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收入效应矩阵正定性的 Bootstrap 检验AI 解读

Positive definiteness of income effect matrices provides a sufficient condition for the law of demand to hold. Given cross section household expenditure data, empirical evidence for the law of demand can be obtained by estimating such matrices. Härdle, Hildenbrand, and Jerison used the bootstrap method to simulate the distribution of the smallest eigenvalue of random matrices and to test their positive definiteness. Here, theoretical aspects of this bootstrap test of…

固定效应截断与删失回归的修剪最小绝对偏差与最小二乘估计AI 解读

This paper considers estimation of truncated.and censored regression models with fixed effects. Up until now, no estimator has been shown to be consistent as the cross-section dimension increases with the time dimension fixed. Trimmed least absolute deviations and trimmed least squares estimators are proposed for the case where the panel is of length two, and it is proven that they are consistent and asymptotically normal. It is not necessary to maintain parametric…

二元响应模型的平滑最大得分估计量AI 解读

This paper describes a semiparametric estimator for binary response models in which there may be arbitrary heteroskedasticity of unknown form. The estimator is obtained by maximizing a smoothed version of the objective function of C. Manski's maximum score estimator. The smoothing procedure is similar to that used in kernel nonparametric density estimation. The resulting estimator's rate of convergence in probability is the fastest possible under the assumptions that are…

关于多项 Probit 模型识别的一则札记AI 解读

Although formal conditions for identification in the multinational probit model are now clearly established, little is known about how various estimable multinational probit specifications perform in practice. This article shows that parameter identification in the multinational probit model is extremely tenuous in the absence of exclusion restrictions. This previously unnoticed fact is important because formal identification of multinational probit models does not require…

面板数据估计量的一些异常性质AI 解读

Abstract We study the biases that are likely to arise in practice with panel data when parameters vary across individuals, but this is not allowed for in estimation. We consider both stationary and non‐stationary regressors. We find that biases can be severe for relatively small parameter variation, and that this problem is hard to detect. We study in some detail by Monte‐Carlo the performance of the Anderson‐Hsiao estimator in the presence of this particular…

住房市场中挂牌价的作用：理论与计量模型AI 解读

Abstract Houses are routinely sold at prices below, but rarely sold at prices above, their list prices. List prices appear to be price ceilings that preclude the possibility of sales at higher prices. This paper presents a theory of sellers' behaviour that explains why there are list prices in housing markets and why list prices are distinct from sellers' reservation prices. The theory forms the basis of an econometric model that has been estimated using data from the…

回归秩得分与回归分位数AI 解读

We show that regression quantiles, which could be computed as solutions of a linear programming problem, and the solutions of the corresponding dual problem, which we call the regression rank-scores, generalize the duality of order statistics and of ranks from the location to the linear model. Noting this fact, we study the regression quantile and regression rank-score processes in the heteroscedastic linear regression model, obtaining some new estimators and interesting…

时间序列中的非参数函数估计AI 解读

Consider a stationary time series $(\mathbf{X}_t, Y_t), t = 0, \pm 1,\ldots,$ with $\mathbf{X}_t$ being $\mathbb{R}^d$-valued and $Y_t$ real-valued. The conditional mean function is given by $\theta(\mathbf{X}_0) = E(Y_0\mid\mathbf{X}_0)$. Under appropriate regularity conditions, a local average estimator of this function based on a finite realization $(\mathbf{X}_1, Y_1),\ldots,(\mathbf{X}_n, Y_n)$ can be chosen to achieve the optimal rate of convergence $n^{-1/(2 + d)}$ bot…

条件分位数的层级样条模型与电力需求AI 解读

Methods for estimating nonparametric models for conditional quantiles are suggested based on the regression quantile methods of Koenker and Bassett. Spline parameterizations of the conditional quantile functions are used. The methods are illustrated by estimating hierarchical models for household electricity demand using data from the Chicago metropolitan area. The empirical results show that lower quantiles of demand (“base-load”) vary only slightly across residential…

