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基于频域回归的季节单位根检验AI 解读

This paper develops univariate seasonal unit root tests based on spectral regression estimators. An advantage of the frequency domain approach is that it enables serial correlation to be treated non-parametrically. We demonstrate that our proposed statistics have pivotal limiting distributions under both the null and near seasonally integrated alternatives when we allow for weak dependence in the driving shocks. This is in contrast to the popular seasonal unit root tests of,…

连续时间模型中的周期性趋势AI 解读

It is undoubtedly desirable that econometric models capture the dynamic behavior, like trends and cycles, observed in many economic processes. Building models with such capabilities has been an important objective in the continuous time econometrics literature, for instance, the cyclical growth models of Bergstrom (1966); the economy-wide macroeconometric models of, for example, Bergstrom and Wymer (1976); unobserved stochastic trends of Harvey and Stock (1988 and 1993) and…

含未知滞后参数的微分差分方程组估计AI 解读

This paper considers the estimation of the parameters of general systems of stochastic differential-difference equations in which the lag parameters themselves are treated as unknown and are not restricted to be integers and therefore form part of the parameter vector to be estimated. The asymptotic properties of an infeasible frequency domain maximum likelihood estimator are established in addition to those of a feasible version based on truncating an infinite series that…