Results 1  10
of
90
Maximum a posteriori estimation for multivariate Gaussian mixture observations of Markov chains
 IEEE Trans. Speech Audio Process
, 1994
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A Scaled Difference Chisquare Test Statistic for Moment Structure Analysis
"... A family of scaling corrections aimed to improve the chisquare approximation of goodnessoffit test statistics in small samples, large models, and nonnormal data was proposed in Satorra and Bentler (1994). For structural equations models, SatorraBentler's (SB) scaling corrections are availab ..."
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Cited by 129 (1 self)
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A family of scaling corrections aimed to improve the chisquare approximation of goodnessoffit test statistics in small samples, large models, and nonnormal data was proposed in Satorra and Bentler (1994). For structural equations models, SatorraBentler's (SB) scaling corrections are available in standard computer software. Often, however, the interest is not on the overall fit of a model, but on a test of the restrictions that a null model say M 0 implies on a less restricted one M 1 .IfT 0 and T 1 denote the goodnessoffit test statistics associated to M 0 and M 1 , respectively, then typically the difference T d = T 0 ; T 1 is used as a chisquare test statistic with degrees of freedom equal to the difference on the number of independent parameters estimated under the models M 0 and M 1 . As in the case of the goodnessoffit test, it is of interest to scale the statistic T d in order to improveitschisquare approximation in realistic, i.e., nonasymptotic and nonn...
Consistent estimation of scaled coefficient
 Econometrica
, 1986
"... RECEIV 7 This paper studies the estimation of coefficients ^ in single index models such that E(y  X)=F(a+X'^) , where the function F is misspecified or unknown. A general connection between behavioral derivatives and covariance estimators is established, which shows how 8 can be estimated up ..."
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Cited by 55 (1 self)
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RECEIV 7 This paper studies the estimation of coefficients ^ in single index models such that E(y  X)=F(a+X'^) , where the function F is misspecified or unknown. A general connection between behavioral derivatives and covariance estimators is established, which shows how 8 can be estimated up to scale using information on the marginal distribution of X. A sample covariance estimator and an instrumental variables slope coefficient vector are proposed, which are constructed using appropriately defined score vectors of the X distribution. The framework is illustrated using several common limited dependent variable odels, and extended to multiple index models, including models of selection bias and multinomial discrete choice. The asymptotic bias in the OLS coefficients of y regressed on X are analyzed. The asymptotic distribution of the instrumental variables estimator is established, when the X distribution is modeled up to a finite parameterization.
Optimal Structure from Motion: Local Ambiguities and Global Estimates
, 2000
"... “Structure From Motion” (SFM) refers to the problem of estimating spatial properties of a threedimensional scene from the motion of its projection onto a twodimensional surface, such as the retina. We present an analysis of SFM which results in algorithms that are provably convergent and provably o ..."
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Cited by 28 (5 self)
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“Structure From Motion” (SFM) refers to the problem of estimating spatial properties of a threedimensional scene from the motion of its projection onto a twodimensional surface, such as the retina. We present an analysis of SFM which results in algorithms that are provably convergent and provably optimal with respect to a chosen norm. In particular, we cast SFM as the minimization of a highdimensional quadratic cost function, and show how it is possible to reduce it to the minimization of a twodimensional function whose stationary points are in onetoone correspondence with those of the original cost function. As a consequence, we can plot the reduced cost function and characterize the configurations of structure and motion that result in local minima. As an example, we discuss two local minima that are associated with wellknown visual illusions. Knowledge of the topology of the residual in the presence of such local minima allows us to formulate minimization algorithms that, in addition to provably converge to stationary points of the original cost function, can switch between different local extrema in order to converge to the global minimum, under suitable conditions. We also offer an experimental study of the distribution of the estimation error in the presence of noise in the measurements, and characterize the sensitivity of the algorithm using the structure of Fisher’s Information matrix.
A Bayesian Approach to Robust Binary Nonparametric Regression
, 1997
"... This paper presents a Bayesian approach to binary nonparametric regression which assumes that the argument of the link is an additive function of the explanatory variables and their multiplicative interactions. The paper makes the following contributions. First, a comprehensive approach is presented ..."
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Cited by 16 (1 self)
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This paper presents a Bayesian approach to binary nonparametric regression which assumes that the argument of the link is an additive function of the explanatory variables and their multiplicative interactions. The paper makes the following contributions. First, a comprehensive approach is presented in which the function estimates are smoothing splines with the smoothing parameters integrated out, and the estimates made robust to outliers. Second, the approach can handle a wide rage of link functions. Third, efficient state space based algorithms are used to carry out the computations. Fourth, an extensive set of simulations is carried out which show that the Bayesian estimator works well and compares favorably to two estimators which are widely used in practice.
