共查询到20条相似文献,搜索用时 31 毫秒
1.
《Econometric Reviews》2013,32(2):219-241
ABSTRACT In the presence of heteroskedasticity of unknown form, the Ordinary Least Squares parameter estimator becomes inefficient, and its covariance matrix estimator inconsistent. Eicker (1963) and White (1980) were the first to propose a robust consistent covariance matrix estimator, that permits asymptotically correct inference. This estimator is widely used in practice. Cragg (1983) proposed a more efficient estimator, but concluded that tests basd on it are unreliable. Thus, this last estimator has not been used in practice. This article is concerned with finite sample properties of tests robust to heteroskedasticity of unknown form. Our results suggest that reliable and more efficient tests can be obtained with the Cragg estimators in small samples. 相似文献
2.
Haifeng Xu 《统计学通讯:理论与方法》2013,42(15):2788-2802
Huang (1999) proposed a feasible ridge regression (FRR) estimator to estimate a specific regression coefficient. Assuming that the error terms follow a normal distribution, Huang (1999) examined the small sample properties of the FRR estimator. In this article, assuming that the error terms follow a multivariate t distribution, we derive an exact general formula for the moments of the FRR estimator to estimate a specific regression coefficient. Using the exact general formula, we obtain exact formulas for the bias, mean squared error (MSE), skewness, and kurtosis of the FRR estimator. Since these formulas are very complex, we compare the bias, MSE, skewness, and kurtosis of the FRR estimator with those of ordinary least square (OLS) estimator by numerical evaluations. Our numerical results show that the range of MSE dominance of the FRR estimator over the OLS estimator is widen under a fat tail distributional assumption. 相似文献
3.
Javid Shabbir 《统计学通讯:理论与方法》2013,42(7):1201-1209
Kadilar and Cingi (2005) have suggested a new ratio estimator in stratified sampling. The efficiency of this estimator is compared with the traditional combined ratio estimator on the basis of mean square error (MSE). We propose another estimator by utilizing a simple transformation introduced by Bedi (1996). The proposed estimator is found to be more efficient than the traditional combined ratio estimator as well as the Kadilar and Cingi (2005) ratio estimator. 相似文献
4.
Bruce E. Hansen 《Econometric Reviews》2017,36(6-9):840-852
ABSTRACTMaasoumi (1978) proposed a Stein-like estimator for simultaneous equations and showed that his Stein shrinkage estimator has bounded finite sample risk, unlike the three-stage least square estimator. We revisit his proposal by investigating Stein-like shrinkage in the context of two-stage least square (2SLS) estimation of a structural parameter. Our estimator follows Maasoumi (1978) in taking a weighted average of the 2SLS and ordinary least square estimators, with the weight depending inversely on the Hausman (1978) statistic for exogeneity. Using a local-to-exogenous asymptotic theory, we derive the asymptotic distribution of the Stein estimator and calculate its asymptotic risk. We find that if the number of endogenous variables exceeds 2, then the shrinkage estimator has strictly smaller risk than the 2SLS estimator, extending the classic result of James and Stein (1961). In a simple simulation experiment, we show that the shrinkage estimator has substantially reduced finite sample median squared error relative to the standard 2SLS estimator. 相似文献
5.
In this article, we introduce a new method for the volatility function estimation of continuous-time diffusion process dX t = μ(X t )dt + σ(X t )dW t , which is based on combining the idea of local linear smoother and variable bandwidth. We give the expressions for the conditional MSE and MISE of the estimator and obtain the optimal variable bandwidth. An explicit formula for the optimal variable bandwidth is presented by minimizing the MISE, which extends the related results in Fan and Gijbels (1992), etc. Finally, some simulations show that the performance of the proposed estimator with optimal variable bandwidth is often much better than that of the local linear estimator with invariable bandwidth. 相似文献
6.
This paper deals with Dynamic Stochastic General Equilibrium (DSGE) models under a multivariate student-t distribution for the structural shocks. Based on the solution algorithm of Klein (2000) and the gamma-normal representation of the t-distribution, the TaRB-MH algorithm of Chib and Ramamurthy (2010) is used to estimate the model. A technique for estimating the marginal likelihood of the DSGE student-t model is also provided. The methodologies are illustrated first with simulated data and then with the DSGE model of Ireland (2004) where the results support the t-error model in relation to the Gaussian model. 相似文献
7.
ABSTRACT The area under a receiver operating characteristic curve is a useful index of the accuracy of a diagnostic test. When the diagnostic ability of a new biomarker is of interest only in a certain range of specificity, the partial area under the curve becomes desirable. In this article, we extend Bamber's (1975) results and show that the partial area under a receiver operating characteristic curve is the probability of a constrained stochastic ordering. We then construct a ‘weighted’ Mann-Whitney statistic as an estimator of the partial area and investigate its statistical properties. A testing procedure is also developed to compare partial area under two receiver operating characteristic curves. The methods are exemplified with data from biomarkers associated with coronary heart disease. 相似文献
8.
