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协趋势与协整综合模型中简单能量平衡方程的统计检验AI 解读

We develop new tests for the linear relationship between temperature and forcing, which is one of the most studied implications from a simple energy balance model. We consider a bivariate system of temperature and forcing where the time path of well-mixed-greenhouse-gases forcing is included as a potential common trend function in addition to a stochastic trend and a broken linear trend. Our test statistics are first devised as the likelihood ratio and then are modified to…

连续分段趋势多变量系统中的共同断点推断：全球与半球气温应用AI 解读

What transpires from recent research is that temperatures and radiative forcing seem to be characterized by a linear trend with two changes in the rate of growth. The first occurs in the early 60s and indicates a very large increase in the rate of growth of both temperature and radiative forcing series. This was termed as the “onset of sustained global warming”. The second is related to the more recent so-called hiatus period, which suggests that temperatures and total…

多层因子模型：识别、渐近理论与应用AI 解读

Summary This paper studies a multilevel factor model with global and country factors. The global factors affect all individuals, whereas the country factors affect only those within each specific country. A sequential procedure to identify the global and country factors separately is proposed. In the initial step, the global factors are estimated by canonical correlation analysis. Using this initial estimator, the principal component estimators (PCEs) of the global and…

美国离婚法改革与离婚率：交互固定效应方法AI 解读

SUMMARY This paper estimates the effects of unilateral divorce laws on divorce rates in the USA from a panel of state‐level divorce rates. We use the interactive fixed‐effects model to address the issue of endogeneity due to the association between cross‐state unobserved heterogeneity and divorce law reforms. We document that earlier studies in the literature do not fully control for unobserved heterogeneity and result in mixed empirical evidence on the effects of divorce…

横截面相关大面板中共同确定性时间趋势断点的估计AI 解读

This paper develops an estimation procedure for a common deterministic time trend break in large panels. The dependent variable in each equation consists of a deterministic trend and an error term. The deterministic trend is subject to a change in the intercept, slope or both, and the break date is common for all equations. The estimation method is simply minimizing the sum of squared residuals for all possible break dates. Both serial and cross sectional correlations are…

利用可行准广义最小二乘改进和扩展样本末端不稳定性检验AI 解读

This paper extends the Andrews (2002, Econometrica 71, 1661–1694) and Andrews and Kim (2006, Journal of Business & Economic Statistics 24, 379–394) ordinary least squares–based end-of-sample instability tests for linear regression models. The author proposes to quasi-difference the data first using a consistent estimate of the sum of the autoregressive coefficients of the error process and then test for the end-of-sample instability. For the cointegration model, the feasible…

原假设与备择假设下均允许多重结构断点的 GLS 单位根检验AI 解读

Perron (1989, Econometrica 57, 1361–1401) introduced unit root tests valid when a break at a known date in the trend function of a time series is present. In particular, they allow a break under both the null and alternative hypotheses and are invariant to the magnitude of the shift in level and/or slope. The subsequent literature devised procedures valid in the case of an unknown break date. However, in doing so most research, in particular the commonly used test of Zivot…

基于近似 Bahadur 斜率比较结构突变检验的相对功效AI 解读

We compare the asymptotic relative efficiency of the Exp, Mean, and Sup functionals of the Wald, LM and LR tests for structural change analyzed by Andrews [Andrews, D.W.K., 1993. Tests for parameter instability and structural change with unknown change point. Econometrica 61, 821-856.] and Andrews and Ploberger [Andrews, D.W.K., Ploberger, W., 1994. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62, 1383-1414.]. We derive the…

零假设与备择下均允许未知时点趋势突变的单位根检验AI 解读

Perron [Perron, P., 1989. The great crash, the oil price shock and the unit root hypothesis. Econometrica 57, 1361-1401] introduced a variety of unit root tests that are valid when a break in the trend function of a time series is present. The motivation was to devise testing procedures that were invariant to the magnitude of the shift in level and/or slope. In particular, if a change is present it is allowed under both the null and alternative hypotheses. This analysis was…