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含固定效应与横截面依赖的分数阶单整面板估计AI 解读

We consider a large N,T heterogeneous panel data model with fixed effects, common factors allowing for cross-section dependence, and persistent data and errors, which are assumed fractionally integrated. We propose individual and common-correlation estimates for the slope parameters while error memory parameters are estimated from regression residuals. The individual parameter estimates are all T consistent, asymptotically normal and mutually uncorrelated, irrespective of…

参数动态条件分位数模型的设定检验AI 解读

This article proposes omnibus specification tests of parametric dynamic quantile models. In contrast to the existing procedures, we allow for a flexible specification, where a possible continuum of quantiles is simultaneously specified under fairly weak conditions on the serial dependence in the underlying data-generating process. Since the null limit distribution of tests is not pivotal, we propose a subsampling approximation of the asymptotic critical values. A Monte Carlo…

股市交易量的长记忆性AI 解读

This article examines consistent estimation of the long-memory parameters of stock-market trading volume and volatility. The analysis is carried out in the frequency domain by tapering the data instead of detrending them. The main theoretical contribution of the article is to prove a central limit theorem for a multivariate two-step estimator of the memory parameters of a nonstationary vector process. Using robust semiparametric procedures, the long-memory properties of…