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The dynamics of exchange rate volatility: A multivariate latent factor ARCH model
汇率波动的动态：多变量潜在因子 ARCH 模型
Abstract We study temporal volatility patterns in seven nominal dollar spot exchange rates, all of which display strong evidence of autoregressive conditional heteroskedasticity (ARCH). We first formulate and estimate univariate models, the results of which are subsequently used to guide specification of a multivariate model. The key element of our multivariate approach is exploitation of factor structure, which facilitates tractable estimation via a substantial reduction in…
Prediction, Extraction, and Estimation in Unobserved Components Model
Prediction, Extraction, and Estimation in Unobserved Components Models
Selected Readings in Econometrics from Econometrica.
A Note on Error-Components Models
Further Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross Sections
A Note on Error Components Models
Pooling Cross Section and Time Series Data in the Estimation of a Dynamic Model: The Demand for Natural Gas
Use of the Durbin-Watson Statistic in Inappropriate Situations
IN RECENT years the Durbin-Watson statistic has been used uncritically to test for serial correlation the of relationships containing lagged endogenous which are estimated by single or simultaneous equations methods. When lagged endogenous are included an equation estimated by ordinary least squares, however, the Durbin-Watson statistic is asymptotically biased towards 2 (the value which it should have if no serial correlation is fact present). is doubtful, therefore, that…
A Comparison of a Modified “Hannan” and the Bls Seasonal Adjustment Filters
修正的 Hannan 季节调整滤波器与 BLS 滤波器的比较
In a previous paper [12], an attempt was made to show how spectral techniques could be used to compare the effects of two seasonal adjustment procedures on the series to which they were applied. The two procedures compared were: (a) the technique currently used by the Bureau of Labor Statistics for seasonally adjusting employment, unemployment, and labor force monthly statistics, and (b) the so-called “residual” method, proposed by Brittain [2], Samuelson [16], and others.…
A Comparison of a Modified "Hannan" and the BLS Seasonal Adjustment Filters
Spectral Analysis of Seasonal Adjustment Procedures
季节调整程序的谱分析
This paper discusses one of the uses to which two powerful techniques of modem time series analysis may be put in economics: namely, the study of the precise effects of seasonal adjustment procedures on the characteristics of the series to which they are applied. Since most economic data appearing at intervals of less than a year are to a greater or lesser extent manufactured from more basic time series, the problem of assessing the effects of the manufacturing processes…