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次高斯随机矩阵算子范数的一致界及其应用AI 解读

For an $N \times T$ random matrix $X(\beta )$ with weakly dependent uniformly sub-Gaussian entries $x_{it}(\beta )$ that may depend on a possibly infinite-dimensional parameter $\beta \in \mathbf {B}$ , we obtain a uniform bound on its operator norm of the form $\mathbb {E} \sup _{\beta \in \mathbf {B}} ||X(\beta )|| \leq CK \left (\sqrt {\max (N,T)} + \gamma _2(\mathbf {B},d_{\mathbf {B}})\right )$ , where C is an absolute constant, K controls the tail behavior of (the…

国家层面新冠活跃感染人数的面板预测AI 解读

We use a dynamic panel data model to generate density forecasts for daily active Covid-19 infections for a panel of countries/regions. Our specification that assumes the growth rate of active infections can be represented by autoregressive fluctuations around a downward sloping deterministic trend function with a break. Our fully Bayesian approach allows us to flexibly estimate the cross-sectional distribution of slopes and then implicitly use this distribution as prior to…

This paper considers the problem of forecasting a collection of short time series using cross‐sectional information in panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients under a correlated random effects distribution. This formula utilizes cross‐sectional information to transform the unit‐specific (quasi) maximum likelihood estimator into an approximation of the posterior mean under a prior distribution that…

符号限制识别的 VAR 模型推断AI 解读

There is a fast growing literature that set‐identifies structural vector autoregressions (SVARs) by imposing sign restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign‐restricted SVARs). Most methods that have been used to construct pointwise coverage bands for impulse responses of sign‐restricted SVARs are justified only from a Bayesian perspective. This paper demonstrates how to formulate the inference problem for…

误差序列相关下的点最优面板单位根检验AI 解读

Generalizations of the point‐optimal panel unit root tests of Moon, Perron and Phillips (MPP) are developed to cover cases of serially correlated errors. The resulting statistics involve two modifications relative to those of MPP: (a) the error variance is replaced by the long‐run variance; (b) centring of the statistic is adjusted to correct for second‐order bias effects induced by the correlation between the error and lagged dependent variable.

针对少量嵌套模型的预测能力检验AI 解读

We introduce quasi-likelihood ratio tests for one sided multivariate hypotheses to evaluate the null that a parsimonious model performs equally well as a small number of models which nest the benchmark. The limiting distributions of the test statistics are non-standard. For critical values we consider: (i) bootstrapping and (ii) simulations assuming normality of the mean square prediction error difference. The proposed tests have good size and power properties compared with…

Peter C. B. Phillips 对面板数据方法的贡献AI 解读

This paper discusses Peter Phillips’s contributions to panel data methods. These include contributions in the areas of seemingly unrelated regressions, nonstationary panel data, dynamic panels, and the development of multiple index asymptotic theory. We also discuss his empirical contributions in the area of economic growth and convergence that use macro panel data.

含固定效应面板中混合 t 比率单位根检验的渐近局部功效AI 解读

. This latter test is equivalent to the well-known pooled t test proposed by Levin et al. (2002, Journal of Econometrics 108, 1--24), and its power depends only on the mean of the local-to-unity parameters. This implies that it has the same power against homogeneous and heterogeneous alternatives with the same mean autoregressive parameter. We then compare these tests to a panel version of the Sargan-Bhargava (1983, Econometrica 51, 153--74) statistic for a unit root and the…

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摘要暂缺

This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of firm size and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by constructing bias corrections to the score functions under OLS and GLS detrending, respectively. It is shown that the…

非平稳时间序列模型的最小距离估计AI 解读

This paper analyzes the limit distribution of minimum distance (MD) estimators for nonstationary time series models that involve nonlinear parameter restrictions. A rotation for the restricted parameter space is constructed to separate the components of the MD estimator that converge at different rates. We derive regularity conditions for the restriction function that are easier to verify than the stochastic equicontinuity conditions that arise from direct estimation of the…

如何估计接近单位根的自回归根AI 解读

A new model of near integration is formulated in which the local to unity parameter is identifiable and consistently estimable with time series data. The properties of the model are investigated, new functional laws for near integrated time series are obtained that lead to mixed diffusion processes, and consistent estimators of the localizing parameter are constructed. The model provides a more complete interface between I (0) and I (1) models than the traditional local to…