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预测分位数回归中的统计推断AI 解读

This paper studies inference in predictive quantile regressions when the predictive regressor has a near-unit root. We derive asymptotic distributions for the quantile regression estimator and its heteroskedasticity and autocorrelation consistent (HAC) t -statistic in terms of functionals of Ornstein–Uhlenbeck processes. We then propose a switching-fully modified (FM) predictive test for quantile predictability. The proposed test employs an FM style correction with a…

含误分类且内生二元解释变量的回归模型识别AI 解读

We study identification in nonparametric regression models with a misclassified and endogenous binary regressor when an instrument is correlated with misclassification error. We show that the regression function is nonparametrically identified if one binary instrument variable and one binary covariate satisfy the following conditions. The instrumental variable corrects endogeneity; the instrumental variable must be correlated with the unobserved true underlying binary…

区制转换计量模型中极大似然估计量的渐近性质AI 解读

Markov regime switching models have been widely used in numerous empirical applications in economics and finance. However, the asymptotic distribution of the maximum likelihood estimator (MLE) has not been proven for some empirically popular Markov regime switching models. In particular, the asymptotic distribution of the MLE has been unknown for models in which some elements of the transition probability matrix have the value of zero, as is commonly assumed in empirical…

正态混合回归模型的成分数量检验AI 解读

Testing the number of components in finite normal mixture models is a long-standing challenge because of its nonregularity. This article studies likelihood-based testing of the number of components in normal mixture regression models with heteroscedastic components. We construct a likelihood-based test of the null hypothesis of m0 components against the alternative hypothesis of m0 + 1 components for any m0. The null asymptotic distribution of the proposed modified EM test…

多元混合模型成分数的非参数识别与估计AI 解读

Summary We analyse the identifiability of the number of components in k-variate, M-component finite mixture models in which each component distribution has independent marginals, including models in latent class analysis. Without making parametric assumptions on the component distributions, we investigate how one can identify the number of components from the distribution function of the observed data. When k⩾2, a lower bound on the number of components (M) is…

分数协整系统的精确局部 Whittle 估计AI 解读

Semiparametric estimation of a bivariate fractionally cointegrated system is considered. We propose a two-step procedure that accommodates both (asymptotically) stationary (δ<1/2) and nonstationary (δ≥1/2) stochastic trend and/or equilibrium error. A tapered version of the local Whittle estimator of Robinson (2008) is used as the first-stage estimator, and the second-stage estimator employs the exact local Whittle approach of Shimotsu and Phillips (2005). The consistency and…

经验似然区块自助法AI 解读

Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated. Several block bootstrap techniques have been proposed to correct the problem, including Hall and Horowitz (1996) and Inoue and Shintani (2006). We propose an empirical likelihood block bootstrap procedure to improve inference where models are characterized…

未知均值与时间趋势下的分数单整精确局部 Whittle 估计AI 解读

Recently, Shimotsu and Phillips (2005, Annals of Statistics 33, 1890–1933) developed a new semiparametric estimator, the exact local Whittle (ELW) estimator, of the memory parameter ( d ) in fractionally integrated processes. The ELW estimator has been shown to be consistent, and it has the same $N(0,{\textstyle{1 \over 4}})$ asymptotic distribution for all values of d , if the optimization covers an interval of width less than 9/2 and the mean of the process is known. With…

回归变量持续性未知时的协方差正交性检验AI 解读

This paper develops a new test of orthogonality based on a zero restriction on the covariance between the dependent variable and the predictor. The test provides a useful alternative to regression-based tests when conditioning variables have roots close or equal to unity. In this case standard predictive regression tests can suffer from well-documented size distortion. Moreover, under the alternative hypothesis, they force the dependent variable to share the same order of…

结构离散马尔可夫决策模型的伪似然估计与自助推断AI 解读

This paper analyzes the higher-order properties of the estimators based on the nested pseudo-likelihood (NPL) algorithm and the practical implementation of such estimators for parametric discrete Markov decision models. We derive the rate at which the NPL algorithm converges to the MLE and provide a theoretical explanation for the simulation results in Aguirregabiria and Mira [Aguirregabiria, V., Mira, P., 2002. Swapping the nested fixed point algorithm: A class of…

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分数单整的精确局部 Whittle 估计AI 解读

An exact form of the local Whittle likelihood is studied with the intent of developing a general-purpose estimation procedure for the memory parameter (d) that does not rely on tapering or differencing prefilters. The resulting exact local Whittle estimator is shown to be consistent and to have the same $N(0,\frac{1}{4})$ limit distribution for all values of d if the optimization covers an interval of width less than $\frac{9}{2}$ and the initial value of the process is…

非平稳与单位根情形下的局部Whittle估计AI 解读

Asymptotic properties of the local Whittle estimator in the nonstationary case (d>½) are explored. For ½ 1 and when the process has a polynomial trend of order α>½, the estimator is shown to be inconsistent and to converge in probability to unity.