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摘要暂缺

高阶单整系统中协整向量的简便估计量AI 解读

Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald statistics constructed from these estimators have asymptotic x [superscript] 2 distributions. These and previously proposed estimators of cointegrating vectors are used to study long-run U.S. money (M1) demand. M1 demand is found to be stable over 1900-1989;…

单位根与趋势突变假说的递归和序贯检验：理论与国际证据AI 解读

This paper investigates the possibility, raised by P. Perron (1989, 1990) and P. Rappoport and L. Reichlin (1989), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike those authors, the authors treat the break date as unknown a priori. Asymptotic distributions are developed for recursive, rolling, and sequential tests for unit roots and/or changing coefficients in time series regressions. When applied to data on real…

摘要暂缺

含部分单位根的线性时间序列模型中的推断AI 解读

This paper considers estimation and hypothesis testing in linear time series when some or all of the variables have (possibly multiple) unit roots. The motivating example is a vector autoregression with some unit roots in the companion matrix, which might include polynomials in time as regressors. Parameters that can be written as coefficients on mean zero, nonintegrated regressors have jointly normal asymptotic distribution, converging at the rate of T(superscript…

指标模型系数的半参数估计AI 解读

This paper gives a solution to the problem of estimating coefficients of index models, through the estimation of the density-weighted average derivative of a general regression function. A normalized version of the density-weighted average derivative can be estimated by certain linear instrumental variables coefficients. The estimators, based on sample analogies of the product moment representation of the average derivative, are constructed using nonparametric kernel…

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非参数政策分析AI 解读

This article considers the problem of predicting the mean effect of a change in the distribution of certain policy-related variables on a dependent variable (Y). This is conventionally done using a parametric model. If, however, the conditional expectation of Y, given policy and nonpolicy variables X, is unaltered by the policy intervention, and if the support of X after the policy intervention lies within the support of X before the intervention, then this analysis can be…

共同趋势检验AI 解读

Cointegrated multiple time series share at least one common trend. Two tests are developed for the number of common stochastic trends (i.e., for the order of cointegration) in a multiple time series with and without drift. Both tests involve the roots of the ordinary least squares coefficient matrix obtained by regressing the series onto its first lag. Critical values for the tests are tabulated, and their power is examined in a Monte Carlo study. Economic time series are…

协整向量最小二乘估计量的渐近性质AI 解读

Time series variables that stochastically trend together form a cointegrated system. OLS and NLS estimators of the parameters of a cointegrating vector are shown to converge in probability to the true parameter value at the rate T11d for any positive d. These estim mators can be written asymptotically in terms of relatively simple nonnormal random matrices which do not depend on the parameters of th e system. These asymptotic representations form the basis for simple and…

高阶连续时间自回归模型的估计AI 解读

A method is presented for computing maximum likelihood, or Gaussian, estimators of the structural parameters in a continuous time system of higherorder stochastic differential equations. It is argued that it is computationally efficient in the standard case of exact observations made at equally spaced intervals. Furthermore it can be applied in situations where the observations are at unequally spaced intervals, some observations are missing and/or the endogenous variables…