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非参数形状约束的检验AI 解读

We describe and examine a test for a general class of shape constraints, such as signs of derivatives, U-shape, quasi-convexity, log-convexity, among others, in a nonparametric framework using partial sums empirical processes. We show that, after a suitable transformation, its asymptotic distribution is a functional of a Brownian motion index by the c.d.f. of the regressor. As a result, the test is distribution-free and critical values are readily available. However, due to…

空间数据的非参数预测AI 解读

We describe a (nonparametric) prediction algorithm for spatial data, based on a canonical factorization of the spectral density function. We provide theoretical results showing that the predictor has desirable asymptotic properties. Finite sample performance is assessed in a Monte Carlo study that also compares our algorithm to a rival nonparametric method based on the infinite $AR$ representation of the dynamics of the data. Finally, we apply our methodology to predict…

横截面与时间依赖下大面板的无平滑参数推断AI 解读

This paper addresses inference in large panel data models in the presence of both cross-sectional and temporal dependence of unknown form. We are interested in making inferences that do not rely on the choice of any smoothing parameter as is the case with the often employed “HAC” estimator for the covariance matrix. To that end, we propose a cluster estimator for the asymptotic covariance of the estimators and valid bootstrap schemes that do not require the selection of a…

长记忆过程的频域自助法AI 解读

The aim of the paper is to describe a bootstrap, contrary to the sieve bootstrap, valid under either long memory (LM) or short memory (SM) dependence. One of the reasons of the failure of the sieve bootstrap in our context is that under LM dependence, the sieve bootstrap may not be able to capture the true covariance structure of the original data. We also describe and examine the validity of the bootstrap scheme for the least squares estimator of the parameter in a…

阈值回归模型的稳健推断AI 解读

This paper considers robust inference in threshold regression models when the practitioners do not know whether at the threshold point the true specification has a kink or a jump, nesting previous works that assume either continuity or discontinuity at the threshold. We find that the parameter values under the kink restriction are irregular points of the Hessian matrix, destroying the asymptotic normality and inducing the cube-root convergence rate for the threshold…

频域中的弱平稳性检验AI 解读

We examine a test for weak stationarity against alternatives that covers both local-stationarity and break point models. A key feature of the test is that its asymptotic distribution is a functional of the standard Brownian bridge sheet in [0,1] 2 , so that it does not depend on any unknown quantity. The test has nontrivial power against local alternatives converging to the null hypothesis at a T −1/2 rate, where T is the sample size. We also examine an easy-to-implement…

强横截面相关下大规模动态面板的推断与时间断点检验AI 解读

In this paper we provide a new Central Limit Theorem for estimators of the slope papers in large dynamic panel data models (where both n and T increase without bound) in the presence of, possibly, strong cross-sectional dependence. We proceed by providing two related tests for breaks/homogeneity in the time dimension. The first test is based on the CUSUM principle; the second test is based on a Hausman–Durbin–Wu approach. Some of the key features of the tests are that they…

格点过程的模型设定检验AI 解读

We consider an omnibus test for the correct specification of the dynamics of a sequence $\left\{ {x\left( t \right)} \right\}_{t \in Z^d } $ in a lattice. As it happens with causal models and d = 1, its asymptotic distribution is not pivotal and depends on the estimator of the unknown parameters of the model under the null hypothesis. One first main goal of the paper is to provide a transformation to obtain an asymptotic distribution that is free of nuisance parameters.…

全样本范围内的结构稳定性检验AI 解读

The paper examines a Lagrange Multiplier type test for the constancy of the parameter in general models with dependent data without imposing any artificial choice of the possible location of the break. In order to prove the asymptotic behaviour of the test, we extend a strong approximation result for partial sums of a sequence of random variables. We also present a Monte-Carlo experiment to examine the finite sample performance of the test and how it compares with tests…

自助法辅助的 ARFIMA 模型设定检验AI 解读

This paper proposes bootstrap assisted specification tests for the autoregressive fractionally integrated moving average model based on the Bartlett T p -process with estimated parameters whose limiting distribution under the null depends on the estimated model and the estimation method employed. The computation of the asymptotic critical values is not easy if at all possible under these circumstances. To circumvent this problem Delgado, Hidalgo, and Velasco (2005, Annals of…

格点过程的拟合优度检验AI 解读

The paper discusses tests for the correct specification of a model when data is observed in a d-dimensional lattice, extending previous work when the data is collected in the real line. As it happens with the latter type of data, the asymptotic distributions of the tests are functionals of a Gaussian sheet process, say , [nu][set membership, variant][0,[pi]]d. Since it is not easy to find a time transformation h([nu]) such that becomes the standard Brownian sheet, a…

动态线性模型的分布无关设定检验AI 解读

-process of the residuals. This transformation approximates the martingale component of the process so that it converges weakly to the standard Brownian motion under the null hypothesis. One feature of our setup is that we do not require to specify the dynamic structure of the regressors. Due to this, the transformation employs a semi-parametric correction that does not restrict the class of local alternatives that our tests can detect, in contrast with other works using…

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线性过程的分布无关拟合优度检验AI 解读

This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett Tp-process with estimated parameters, which converges in distribution to the standard Brownian motion under the null hypothesis. We discuss tests of different natures such as omnibus, directional…

周期性的参数自助检验AI 解读

The paper proposes a simple test for the hypothesis of strong cycles and as a by-product a test for weak dependence for linear processes. We show that the limit distribution of the test is the maximum of a (semi)Gaussian process G (τ), τ ∈ [0; 1]. Because the covariance structure of G (τ) is a complicated function of τ and model dependent, to obtain the critical values (if possible) of maxτ∈[0;1] G (τ) may be difficult. For this reason we propose a bootstrap scheme in the…

谱密度具有未知极点的平稳过程半参数估计AI 解读

We consider the estimation of the location of the pole and memory parameter, λ0 and α, respectively, of covariance stationary linear processes whose spectral density function f(λ) satisfies f(λ)∼C|λ−λ0|−α in a neighborhood of λ0. We define a consistent estimator of λ0 and derive its limit distribution Zλ0. As in related optimization problems, when the true parameter value can lie on the boundary of the parameter space, we show that Zλ0 is distributed as a normal random…

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We show that it is possible to adapt to nonparametric disturbance autocorrelation in time series regression in the presence of long memory in both regressors and disturbances by using a smoothed nonparametric spectrum estimate in frequency–domain generalized least squares. When the collective memory in regressors and disturbances is sufficiently strong, ordinary least squares is not only asymptotically inefficient but asymptotically non–normal and has a slow rate of…

长程依赖下的非参数 Granger 因果检验AI 解读

This paper introduces a nonparametric Granger-causality test for covariance stationary linear processes under, possibly, the presence of long-range dependence. We show that the test is consistent and has power against contiguous alternatives converging to the parametric rate T−1/2. Since the test is based on estimates of the parameters of the representation of a VAR model as a, possibly, two-sided infinite distributed lag model, we first show that a modification of Hannan's…

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