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美国银行间流动性风险网络的情景分位数连通性AI 解读

We characterize the U.S. interbank liquidity risk network based on a supervisory dataset, using a scenario-based quantile network connectedness approach. In terms of methodology, we consider a quantile vector autoregressive model with unobserved heterogeneity and propose a Bayesian nuclear norm estimation method. A common factor structure is employed to deal with unobserved heterogeneity that may exhibit endogeneity within the network. Then we develop a scenario-based…

具有共同冲击的联立空间面板数据模型AI 解读

We consider a simultaneous spatial panel data model, jointly modeling three effects: simultaneous effects, spatial effects and common shock effects. This joint modeling and consideration of cross-sectional heteroscedasticity result in a large number of incidental parameters. We propose two estimation approaches, a quasi-maximum likelihood method and an iterative generalized principal components method. We develop full inferential theories for the estimation approaches and…

含不可观测异质性的空间面板分位数模型AI 解读

This paper introduces a spatial panel quantile model with unobserved heterogeneity. The proposed model is capable of capturing high-dimensional cross-sectional dependence and allows heterogeneous regression coefficients. For estimating model parameters, a new estimation procedure is proposed. When both the time and cross-sectional dimensions of the panel go to infinity, the uniform consistency and the asymptotic normality of the estimated parameters are established. In order…

共同冲击面板模型中异质系数的有效估计AI 解读

This paper investigates the estimation and inference issues of heterogeneous coefficients in panel data models with common shocks. We propose a novel two-step method to estimate the heterogeneous coefficients. We establish the asymptotic theory of our estimators, including consistency, asymptotic representation, and limiting distribution. Our two-step method can effectively address the limitations of the existing methods, such as the common correlated effects method proposed…

高维约束因子模型的准极大似然分析AI 解读

Factor models have been widely used in practice. However, an undesirable feature of a high dimensional factor model is that the model has too many parameters. An effective way to address this issue, proposed in a seminar work by Tsai and Tsay (2010) is to decompose the loadings matrix by a high-dimensional known matrix multiplying with a low-dimensional unknown matrix, which Tsai and Tsay (2010) name the constrained factor models. This paper investigates the estimation and…

因子增广向量自回归模型的估计与推断AI 解读

The factor-augmented vector autoregressive (FAVAR) model is now widely used in macroeconomics and finance. In this model, observable and unobservable factors jointly follow a vector autoregressive process, which further drives the comovement of a large number of observable variables. We study the identification restrictions for FAVAR models, and propose a likelihood-based two-step method to estimate the model. The estimation explicitly accounts for factors being partially…