家庭生育决策建模：非线性联立 probit 模型AI 解读

This article proposes new methods for modeling household fertility decisions. Much of the demographic literature on this subject suggests that decisions relating to fertility are influenced by the orientations (attitudes, desires, intentions) of both husbands and wives, but the methods used in previous work do not indicate how wife's (husband's) orientation influences husband's (wife's) orientation, nor how these separate phenomena are combined to produce a joint decision.…

青少年时期家庭结构对高中毕业影响的不同估计AI 解读

Many studies have reported significant empirical associations between family structure during childhood and children's outcomes later in life. It may be that living in a nonintact family has adverse consequences for children. On the other hand, it may be that some unobserved process jointly determines family structure and children's outcomes. How then should one interpret the empirical evidence on the relationship between family structure and children's outcomes? The answer…

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基于非对称极大似然的泊松过度离散估计AI 解读

A common difficulty in regression problems with Poisson (or binomial or other exponential family) response variables is over-dispersion: the scatter around the fitted regression is too large by the standards of Poisson variability. This article concerns the description, estimation, and testing of various patterns of overdispersion, with particular emphasis on the Poisson case. Asymmetric maximum likelihood (AML) is a method of fitting regressions for the conditional…

基于非对称最大似然的 Poisson 过度离散估计AI 解读

A common difficulty in regression problems with Poisson (or binomial or other exponential family) response variables is over-dispersion: the scatter around the fitted regression is too large by the standards of Poisson variability. This article concerns the description, estimation, and testing of various patterns of overdispersion, with particular emphasis on the Poisson case. Asymmetric maximum likelihood (AML) is a method of fitting regressions for the conditional…

家庭生育决策建模：非线性联立Probit模型AI 解读

This article proposes new methods for modeling household fertility decisions. Much of the demographic literature on this subject suggests that decisions relating to fertility are influenced by the orientations (attitudes, desires, intentions) of both husbands and wives, but the methods used in previous work do not indicate how wife's (husband's) orientation influences husband's (wife's) orientation, nor how these separate phenomena are combined to produce a joint decision.…

二元阈值跨越与二元选择模型的非参数、分布无关估计AI 解读

In this paper, it is shown that it is possible to identify binary threshold crossing models and binary choice models without imposing any parametric structure either on the systematic function of observable exogenous variables or on the distribution of the random term. This identification result is employed to develop a fully nonparametric maximum likelihood estimator for both the function of observable exogenous variables and the distribution of the random term. The…

家庭构成、劳动力市场与劳动需求：农业家庭模型的分离性检验AI 解读

This paper tests the separation of farm labor supply and labor demand decisions, using the observation that household composition is an important determinant of farm labor use with nonseparation. After assessing the conditions under which the test has power against several alternatives, an empirical model is developed to test the proposition that farm employment is independent of family composition. The model is estimated on a data set from rural Java. The null hypothesis…

有序 Probit 模型的图形解释AI 解读

The use of probit and logit models has become quite common whenever the dependent variable in a regression is qualitative. These models have been used to explain either/or choices and decisions involving multiple alternatives. A two-dimensional graphical interpretation of these different models has been provided by Johnson [3]. The purpose of this paper is to provide a three-dimensional graphical exposition of the ordered probit model, which was first estimated by McKelvey…

含误差分量的联立方程估计札记AI 解读

Baltagi [3] derived 2SLS and 3SLS analogues for a simultaneous equation model with error components. These were denoted by EC2SLS and EC3SLS. More recently, Balestra and Varadharajan-Krishnakumar [1] derived alternative 2SLS and 3SLS analogues; these were denoted by G2SLS and G3SLS. This note explains the relationship between these estimators and shows that the set of instruments employed by Balestra and Varadharajan-Krishnakumar is a subset of those used in Baltagi. In…

嵌套回归模型族中条件风险比的信息界AI 解读

SUMMARY Information bounds are obtained for a parametric treatment effect in a nested family of models for the conditional distribution of survival given confounding variables. The family extends from the fully parametric Weibull model to a completely nonparametric model for right-censored data and includes the Cox model and the stratified version of it. It is shown that, in certain special cases, there is no loss of information about the treatment effect when going from a…

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