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扩散Copula：识别与估计AI 解读

We propose a new semiparametric approach for modelling nonlinear univariate diffusions, where the observed process is a nonparametric transformation of an underlying parametric diffusion (UPD). This modelling strategy yields a general class of semiparametric Markov diffusion models with parametric dynamic copulas and nonparametric marginal distributions. We provide primitive conditions for the identification of the UPD parameters together with the unknown transformations…

N 固定时校正横截面依赖的新型面板协整检验AI 解读

In this paper, we propose new cointegration tests for single equations and panels. In both cases, the asymptotic distributions of the tests, which are derived with N fixed and T→∞, are shown to be standard normals. The effects of serial correlation and cross‐sectional dependence are mopped out via long‐run variances. An effective bias correction is derived, which is shown to work well in finite samples, particularly when N is smaller than T. Our panel tests are robust to…

利用样条与合流超几何函数估计期权隐含风险中性密度AI 解读

We examine the ability of two recent methods -- the smoothed implied volatility smile method (SML) and the density functionals based on confluent hypergeometric functions (DFCH) -- for estimating implied risk-neutral densities (RNDs) from European-style options. Two complementary Monte Carlo experiments are conducted and the performance of the two RND estimators is evaluated by the root mean integrated squared error (RMISE) criterion. Results from both experiments show that…

时间维度有限时异质面板数据的平稳性检验AI 解读

and hence makes the test valid for any (T, N) combination. The asymptotic distributions of the tests are derived under the null and are shown to be normally distributed. Their moments for T fixed are derived analytically using Ghazal's (1994, Statistics and Probability letters 20, 313--319) 1 lemma 1. Finite sample size and power are considered in a Monte Carlo experiment. The proposed tests have empirical sizes that are very close to the nominal 5% level. The Monte Carlo…

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This paper proposes a residual-based Lagrange multiplier (LM) test for a null that the individual observed series are stationary around a deterministic level or around a deterministic trend against the alternative of a unit root in panel data. The tests which are asymptotically similar under the null, belong to the locally best invariant (LBI) test statistics. The asymptotic distributions of the statistics are derived under the null and are shown to be normally distributed.…

双重异方差随机前沿成本函数的估计AI 解读

This article extends the results obtained by S. B. Caudill, J. M. Ford, and D. M. Gropper (1995) in estimating and testing stochastic frontier cost functions in the presence of heteroskedastic inefficiency using cross-section data. It suggests the estimation of the model under the assumption of heteroskedasticity in both random terms. This avoids any possible misspecification bias and the use of incorrect tests. The same data as used by Caudill, Ford, and Gropper supports…

VAR 维度对估计量偏误的影响AI 解读

Vector AutoRegressions (VARs) have now become the most popular tool of Time Series analysis amongst econometricians. Unfortunately, little is known about the analytic finite-sample properties of parameter estimators for such systems. The asymptotic analysis of VARs published to date does not address questions regarding the influence of the number and nature of the system's variates on parameter estimates. Clearly, both questions will have repercussions on the way VARs are…

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