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模型发现与 Haavelmo 的学术遗产AI 解读

Trygve Haavelmo’s Probability Approach aimed to implement economic theories, but he later recognized their incompleteness. Although he did not explicitly consider model selection, we apply it when theory-relevant variables, { X t }, are retained without selection while selecting other candidate variables, { W t }. Under the null that the { W t } are irrelevant, by orthogonalizing with respect to the { X t }, the estimator distributions of the X t ’s parameters are unaffected…

经济分析、计量建模与预测中的不可预测性AI 解读

Unpredictability arises from intrinsic stochastic variation, unexpected instances of outliers, and unanticipated extrinsic shifts of distributions. We analyze their properties, relationships, and different effects on the three arenas in the title, which suggests considering three associated information sets. The implications of unanticipated shifts for forecasting, economic analyses of efficient markets, conditional expectations, and inter-temporal derivations are described.…

面对结构突变的设定不足方程中的模型选择AI 解读

When a model under-specifies the data generation process, model selection can improve over estimating a prior specification, especially if location shifts occur. Impulse-indicator saturation (IIS) can ‘correct’ non-constant intercepts induced by location shifts in omitted variables, which leave slope parameters unaltered even when correlated with included variables. Location shifts in included variables induce changes in estimated slopes when there are correlated omitted…

用因子、变量、二者还是都不用来预测？AI 解读

We consider forecasting with factors, variables and both, modeling in-sample using Autometrics so all principal components and variables can be included jointly, while tackling multiple breaks by impulse-indicator saturation. A forecast-error taxonomy for factor models highlights the impacts of location shifts on forecast-error biases. Forecasting US GDP over 1-, 4- and 8-step horizons using the dataset from Stock and Watson (2009) updated to 2011:2 shows factor models are…

存在多个断点时的模型选择AI 解读

We consider model selection facing uncertainty over the choice of variables and the occurrence and timing of multiple location shifts. General-to-simple selection is extended by adding an impulse indicator for every observation to the set of candidate regressors: see Johansen and Nielsen (2009). We apply that approach to a fat-tailed distribution, and to processes with breaks: Monte Carlo experiments show its capability of detecting up to 20 shifts in 100 observations, while…

预测总量：合成分项预测，还是整合分项信息？AI 解读

To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those disaggregates or forecasting by a univariate aggregate model. New analytical results show the effects of changing coefficients, misspecification, estimation uncertainty, and mismeasurement error. Forecast-origin shifts in parameters affect absolute, but not relative, forecast accuracies; misspecification and estimation uncertainty induce forecast-error differences,…

条件均值非线性的低维综合检验AI 解读

A new test for non-linearity in the conditional mean is proposed using functions of the principal components of regressors. The test extends the non-linearity tests based on Kolmogorov-Gabor polynomials ([Thursby and Schmidt, 1977], [Tsay, 1986] and [Teräsvirta et al., 1993]), but circumvents problems of high dimensionality, is equivariant to collinearity, and includes exponential functions, so is a portmanteau test with power against a wide range of possible alternatives.…

结构突变期间均衡修正模型的预测AI 解读

When location shifts occur, cointegration-based equilibrium-correction models (EqCMs) face forecasting problems. We consider alleviating such forecast failure by updating, intercept corrections, differencing, and estimating the future progress of an 'internal' break. Updating leads to a loss of cointegration when an EqCM suffers an equilibrium-mean shift, but helps when collinearities are changed by an 'external' break with the EqCM staying constant. Both mechanistic…

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关于计量建模新工具的对话AI 解读

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).

丹尼斯·萨根与 LSE 计量经济学方法论的起源AI 解读

I review the part played by John Denis Sargan in the formation of the “LSE approach” to dynamic econometric modeling. Despite his unassuming demeanor and his location at LSE—which had earlier dismissed a substantive role for econometric evidence—Sargan nevertheless radically altered the econometric approach of a generation, establishing a powerful approach to empirical modeling of economic time series. His main contributions to econometric methodology, and the subsequent…

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外生性、协整与经济政策分析AI 解读

This overview examines conditions for reliable economic policy analysis based on econometric models, focusing on the econometric concepts of exogeneity, cointegration, causality, and invariance. Weak, strong, and super exogeneity are discussed in general and these concepts are then applied to the use of econometric models in policy analysis when the variables are cointegrated. Implications follow for model constancy, the Lucas critique, equation inversion, and impulse…

涵盖性与特异性AI 解读

A model M is said to encompass another model N if the former can explain the results obtained by the latter. In this paper, we propose a general notion of encompassing that covers both classical and Bayesian viewpoints and essentially represents a concept of sufficiency among models. We introduce the parent notion of specificity that aims at measuring lack of encompassing. Tests for encompassing are discussed and the test statistics are compared to Bayesian posterior odds.…

截距修正与结构变化AI 解读

Analyses of forecasting that assume a constant, time-invariant data generating process (DGP), and so implicitly rule out structural change or regime shifts in the economy, ignore an aspect of the real world responsible for some of the more dramatic historical episodes of predictive failure. Some models may offer greater protection against unforeseen structural breaks than others, and various tricks may be employed to robustify forecasts to change. We show that in certain…

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协整系统中的预测AI 解读

Abstract We consider the implications for forecast accuracy of imposing unit roots and cointegrating restrictions in linear systems of I (1) variables in levels, differences, and cointegrated combinations. Asymptotic formulae are obtained for multi‐step forecast error variances for each representation. Alternative measures of forecast accuracy are discussed. Finite sample behaviour in a bivariate model is studied by Monte Carlo using control variables. We also analyse the…

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