Pao-Sheng Shen 《Journal of applied statistics》2011,38(4):675-682
Double censoring arises when T represents an outcome variable that can only be accurately measured within a certain range, [L, U], where L and U are the left- and right-censoring variables, respectively. In this note, using Martingale arguments of Chen et al. [3], we propose an estimator (denoted by ?β) for estimating regression coefficients of transformation model when L is always observed. Under Cox proportional hazards model, the proposed estimator is equivalent to the partial likelihood estimator for left-truncated and right-censored data if the left-censoring variables L were regarded as left-truncated variables. In this case, the estimator ?β can be obtained by the standard software. A simulation study is conducted to investigate the performance of ?β. For the purpose of comparison, the simulation study also includes the estimator proposed by Cai and Cheng [2] for the case when L and U are always observed. 相似文献
9.
Pao-Sheng Shen 《统计学通讯:理论与方法》2013,42(22):4096-4106
In this article, we consider the estimation of distribution function for one modified form of current status data. An inverse-probability-weighted (IPW) estimator and a self-consistent estimator (SCE) are proposed. The asymptotic properties of the IPW estimator are derived. A simulation study is conducted to compare the performances among the IPW estimator, SCE, and the product-limit estimator proposed by Patilea and Rolin (2006). Simulation results indicate that when right censoring is light and left censoring is heavy, both IPW estimator and SCE can outperform the product-limit estimator. The performances of the IPW estimator and SCE are close to each other. 相似文献
10.
This paper focuses on the adaptive estimation problem of a Periodic Self-Exciting Threshold Autoregressive (PSETAR) model. The adapted sufficient conditions of Swensen (1985) to our model, are verified and then explored to establish the Local Asymptotic Normality (LAN), the Local Asymptotic Quadratic (LAQ) and the Local Asymptotic properties satisfied by its central sequence. Using these results, we construct adaptive estimators for the parameter model where the innovation density is unspecified but symmetric, while satisfying only some general conditions. The performances of these adaptive estimations are shown via simulation studies and an application on the modeling of the Fraser River data. 相似文献
11.
Magda (1980) and Hedayat (1981) first considered the construction of circular strongly balanced repeated measurements designs. Sen and Mukerjee (1987) and Roy (1988) considered the optimality and existence of circular strongly balanced repeated measurements designs based on the method of differences and Hamiltonian decomposition of lexicographic product of two graphs. In this article, we consider the construction of circular strongly balanced repeated measurements designs using the newly proposed method called cyclic shifts, and propose some new designs for p < v. 相似文献
12.
Housila P. Singh 《统计学通讯:理论与方法》2013,42(6):1008-1023
This paper suggests an efficient class of ratio and product estimators for estimating the population mean in stratified random sampling using auxiliary information. It is interesting to mention that, in addition to many, Koyuncu and Kadilar (2009), Kadilar and Cingi (2003, 2005), and Singh and Vishwakarma (2007) estimators are identified as members of the proposed class of estimators. The expressions of bias and mean square error (MSE) of the proposed estimators are derived under large sample approximation in general form. Asymptotically optimum estimator (AOE) in the class is identified alongwith its MSE formula. It has been shown that the proposed class of estimators is more efficient than combined regression estimator and Koyuncu and Kadilar (2009) estimator. Moreover, theoretical findings are supported through a numerical example. 相似文献
13.
ABSTRACT This paper reviews and extends the literature on the finite sample behavior of tests for sample selection bias. Monte Carlo results show that, when the “multicollinearity problem” identified by Nawata (1993) is severe, (i) the t-test based on the Heckman–Greene variance estimator can be unreliable, (ii) the Likelihood Ratio test remains powerful, and (iii) nonnormality can be interpreted as severe sample selection bias by Maximum Likelihood methods, leading to negative Wald statistics. We also confirm previous findings (Leung and Yu, 1996) that the standard regression-based t-test (Heckman, 1979) and the asymptotically efficient Lagrange Multiplier test (Melino, 1982), are robust to nonnormality but have very little power. 相似文献
14.
We consider non-parametric estimation of a continuous cdf of a random vector (X 1, X 2). With bivariate RC data, it is stated in van der Laan (1996, p. 59810, Ann. Statist.), Quale et al. (2006, JASA) etc. that “it is well known that the NPMLE for continuous data is inconsistent (Tsai et al. (1986)).” The claim is based on a result in Tsai et al. (1986, p.1352, Ann. Statist.) that if X 1 is right censored but not X 2, then common ways for defining one NPMLE lead to inconsistency. If X 1 is right censored and X 2 is type I right-censored (which includes the case in Tsai et al.), we present a consistent NPMLE. The result corrects a common misinterpretation of Tsai's example (Tsai et al., 1986, Ann. Statist.). 相似文献
15.
