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弱 VARMA 过程的实用建模：识别、估计、模型设定与宏观应用AI 解读

We consider the problem of developing practical methods for modelling weak VARMA processes. We first propose new identified VARMA representations, the diagonal MA equation form and the final MA equation form, where the MA operator is either diagonal or scalar. Both these representations have the important feature that they constitute relatively simple modifications of a VAR model (in contrast with the echelon representation). Second, for estimating VARMA models, we develop…

广义矩估计模型中的非嵌套检验AI 解读

We analyze the limiting distribution of the Rivers and Vuong (2002, Econometrics Journal 5, 1–39) statistic for choosing between two competing dynamic models based on a comparison of generalized method of moments minimands. It is shown that (i) if both models are misspecified then the statistic has a standard normal distribution under the null hypothesis of equal fit but the ranking could be determined by the choice of the weighting matrix; (ii) if both models are correctly…

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动态相关性的状态切换模型AI 解读

We propose a new model for the variance between multiple time series, the Regime Switching Dynamic Correlation. We decompose the covariances into correlations and standard deviations and the correlation matrix follow a regime switching model; it is constant within a regime but different across regimes. The transitions between the regimes are governed by a Markov chain. This model does not suffer from a curse of dimensionality and it allows analytic computation of multi-step…