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单位根检验AI 解读

Recent work by Said and Dickey (1984, 1985), Phillips (1987), and Phillips and Perron (1988) examines tests for unit roots in the autoregressive part of mixed autoregressive integrated moving average models (tests for stationarity). Monte Carlo experiments show that these unit-root tests have different finite-sample distributions from the unit-root tests developed by Fuller (1976) and Dickey and Fuller (1979, 1981) for autoregressive processes. In particular, the tests…

ABSTRACT We use predictions of aggregate stock return variances from daily data to estimate time‐varying monthly variances for size‐ranked portfolios. We propose and estimate a single factor model of heteroskedasticity for portfolio returns. This model implies time‐varying betas. Implications of heteroskedasticity and time‐varying betas for tests of the capital asset pricing model (CAPM) are then documented. Accounting for heteroskedasticity increases the evidence that…

Recent work by Said and Dickey (1984, 1985), Phillips (1987), and Phillips and Perron (1988) examines tests for unit roots in the autoregressive part of mixed autoregressive integrated moving average models (tests for stationarity). Monte Carlo experiments show that these unit-root tests have different finite-sample distributions from the unit-root tests developed by Fuller (1976) and Dickey and Fuller (1979, 1981) for autoregressive processes. In particular, the tests…

时间序列变量间预测关系检验：蒙特卡洛研究AI 解读

Bivariate time series models have been used extensively to analyze the relationship between pairs of economic variables. Various tests have been proposed that can be used to examine the adequacy of specific models. The empirical literature is noteworthy for the frequency with which different authors using different tests reach different conclusions, and for the apparent lack of evidence for certain relationships strongly suggested by economic theory. The objective of this…

用横截面数据估计分布滞后参数：医院入院与出院案例AI 解读

It is natural to think of estimating distributed lag models from time series data since it is in time series contexts that such models arise. This article studies the estimation of rational distributed lags in the context of hospital admissions and discharges where a relevant body of cross-section data exists in the form of lengths-of-stay and appears to be more appropriate for this purpose than do the available time series data. The cross-section approach presumably has…

利用横截面数据估计分布滞后模型：医院入院与出院案例AI 解读

It is natural to think of estimating distributed lag models from time series data since it is in time series contexts that such models arise. This article studies the estimation of rational distributed lags in the context of hospital admissions and discharges where a relevant body of cross-section data exists in the form of lengths-of-stay and appears to be more appropriate for this purpose than do the available time series data. The cross-section approach presumably has…