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用于结构变化检验与监测的反向 CUSUM：新冠疫情数据应用AI 解读

It is well known that the conventional cumulative sum (CUSUM) test suffers from low power and large detection delay. In order to improve the power of the test, we propose two alternative statistics. The backward CUSUM detector considers the recursive residuals in reverse chronological order, whereas the stacked backward CUSUM detector sequentially cumulates a triangular array of backwardly cumulated residuals. A multivariate invariance principle for partial sums of recursive…

我们能预测多远？预测信息含量的统计检验AI 解读

Summary We develop tests for the null hypothesis that forecasts become uninformative beyond some maximum forecast horizon h ∗ . The forecast may result from a survey of forecasters or from an estimated parametric model. The first class of tests compares the mean‐squared prediction error of the forecast to the variance of the evaluation sample, whereas the second class of tests compares it with the mean‐squared prediction error of the recursive mean. We show that the forecast…

预测回归中基于工具变量与变量增补的推断AI 解读

Valid inference in predictive regressions depends in a crucial manner on the degree of persistence of the predictor variables. The paper studies test procedures that are robust in the sense that their asymptotic null distributions are invariant to the persistence of the predictor, that is, the limiting distribution is the same irrespective of whether the regressors are stationary or (nearly) integrated. Existing procedures are often conservative (e.g. tests based on…

动态因子模型的广义最小二乘估计AI 解读

In this article a simple two-step estimation procedure of the dynamic factor model is proposed. The estimator allows for heteroscedastic and serially correlated errors. It turns out that the feasible two-step estimator has the same limiting distribution as the generalized least squares (GLS) estimator assuming that the covariance parameters are known. In a Monte Carlo study of the small sample properties, we find that the GLS estimators may be substantially more efficient…

动态因子模型中的结构突变检验AI 解读

In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest procedures for testing for structural breaks. It is shown that structural breaks severely inflate the number of factors identified by the usual information criteria. The hypothesis of a structural break is tested by using LR, LM and Wald statistics. The LM test (which performs best in our…

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具有因子结构的面板单位根检验AI 解读

This paper considers various tests of the unit root hypothesis in panels where the cross-section dependence is due to common dynamic factors. Three situations are studied. First, the common factors and idiosyncratic components may both be nonstationary. In this case test statistics based on generalized least squares (GLS) possess a standard normal limiting distribution, whereas test statistics based on ordinary least squares (OLS) are invalid. Second, if the common component…

针对分数协整的残差型 LM 检验AI 解读

Nonstationary integrated time series may be fractionally cointegrated. Here we propose a test for the null hypothesis of no cointegration. It builds on the asymptotically normal Lagrange multiplier (LM) test against fractional alternatives applied to single equation residuals. It is shown that the LM test applied naively to residuals from a static level regression does not retain asymptotic normality. However, when the LM statistic is employed with residuals from a…

若干共同随机趋势检验的性质AI 解读

We study the asymptotic properties of the tests suggested by Choi and Ahn (1995, Econometric Theory 11, 952–983) in the case of a (nearly) improper normalization of the cointegration vectors. To overcome the size problems in such situations we suggest a test statistic that is based on the eigenvalues of a canonical correlation analysis. Using Monte Carlo simulations, the small sample properties of our test are compared to various other test statistics recently suggested in…

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非线性协整的秩检验AI 解读

A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that monotonic transformations exist such that the normalized series can asymptotically be represented as Wiener processes. Rank-test procedures based on the difference between the sequences of ranks are suggested. If there is no cointegration between the time series, the sequences of ranks tend to diverge, whereas under cointegration the sequences of…

季节单位根的 Phillips–Perron 型检验AI 解读

In this paper we consider a semiparametric version of the test for seasonal unit roots suggested by Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The asymptotic theory is based on the analysis of a simple regression problem, and the results apply to tests at any given frequency in the range (0,π]. Monte Carlo simulations suggest that the test may have more power than the parametric test of Hylleberg et al. (1990). On the other hand, the…

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