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多峰性、p** 公式与置信区域AI 解读

Barndorff-Nielsen’s celebrated p *-formula and variations thereof have amongst their various attractions the ability to approximate bimodal distributions. In this paper we show that in general this requires a crucial adjustment to the basic formula. The adjustment is based on a simple idea and straightforward to implement, yet delivers important improvements. It is based on recognizing that certain outcomes are theoretically impossible and the density of the MLE should then…

积分条件矩检验的最优性AI 解读

This paper proposes a version of the integrated conditional moment (ICM) test that is optimal for a class of composite alternatives. The ICM test is built on the fact that a random function based on a correctly specified model should have zero mean, whereas any misspecification in the conditional mean implies a divergent mean for the random function. We derive test statistics that are optimal for each basis element of an orthonormal decomposition of the function space for…

广义矩估计框架下参数不稳定性的最优检验AI 解读

This paper presents optimal tests for parameter instability in the generalized method of moments (GMM) framework. The new tests include tests that are optimal for both one-sided and two-sided alternatives. One of the optimal tests for two-sided alternatives is the GMM generalization of the test presented in Andrews and Ploberger (1994) for the likelihood framework. The new tests include a class of optimal tests that direct the test's power to specific locations in the…

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分数单位根分布AI 解读

Asymptotic distributions are derived for the ordinary least squares estimate of a first order autoregression model when the series is fractionally integrated. The fractional unit root distribution is introduced to describe the limiting distribution. The unit root distribution is shown to be an atypical member of this family because its density is nonzero over the entire real line. For -1/2 Copyright 1990 by The Econometric Society.