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短暂不稳定情形下的预测能力比较AI 解读

Summary We consider forecast comparison in the presence of instability when this affects only a short period of time. We demonstrate that global tests do not perform well in this case because they were not designed to capture very short-lived instabilities, and their power vanishes altogether when the magnitude of the shock is very large. We then discuss non-parametric approaches that are more suitable to detect such situations. We illustrate these results in a Monte Carlo…

可能存在水平突变时的积分阶数半参数检验AI 解读

Lobato and Robinson developed semiparametric tests for the null hypothesis that a series is weakly autocorrelated, or I(0), about a constant level, against fractionally integrated alternatives. These tests have the advantage that the user is not required to specify a parametric model for any weak autocorrelation present in the series. We extend this approach in two distinct ways. First, we show that it can be generalized to allow for testing of the null hypothesis that a…

利用固定平滑渐近理论比较小样本预测准确性AI 解读

Summary We consider fixed‐smoothing asymptotics for the Diebold and Mariano ( Journal of Business and Economic Statistics , 1995, 13 (3), 253–263) test of predictive accuracy. We show that this approach delivers predictive accuracy tests that are correctly sized even when only a small number of out‐of‐sample observations is available. We apply the fixed‐smoothing asymptotics to the Diebold and Mariano test to evaluate the predictive accuracy of the Survey of Professional…

可能存在未知趋势断点时的时间序列分数阶单整阶数检验AI 解读

We develop a test, based on the Lagrange multiplier [LM] testing principle, for the value of the long memory parameter of a univariate time series that is composed of a fractionally integrated shock around a potentially broken deterministic trend. Our proposed test is constructed from data which are de-trended allowing for a trend break whose (unknown) location is estimated by a standard residual sum of squares estimator applied either to the levels or first differences of…

积分阶数未知时的趋势突变检验AI 解读

Harvey, Leybourne and Taylor [Harvey, D.I., Leybourne, S.J., Taylor, A.M.R. 2009. Simple, robust and powerful tests of the breaking trend hypothesis. Econometric Theory 25, 995–1029] develop a test for the presence of a broken linear trend at an unknown point in the sample whose size is asymptotically robust as to whether the (unknown) order of integration of the data is either zero or one. This test is not size controlled, however, when this order assumes fractional values;…

分数阶单整下固定 b 趋势突变检验的行为AI 解读

Testing for the presence of a broken linear trend when the nature of the persistence in the data is unknown is not a trivial problem, because the test needs to be both asymptotically correctly sized and consistent, regardless of the order of integration of the data. In a recent paper, Sayginsoy and Vogelsang (2011, Econometric Theory 27, 992–1025) (SV) show that tests based on fixed- b asymptotics provide a useful solution to this problem in the case where the shocks may be…