Haifeng Xu 《统计学通讯:理论与方法》2013,42(12):2152-2164
In this article, we consider a heterogeneous preliminary test (HPT) estimator whose components are the OLS and feasible ridge regression (FRR) estimators, and derive the exact formulae for the moments of the HPT estimator using mathematical method. Since we cannot examine the MSE of the HPT estimator analytically, we execute the numerical evaluation to investigate the MSE performance of the HPT estimator, and compare the MSE performance of the HPT estimator with those of the FRR estimator and the usual OLS estimator. Furthermore, using the minimax regret criterion proposed by Sawa and Hiromatsu (1973), we derive the optimal critical points of the preliminary F test. Our results show that the optimal significance points are greater than 19% and the optimal signicance points decrease as the denominator degrees of freedom of the preliminary F test statistic increases. 相似文献
16.
Hu Yang 《统计学通讯:理论与方法》2013,42(20):3204-3215
Liu (2003) proposed the Liu-Type estimator (LTE) to combat the well-known multicollinearity problem in linear regression. In this article, various better fitting characteristics of the LTE than those of the ordinary ridge regression estimator (Hoerl and Kennard, 1970) are considered. In particular, we derived two methods to determine the parameter d for the LTE and find that the ridge parameter k could serve for regularization of an ill-conditioned design matrix, while the other parameter d could be used for tuning the fit quality. In addition, the coefficients of regression, coefficient of multiple determination, residual error variance, and generalized cross validation (GCV) of the prediction quality are very stable, and as the ridge parameter increases they eventually reach asymptotic levels, which produces robust regression models. Furthermore, a Monte Carlo evaluation of these features is also given to illustrate some of the theoretical results. 相似文献
17.
Pao-Sheng Shen 《统计学通讯:模拟与计算》2013,42(3):603-612
In this article, we consider the M-estimators for the linear regression model when both response and covariate variables are subject to double censoring. The proposed estimators are constructed as some functional of three types of estimators for a bivariate survival distribution. The first two estimators are the generalizations of the Campbell and Földes (1982) and Dabrowska (1988) estimators proposed by Shen (2009). The third estimator is the generalization of the Prentice and Cai (1992) estimator. The consistency of the proposed M-estimators is established. A simulation study is conducted to investigate the performance of the proposed estimators. Furthermore, the simple bootstrap methods are used to estimate standard deviations and construct interval estimators. 相似文献
18.
In this article, we discuss the estimation of linear functions of two Poisson means, on which an order restriction is given. We give a necessary and sufficient condition on the coefficients of the linear function for the maximum likelihood estimator (MLE) which satisfies the order restriction to dominate the unbiased estimator under squared error loss. Furthermore, simultaneous estimation of two ordered Poisson means is considered and we suggest the Clevenson–Zidek type modification of MLE which dominates the MLE under normalized squared error loss. We also improve the estimator proposed by Clevenson and Zidek (1975) which ignores the order restriction. 相似文献
19.
Jean-François Quessy 《统计学通讯:理论与方法》2013,42(19):3510-3531
Population and sample versions of Kendall and Spearman measures of association suitable for multivariate ordinal data are defined. The latter generalize the indices of dependence of Ruymgaart and van Zuijlen (1978), Joe (1990), and Schmid and Schmidt (2007) by allowing atoms in the underlying distribution. The representation of the proposed empirical measures as U-statistics enables to establish their asymptotic normality under general distributions. A special attention is given to tests of independence for multivariate ordinal data, where the power of the new methodologies are investigated under fixed and contiguous alternatives. 相似文献
20.
Scott A. Roths 《统计学通讯:理论与方法》2013,42(9):1593-1609
Confidence interval construction for the difference of two independent binomial proportions is a well-known problem with a full panoply of proposed solutions. In this paper, we focus largely on the family of intervals proposed by Beal (1987). This family, which includes the Haldane and Jeffreys–Perks intervals as special cases, assumes a symmetric prior distribution for the population proportions p 1 and p 2. We propose new methods that allow the currently observed data to set the prior distribution by taking a parametric empirical-Bayes approach; in addition, we also provide an investigation of the new interval' behaviors in small-sample situations. Unlike other solutions, our intervals can be used adaptively for experiments conducted in multiple stages over time. We illustrate this notion using data from an Argentinean study involving the Mal Rio Cuarto virus and its transmission to susceptible maize crops. 相似文献