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非线性与时间依赖AI 解读

Nonlinearities in the drift and diffusion coefficients influence temporal dependence in diffusion models. We study this link using three measures of temporal dependence: [rho]-mixing, [beta]-mixing and [alpha]-mixing. Stationary diffusions that are [rho]-mixing have mixing coefficients that decay exponentially to zero. When they fail to be [rho]-mixing, they are still [beta]-mixing and [alpha]-mixing; but coefficient decay is slower than exponential. For such processes we…

非线性主成分与多元扩散过程的长期含义AI 解读

We investigate a method for extracting nonlinear principal components (NPCs). These NPCs maximize variation subject to smoothness and orthogonality constraints; but we allow for a general class of constraints and multivariate probability densities, including densities without compact support and even densities with algebraic tails. We provide primitive sufficient conditions for the existence of these NPCs. By exploiting the theory of continuous-time, reversible Markov…

回到未来：构造连续时间马尔可夫过程的矩条件AI 解读

Continuous-time Markov processes can be characterized conveniently by their infinitesimal generators. For such processes there exist forward and reverse-time generators. The authors show how to use these generators to construct moment conditions implied by stationary Markov processes. Generalized method of moments estimators and tests can be constructed using these moment conditions. The resulting econometric methods are designed to be applied to discrete-time data obtained…

利用总量时间序列估计跨期替代模型AI 解读

In conducting empirical investigations of the permanent income model of consumption and the consumption-based intertemporal asset pricing model, various authors have imposed restrictions on the nature of the substitutability of consumption across goods and over time.In this paper we suggest a method for testing some of these restrictions and present empirical results using this approach.Our empirical analyses focuses on three questions: (1) Can the services from durable and…

多期条件矩限制所蕴含的效率界AI 解读

In this article we study a class of econometric models that imply a set of multiperiod conditional moment restrictions. These restrictions depend on an unknown parameter vector. We construct an extensive class of consistent, asymptotically normal estimators of this parameter vector and calculate the greatest lower bound for the asymptotic covariance matrices of estimators in this class. In so doing, we extend results reported by Hansen (1985) and Stoica, Söderström, and…

广义矩估计量渐近协方差矩阵下界的计算方法AI 解读

For many time series estimation problems, there is an infinite-dimensional class of generalized method of moments estimators that are consistent and asymptotically normal. This paper suggests a procedure for calculating the greatest lower bound for the asymptotic covariance matrices of such estimators. The analysis focuses on estimation problems in which the data are generated by a stochastic process that is stationary and ergodic. The calculation of the bound uses…

有理谱密度模型中混叠问题的维度AI 解读

This paper reconsiders the aliasing problem of identifying the parameters of a continuous time stochastic process from discrete time data. It analyzes the extent to which restricting attention to processes with rational spectral density matrices reduces the number of observationally equivalent models. It focuses on rational specifications of spectral density matrices since rational parameterizations are commonly employed in the analysis of the time series data.