日期精度：到日 0 篇 · 到月 15 篇 · 到年 0 篇
关于协整发展的若干思考
This paper describes how the notion of cointegration came about, and discusses some generalizations to indicate where the topic may go next. In particular, some issues in the analysis of possibly cointegrated quantile time series are discussed.
关于计量建模新工具的对话
This paper presents a set of questions prepared by Clive Granger with responses by David Hendry on the use of PcGets (see Hendry and Krolzig, 2001) in data modeling and as a new research tool. PcGets is an Ox package (see Doornik, 2001) implementing automatic general-to-specific (Gets) modeling for linear regression models based on the theory of reduction, as in Hendry (1995, Ch. 9).
分数单整过程非线性变换的性质
This paper shows that the properties of nonlinear transformations of a fractionally integrated process depend strongly on whether the initial series is stationary or not. Transforming a stationary Gaussian I(d) process with d > 0 leads to a long-memory process with the same or a smaller long-memory parameter depending on the Hermite rank of the transformation. Any nonlinear transformation of an antipersistent Gaussian I(d) process is I(0). For non-stationary I(d) processes,…
时间序列模型中遗漏非线性的检验
In this paper a new test, the neural network test for neglected nonlinearity, is compared with the Keenan test, the Tsay test, the White dynamic information matrix test, the McLeod-Li test, the Ramsey RESET test, the Brock-Dechert-Scheinkman test, and the Bispectrum test. The neural network test is based on the approximating ability of neural network modeling techniques recently developed by cognitive scientists. This test is a Lagrange multiplier test that statistically…