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时间序列模型参数与异常值效应的联合估计AI 解读

Time series data are often subject to uncontrolled or unexpected interventions, from which various types of outlying observations are produced. Outliers in time series, depending on their nature, may have a moderate to significant impact on the effectiveness of the Standard methodology for time series analysis with respect to model identification, estimation, and forecasting. In this article we use an iterative outlier detection and adjustment procedure to obtain joint…

有理分布滞后结构模型中的滞后设定AI 解读

This article presents methods for the preliminary specification of distributed lags in structural models in the absence of sufficient a priori information. It is argued that an instrumental-variables procedure produces good results as long as the goodness of fit in the instrument equations is satisfactory. When this is not the case, simple OLS specification is preferable to more complex instrumental-variables methods, even though it may produce some spurious parameters. The…

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