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分数阶单整过程错设模型的估计问题AI 解读

This short paper provides a comprehensive set of new theoretical results on the impact of mis-specifying the short run dynamics in fractionally integrated processes. We show that four alternative parametric estimators – frequency domain maximum likelihood, Whittle, time domain maximum likelihood and conditional sum of squares – converge to the same pseudo-true value under common mis-specification, and that they possess a common asymptotic distribution. The results are…

用预滤波筛自助法修正半参数长记忆估计偏差AI 解读

This paper investigates bootstrap-based bias correction of semiparametric estimators of the long memory parameter, d , in fractionally integrated processes. The re-sampling method involves the application of the sieve bootstrap to data prefiltered by a preliminary semiparametric estimate of the long memory parameter. Theoretical justification for using the bootstrap technique to bias adjust log periodogram and semiparametric local Whittle estimators of the memory parameter…

分数单整过程筛法 Bootstrap 的高阶改进AI 解读

This paper investigates the accuracy of bootstrap-based inference in the case of long memory fractionally integrated processes. The re-sampling method is based on the semi-parametric sieve, whereby the dynamics in the process used to produce the bootstrap draws are captured by an autoregressive approximation. Application of the sieve method to data pre-filtered by a semi-parametric estimate of the long memory parameter is also explored. Higher-order improvements yielded by…

计数数据的有效概率预测AI 解读

Summary Efficient probabilistic forecasts of integer-valued random variables are derived. The optimality is achieved by estimating the forecast distribution non-parametrically over a given broad model class and proving asymptotic (non-parametric) efficiency in that setting. The method is developed within the context of the integer auto-regressive class of models, which is a suitable class for any count data that can be interpreted as a queue, stock, birth-and-death process…

美国赤字的可持续性：基于多个内生断点的新方法AI 解读

Recent empirical work has questioned the consistency of US fiscal policy with an intertemporal budget constraint. Empirical results have tended to indicate that the deficit process has undergone at least one structural shift during recent decades, with the deficit becoming either unsustainable or sustainable in only a weak sense in the post-shift period. In this paper, we re-examine sustainability using a new approach, based on a cointegration model with multiple endogenous…