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非基本非平稳分数阶模型中 ARMA 根的单步估计AI 解读

Summary We propose a single step estimator for the autoregressive and moving average roots (without imposing causality or invertibility restrictions) of a nonstationary Fractional ARMA process. These estimators employ an efficient tapering procedure, which allows for a long memory component in the process, but avoids estimating the nonstationarity component, which can be stochastic and/or deterministic. After selecting automatically the order of the model, we robustly…

分数单位根的有效 Wald 检验AI 解读

In this article we introduce efficient Wald tests for testing the null hypothesis of the unit root against the alternative of the fractional unit root. In a local alternative framework, the proposed tests are locally asymptotically equivalent to the optimal Robinson Lagrange multiplier tests. Our results contrast with the tests for fractional unit roots, introduced by Dolado, Gonzalo, and Mayoral, which are inefficient. In the presence of short range serial correlation, we…

非线性自回归检验AI 解读

conditional mean of an economic time series is linear in past values. Two specific tests are discussed, the Cramer-von Mises and the Kolmogorov-Smirnov tests. The particular feature of the proposed tests is that the bootstrap is used to estimate the nonstandard asymptotic distributions of the test statistics considered. The tests are justified theoretically by asymptotics, and their finite-sample behaviors are studied by means of Monte Carlo experiments. The tests are…

检验可能存在依赖的过程是否不相关AI 解读

An analysis is presented of a new testing procedure for the null hypothesis that a stochastic process is uncorrelated when the process is possibly dependent. Unlike with existing procedures, the user does not need to choose any arbitrary number to implement the proposed test. The asymptotic null distribution of the proposed test statistic is not standard, but it is tabulated by means of simulations. The test is compared with two alternative test procedures that require…