论文检索

以平稳与非平稳混合因子预测非平稳时间序列AI 解读

We develop a method for constructing prediction intervals for a nonstationary variable, such as GDP. The method uses a Factor Augmented Regression (FAR) model. The predictors in the model include a small number of factors generated to extract most of the information in a set of panel data on a large number of macroeconomic variables that are considered to be potential predictors. The novelty of this article is that it provides a method and justification for a mixture of…

动态条件分布模型的自助法设定检验AI 解读

This paper proposes bootstrap based tests for the specification of a given parametric conditional distribution in autoregressive time series with GARCH-type disturbances. The tests are based on an estimated residual empirical process and are implemented by parametric bootstrap. We show that the proposed tests are asymptotically valid, consistent, and have nontrivial asymptotic power against a large proportion of local alternatives. Our approach relies on non-primitive…

乘法误差模型中基于自助法的概率预测AI 解读

As evidenced by an extensive empirical literature, multiplicative error models (MEM) show good performance in capturing the stylized facts of nonnegative time series; examples include, trading volume, financial durations, and volatility. This paper develops a bootstrap based method for producing multi-step-ahead probability forecasts for a nonnegative valued time-series obeying a parametric MEM. In order to test the adequacy of the underlying parametric model, a class of…

一类马尔可夫乘法误差模型的条件均值失拟检验AI 解读

Abstract The family of multiplicative error models, introduced by Engle (2002, Journal of Applied Econometrics 17, 425–446), has attracted considerable attention in recent literature for modeling positive random variables, such as the duration between trades at a stock exchange, volume transactions, and squared log returns. Such models are also applicable to other positive variables such as waiting time in a queue, daily/hourly rainfall, and demand for electricity. This…