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贝弗里奇—纳尔逊分解的回顾与展望AI 解读

Beveridge and Nelson [Beveridge, Stephen, Nelson, Charles R., 1981. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the 'business cycle'. Journal of Monetary Economics 7, 151-174] proposed that the long-run forecast is a measure of trend for time series such as GDP that do not follow a deterministic path in the long run. They showed that if the series is stationary in first…

The synthesis of the dynamic factor model of Stock and Watson (1989) and the regime-switching model of Hamilton (1989) proposed by Diebold and Rudebusch (1996) potentially encompasses both features of the business cycle identified by Burns and Mitchell (1946): (1) comovement among economic variables through the cycle and (2) nonlinearity in its evolution. However, maximum-likelihood estimation has required approximation. Recent advances in multimove Gibbs sampling…

The main econometric issue in testing the Lucas (1973) hypothesis in a time series context is estimation of the forecast-error variance conditional on past information. The conditional variance may vary through time as monetary policy evolves and agents are obliged to infer its present state. Under the assumption that a monetary policy regime is continuously changing, a time-varying-parameter model is proposed for the monetary-growth function. Based on Kalman-filtering…

在回归中将时间作为解释变量的陷阱AI 解读

Regression of a trendless random walk on time produces R-squared values around .44 regardless of sample length. The residuals from the regression exhibit only about 14% as much variation as the original series even though the underlying process has no functional dependence on time. The autocorrelation structure of these “detrended” random walks is pseudo-cyclical and purely artifactual. Conventional tests for trend are strongly biased toward finding a trend when none is…

时间序列变量间预测关系检验：蒙特卡洛研究AI 解读

Bivariate time series models have been used extensively to analyze the relationship between pairs of economic variables. Various tests have been proposed that can be used to examine the adequacy of specific models. The empirical literature is noteworthy for the frequency with which different authors using different tests reach different conclusions, and for the apparent lack of evidence for certain relationships strongly suggested by economic theory. The objective of this…

不恰当去趋势造成的时间序列虚假周期性AI 解读

Econometric analysis of time series data is frequently preceded by regression on time to remove a trent component in the date. The resulting residuals are then treated as a stationary series to which procedures requiring stationarity, such as spectral analysis, can be applied. The objective is often to investigate the dynamics of transitory movements in the systems, for example, in econometric models of the business cycle. When the data does consist of a deterministic…

用横截面数据估计分布滞后参数：医院入院与出院案例AI 解读

It is natural to think of estimating distributed lag models from time series data since it is in time series contexts that such models arise. This article studies the estimation of rational distributed lags in the context of hospital admissions and discharges where a relevant body of cross-section data exists in the form of lengths-of-stay and appears to be more appropriate for this purpose than do the available time series data. The cross-section approach presumably has…

利用横截面数据估计分布滞后模型：医院入院与出院案例AI 解读

It is natural to think of estimating distributed lag models from time series data since it is in time series contexts that such models arise. This article studies the estimation of rational distributed lags in the context of hospital admissions and discharges where a relevant body of cross-section data exists in the form of lengths-of-stay and appears to be more appropriate for this purpose than do the available time series data. The cross-section approach presumably has…