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动态模型的模拟非参数估计AI 解读

This paper introduces a new class of parameter estimators for dynamic models, called simulated non-parametric estimators (SNEs). The SNE minimizes appropriate distances between non-parametric conditional (or joint) densities estimated from sample data and non-parametric conditional (or joint) densities estimated from data simulated out of the model of interest. Sample data and model-simulated data are smoothed with the same kernel, which considerably simplifies bandwidth…

检测时间序列结构突变数量的强一致规则AI 解读

This paper proposes a new approach for detecting the number of structural breaks in a time series when estimation of the breaks is performed one at the time. We consider the case of shifts in the mean of a possibly nonlinear process, allowing for dependent and heterogeneous observations. This is accomplished through a simple, sequential, almost sure rule ensuring that, in large samples, both the probabilities of overestimating and underestimating the number of breaks are…

仅在备择假设下存在干扰参数时的推断界AI 解读

In hypothesis testing with nuisance parameters present only under the alternative two issues typically arise: (i) critical values are data dependent and so cannot be tabulated; (ii) we need to choose a functional over the nuisance parameter space. We address the first issue by providing easily computable bounds for the case of dependent and heterogeneous observations. We tackle the second issue by suggesting a weighted average statistic with weights given by the (quasi)…