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未知形式条件异方差下的VAR推断AI 解读

We consider a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional heteroskedasticity of unknown form. A joint central limit theorem for the LS estimators of both the VAR slope parameters as well as the unconditional innovation variance parameters is obtained from a weak vector autoregressive moving average model set-up recently proposed in the literature. Our results are important for correct inference on VAR statistics…

We bring together some recent advances in the literature on vector autoregressive moving-average models, creating a simple specification and estimation strategy for the cointegrated case. We show that in this case with fixed initial values there exists a so-called final moving-average representation. We prove that the specification strategy is consistent. The performance of the proposed method is investigated via a Monte Carlo study and a forecasting exercise for US interest…

预先调整确定性项的系统协整检验自助法AI 解读

In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006, Econometric Theory 22, 15–68) and Saikkonen and Lütkepohl (2000, Journal of Time Series Analysis 21, 435–456). The asymptotic properties of the bootstrap test procedures are derived, and their small-sample properties are studied. The simulation study also considers the standard asymptotic test versions and the…

含水平突变的 VAR 断点日期估计及其协整检验应用AI 解读

In testing for the cointegrating rank of a vector autoregressive process it is important to take into account level shifts that have occurred in the sample period. Therefore the properties of estimators of the time period where a shift has taken place are investigated. The possible structural break is modeled as a simple shift in the level of the process. Two alternative estimators for the break date are considered, and their asymptotic properties are derived under various…

A systems cointegration rank test is proposed that is applicable for vector autoregressive (VAR) processes with a structural shift at unknown time. The structural shift is modeled as a simple shift in the level of the process. It is proposed to estimate the break date first on the basis of a full unrestricted VAR model. Two alternative estimators are considered and their asymptotic properties are derived. In the next step the deterministic part of the process including the…

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若干共同随机趋势检验的性质AI 解读

We study the asymptotic properties of the tests suggested by Choi and Ahn (1995, Econometric Theory 11, 952–983) in the case of a (nearly) improper normalization of the cointegration vectors. To overcome the size problems in such situations we suggest a test statistic that is based on the eigenvalues of a canonical correlation analysis. Using Monte Carlo simulations, the small sample properties of our test are compared to various other test statistics recently suggested in…