Estimation of Structural Parameters and Marginal Effects in Binary Choice Panel Data Models with Fixed Effects
, 2005
"... Fixed effects estimates of structural parameters in nonlinear panel models can be severely biased due to the incidental parameters problem. In this paper I show that the first term in a largeT expansion of the incidental parameters bias for probit fixed effects estimators of index coefficients is ..."
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Cited by 12 (3 self)
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Fixed effects estimates of structural parameters in nonlinear panel models can be severely biased due to the incidental parameters problem. In this paper I show that the first term in a largeT expansion of the incidental parameters bias for probit fixed effects estimators of index coefficients is proportional to the true parameter value for general distributions of regressors and individual effects. This result allows me to derive a lower bound for the bias that depends only on the number of time periods of the panel. Proportionality is also used to show that the biases of ratios of coefficients and average marginal effects are identically zero in the absence of heterogeneity. Moreover, for a wide range of distributions of regressors and individual effects, numerical examples show that these biases are also very small. These results help explain previous Monte Carlo evidence for probit fixed effects estimates of index coefficients and marginal effects. Additional Monte Carlo examples suggest that the small bias property for fixed effects estimators of marginal effects holds for logit and linear probability models, and for the effects of exogenous variables in dynamic discrete choice models. The properties of logit and probit fixed effects estimates of model parameters and marginal effects are illustrated through an analysis of female labor force participation using data from the PSID. The results suggest that the significant biases in fixed effects estimates of model parameters do not contaminate the estimates of marginal effects in static models.
Test of the Equilibrium Hypothesis in Disequilibrium Econometrics: An
 International Comparison of Credit Rationing,” International Economic Review
, 1981
"... The purpose of this paper is threefold: (i) to develop various tests of the equilibrium hypothesis using a partial price adjustment scheme in disequilibrium, (ii) to estimate disequilibrium models of the business loan markets in the United States and in Japan by the method proposed and (iii) to comp ..."
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Cited by 7 (0 self)
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The purpose of this paper is threefold: (i) to develop various tests of the equilibrium hypothesis using a partial price adjustment scheme in disequilibrium, (ii) to estimate disequilibrium models of the business loan markets in the United States and in Japan by the method proposed and (iii) to compare the adjustment speeds of the prime rate and to test the equilibrium hypothesis in each country. In the United States, the loan market may be considered to be in equilibrium with the real interest rate adjusting to market pressures. In Japan, the nominal rather than the real interest rate is believed to adjust to the market pressure of disequilibrium and the equilibrium hypothesis is rejected. Moreover, it is clear that the prime rate adjusts more slowly in Japan than in the United States. Our results support the popular view that the United States financial markets are closer to equilibrium than their Japanese counterparts. However, there is no evidence of different upward and downward adjustment speeds for either country.
Dissecting the Random Component of Utility
, 2002
"... We illustrate and discuss several general issues associated with the random component of utility, or more generally ‘‘unobserved variability’’. We posit a general conceptual framework that suggests a variance components view as an appropriate structure for unobserved variability. This framework sugg ..."
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Cited by 7 (2 self)
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We illustrate and discuss several general issues associated with the random component of utility, or more generally ‘‘unobserved variability’’. We posit a general conceptual framework that suggests a variance components view as an appropriate structure for unobserved variability. This framework suggests that ‘‘unobserved heterogeneity’ ’ is only one component of unobserved variability; hence, a more general view is required. We review a considerable amount of empirical research that suggests that random components are unlikely to be independent of systematic components, and random component variances are unlikely to be constant between or within individuals, time periods, locations, etc. We also review evidence that random components are functions of (elements of) systematic components. The latter suggests considerable caution in the use and interpretation of complex choice model specifications, in particular recently introduced forms of random parameter models that purport to estimate distributions of preference parameters. Several areas for future research are identified and discussed.
Relative goods’ prices, pure inflation, and the Phillips correlation
 American Economic Journal: Macroeconomics
, 2010
"... This paper uses a dynamic factor model for the quarterly changes in consumption goods ’ prices in the United States since 1959 to separate them into three independent components: idiosyncratic relativeprice changes, a lowdimensional index of aggregate relativeprice changes, and an index of equipro ..."
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Cited by 6 (0 self)
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This paper uses a dynamic factor model for the quarterly changes in consumption goods ’ prices in the United States since 1959 to separate them into three independent components: idiosyncratic relativeprice changes, a lowdimensional index of aggregate relativeprice changes, and an index of equiproportional changes in all inflation rates that we label “pure ” inflation. We use the estimates to answer two questions. First, what share of the variability of inflation is associated with each component, and how are they related to conventional measures of monetary policy and relativeprice shocks? Second, what drives the Phillips correlation between inflation and measures of real activity? (JEL E21, E23, E31, E52) One of the goals of macroeconomics is to explain the aggregate sources of changes in goods ’ prices. If there was a single consumption good in the world, as is often assumed in models, describing the price changes of consumption would be a trivial matter. But, in reality, there are many goods and prices, and there is