectional bed size classes per year. Zellner's joint GLS estimation of three‐factor cost share equations and the parent translog cost function reveals that pairwise factor substitutions…

改进的单调条件分位数估计量AI 解读

Suppose that $(X_1, Y_1),\cdots, (X_n, Y_n)$ are i.i.d. bivariate random vectors and that $\xi_p(x)$ is the $p$-quantile of $Y_1$ given $X_1 = x$ for $0 < p < 1$. Estimation of $\xi_p(x)$, when it is monotone in $x$, has been studied in the literature. In the nonparametric conditional quantile estimation one uses only some smoothness assumptions. The asymptotic properties are superior in the latter case; however, monotonicity is not guaranteed. We introduce a new estimator…

二元与多类别响应数据的贝叶斯分析AI 解读

A vast literature in statistics, biometrics, and econometrics is concerned with the analysis of binary and polychotomous response data. The classical approach fits a categorical response regression model using maximum likelihood, and inferences about the model are based on the associated asymptotic theory. The accuracy of classical confidence statements is questionable for small sample sizes. In this article, exact Bayesian methods for modeling categorical response data are…

两状态过程的拟合优度检验AI 解读

Binary data in which successive outcomes may be dependent frequently arise in a medical and social sciences context. A simple model for such data is a homogeneous 2-state Markov chain. Under this model one would usually treat the first observation in each sequence, Y1, as fixed. In the case of panel data this may constitute a substantial loss of information. In this paper we propose goodness-of-fit tests for the 2-state Markov model under several likely alternative…

分类协变量观测不完整时的logistic回归：三种方法比较AI 解读

A logistic regression analysis based on the complete cases neglects the information due to subjects with missing values in at least one but not in all covariates. Three different approaches allowing the use of this information are compared: maximum likelihood estimation, pseudo maximum likelihood estimation, and probability imputation. The first two yield consistent estimates of the regression coefficients and asymptotic normality allows the construction of asymptotically…

面板删失回归估计量的中位数无偏性AI 解读

This note proves that the estimator of panel data censored regression models proposed in Honoré [2] is median unbiased when only one parameter is estimated. This result is obtained without parametric assumptions about the distribution of the error terms.

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利用面板数据识别和估计含外生变量的连续时间动态系统AI 解读

This paper deals with the identification and maximum likelihood estimation of the parameters of a stochastic differential equation from discrete time sampling. Score function and maximum likelihood equations are derived explicitly. The stochastic differential equation system is extended to allow for random effects and the analysis of panel data. In addition, we investigate the identifiability of the continuous time parameters, in particular the impact of the inclusion of…

配置系统中理论约束与自相关的联合检验AI 解读

Abstract In the context of allocation models with vector autoregressive errors we propose a convenient procedure, based on the Lagrange multiplier principle, for testing any possible combination of absence of serial correlation, homogeneity, and symmetry against any possible alternative which specifies autocorrelation of an arbitrary given order. We also derive generic expressions for the maximum likelihood estimation of the models under six possible combinations of…

单指标模型中的最优平滑AI 解读

Single-index models generalize linear regression. They have applications to a variety of fields, such as discrete choice analysis in econometrics and dose response models in biometrics, where high-dimensional regression models are often employed. Single-index models are similar to the first step of projection pursuit regression, a dimension-reduction method. In both cases the orientation vector can be estimated root-n consistently, even if the unknown univariate function (or…

局部线性回归平滑器及其极小极大效率AI 解读

In this paper we introduce a smooth version of local linear regression estimators and address their advantages. The MSE and MISE of the estimators are computed explicitly. It turns out that the local linear regression smoothers have nice sampling properties and high minimax efficiency-they are not only efficient in rates but also nearly efficient in constant factors. In the nonparametric regression context, the asymptotic minimax lower bound is developed via the heuristic of…

广义线性模型中的随机效应预测AI 解读

This article develops an estimating function-based approach to component estimation in the two-stage generalized linear model with univariate random effects and a vector of fixed effects. The novelty and unifying feature of the method is the use of estimating functions in the estimation of both the random effects and their variance. Two separate estimating procedures based on the method are proposed that differ in the intensity of numerical computation required. The…

用抽样调查与时间序列干预分析评估反酒驾广告活动AI 解读

The impact of a paid advertising campaign targeted at reducing youthful male drinking-driving behavior is examined using (1) pretest and posttest sample surveys taken at both a campaign site and a control site and (2) time series intervention modeling of monthly traffic accident data from both sites. These compatible analyses provide collaborative evidence that the advertising campaign reduced youthful male drinking and driving behavior and, consequently, traffic accidents.

删失配对数据的再删失方法AI 解读

In comparing two treatment regimens, a matched-pair design is often used for nonhomogeneous experimental units. A standard method of analyzing the resulting data is to consider the difference within pairs, so that the nuisance parameters due to the heterogeneity between pairs can be eliminated and the parameter of interest—the treatment effect—can be estimated. This procedure becomes invalid when the data are subject to censoring, however. In addition, the available…

广义线性混合模型中的近似推断AI 解读

Statistical approaches to overdispersion, correlated errors, shrinkage estimation, and smoothing of regression relationships may be encompassed within the framework of the generalized linear mixed model (GLMM). Given an unobserved vector of random effects, observations are assumed to be conditionally independent with means that depend on the linear predictor through a specified link function and conditional variances that are specified by a variance function, known prior…

健康纵向研究的统计模型AI 解读

Introduction to statistical models for longitudinal observation, James Dwyer and Manning Feinleib Considerations in the design of longitudinal surveys of health, Lester Curtin and Manning Feinleib: PART I: MODELS FOR CONTINUOUS VARIABLES: Linear differential equation models for longitudinal data: Application: blood pressure and relative weight, James Dwyer Unconditional linear models for longitudinal data: Application: lead exposure and cognitive development in infants,…

纵向二元响应的似然分析方法AI 解读

In this paper, we discuss a likelihood-based method for analysing correlated binary responses based on a multivariate model. It is related to the pseudo-maximum likelihood approach suggested recently by Zhao & Prentice (1990). Their parameterization results in a simple pairwise model, in which the association between responses is modelled in terms of correlations, while the present paper uses conditional log odds-ratios. With this approach, higher-order associations can be…