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조진서 연세대학교 경제연구소 1996 延世經濟硏究 Vol.3 No.1
본 연구에서는 상이한 계급이 공존하기 위한 조건하에서 사회후생이 극대화되는지 알아보고, 만약 사회후생이 극대화되어 있지 않다면 자본소득에 대한 부담을 통해서 사회후생을 차선으로 극대화할 수 있는지 알아보았다. 동일한 경제주체를 구분하기 위해서 불완전경쟁시장을 가정으로 삼았고 불완전경쟁시장이 유지되기 위한 조건을 경제주체들간의 자본소득에 대한 부담을 통해서 나타내었다. 그 결과 불완전경쟁시장을 위한 조건 중 '기업경영의 독점'과 '자본시장의 분리'가 제약되면, 사회후생은 극대화되지 않으나 자본소득에 대한 부담을 통해서 사회의 후생을 차선화시킬 수 있다는 결과를 얻었다.
Testing for the Mixture Hypothesis of Geometric Distributions
조진서,한치록 한국계량경제학회 2009 계량경제학보 Vol.20 No.3
Use of the likelihood ratio (LR) statistic is examined to test for the mixture assumption of geometric distributions. As the asymptotic null distribution of the LR statistic is not a standard chi-square due to the fact that there are a boundary parameter problem and a nuisance parameter not identified under the null, we derive it separately and also provide a method to obtain the asymptotic critical values. Further, the finite sample properties of the LR test are evaluated by Monte Carlo simulations by examining the levels and powers of the LR test. Finally, using Kennan’s (1985) strike data in labor economics, we conclude that unobserved heterogeneity is present in the data, which cannot be captured by specifying a geometric distribution. Use of the likelihood ratio (LR) statistic is examined to test for the mixture assumption of geometric distributions. As the asymptotic null distribution of the LR statistic is not a standard chi-square due to the fact that there are a boundary parameter problem and a nuisance parameter not identified under the null, we derive it separately and also provide a method to obtain the asymptotic critical values. Further, the finite sample properties of the LR test are evaluated by Monte Carlo simulations by examining the levels and powers of the LR test. Finally, using Kennan’s (1985) strike data in labor economics, we conclude that unobserved heterogeneity is present in the data, which cannot be captured by specifying a geometric distribution.
조진서,정다울,Halbert White 한국계량경제학회 2011 계량경제학보 Vol.22 No.2
We study the properties of the likelihood-ratio test for unobserved heterogeneity in duration models using mixtures of exponential and Weibull distributions proposed by Cho and White (2010). As they note, this involves a nuisance parameter identified only under the alternative. We apply the asymptotic critical values in Cho and White (2010) and compare these with Hansen's (1996) weighted bootstrap. Our Monte Carlo experiments show that the weighted bootstrap provides superior asymptotic critical values.
Quasi-Maximum Likelihood Estimation Revisited Using the Distance and Direction Method
조진서 한국계량경제학회 2012 계량경제학보 Vol.23 No.2
We examine an asymptotic analysis of differentiable econometric models using the distance and direction (DD) method introduced by Cho and White (2012), in which the conventional analysis for the quasi-maximum likelihood estimation and inference can be treated as a special case. We extend their approach and revisit the conventional quasi-likelihood ratio,Wald, and Lagrange multiplier test statistics through a different perspective. This new perspective is further analyzed in a unified framework, and we exploit this to introduce new classes of test statistics.
Testing for the Mixture Hypothesis of Conditional Geometric and Exponential Distributions
조진서,Jin Seok Park,Sang Woo Park 한국계량경제학회 2018 계량경제학보 Vol.29 No.2
This study examines the mixture hypothesis of conditional geometric distributions using a likelihood ratio (LR) test statistic based on that used for unconditionalgeometricdistributions. Assuch,wederivethenulllimitdistribution of the LR test statistic and examine its power performance. In addition, we examine the interrelationship between the LR test statistics used to test the geometric and exponential mixture hypotheses. We also examine the performance of the LR test statistics under various conditions and confirm the main claims of the study using Monte Carlo simulations.
선형모형의 가설하에서 비선형 검정통계량간의 상호관계분석
전예지,조진서 통계청 2015 통계연구 Vol.20 No.1
This paper analyzes the interrelationships among Wald, likelihood ratio, Lagrange multiplier statistics for testing neglected nonlinearity. We show that the three test statistics are equivalent under the null although there exists a twofold identification problem. This implies that the trinity property holds for the tests as for the standard case. 본 연구는 비선형모형의 가설검정을 위해서 사용할 수 있는 왈드(Wald), 우도비(likelihood ratio), 라그랑쥐 승수(Lagrange multiplier) 검정통계량을 선형모형의 가설하에서 연구한다. 구체적으로선형모형의 귀무가설 하에서 이들이 어떠한 점근분포를 취하며 어떤 관계가 있는지 살펴본다. 그 결과 식별의 문제가 두 겹으로 존재함에도 불구하고, 상기 세 검정통계량 간에는 삼위일체의성질이 존재함을 보이고 이를 모의실험을 통하여 재확인한다.