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具有 ARCH 误差的次几何遍历自回归模型AI 解读

In this paper, we consider subgeometric (specifically, polynomial) ergodicity of univariate nonlinear autoregressions with autoregressive conditional heteroskedasticity (ARCH). The notion of subgeometric ergodicity was introduced in the Markov chain literature in the 1980s, and it means that the transition probability measures converge to the stationary measure at a rate slower than geometric; this rate is also closely related to the convergence rate of $\beta $ -mixing…

次几何遍历的自回归过程AI 解读

In this paper, we discuss how the notion of subgeometric ergodicity in Markov chain theory can be exploited to study stationarity and ergodicity of nonlinear time series models. Subgeometric ergodicity means that the transition probability measures converge to the stationary measure at a rate slower than geometric. Specifically, we consider suitably defined higher-order nonlinear autoregressions that behave similarly to a unit root process for large values of the observed…

混合自回归模型中依赖观测的状态切换检验AI 解读

Testing for regime switching when the regime switching probabilities are specified either as constants (‘mixture models’) or are governed by a finite-state Markov chain (‘Markov switching models’) are long-standing problems that have also attracted recent interest. This paper considers testing for regime switching when the regime switching probabilities are time-varying and depend on observed data (‘observation-dependent regime switching’). Specifically, we consider the…

结构向量自回归模型中异方差识别的检验AI 解读

Summary Tests for identification through heteroskedasticity in structural vector autoregressive analysis are developed for models with two volatility states where the time point of volatility change is known. The tests are Wald-type tests for which only the unrestricted model, including the covariance matrices of the two volatility states, has to be estimated. The residuals of the model are assumed to be from the class of elliptical distributions, which includes Gaussian…

非高斯结构向量自回归的识别与估计AI 解读

Conventional structural vector autoregressive (SVAR) models with Gaussian errors are not identified, and additional identifying restrictions are needed in applied work. We show that the Gaussian case is an exception in that a SVAR model whose error vector consists of independent non-Gaussian components is, without any additional restrictions, identified and leads to essentially unique impulse responses. Building upon this result, we introduce an identification scheme under…

高斯混合向量自回归AI 解读

This paper proposes a new nonlinear vector autoregressive (VAR) model referred to as the Gaussian mixture vector autoregressive (GMVAR) model. The GMVAR model belongs to the family of mixture vector autoregressive models and is designed for analyzing time series that exhibit regime-switching behavior. The main difference between the GMVAR model and previous mixture VAR models lies in the definition of the mixing weights that govern the regime probabilities. In the GMVAR…

非线性 AR–GARCH 模型的参数估计AI 解读

This paper develops an asymptotic estimation theory for nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a general nonlinear autoregression of order p (AR( p )) with the conditional variance specified as a general nonlinear first-order generalized autoregressive conditional heteroskedasticity (GARCH(1,1)) model. We do not require the rescaled errors to be independent, but instead only to form a stationary and ergodic martingale…

一类马尔可夫模型的遍历性、混合性与矩存在性AI 解读

This paper studies a class of Markov models that consist of two components. Typically, one of the components is observable and the other is unobservable or “hidden.” Conditions under which geometric ergodicity of the unobservable component is inherited by the joint process formed of the two components are given. This implies existence of initial values such that the joint process is strictly stationary and β-mixing. In addition to this, conditions for the existence of…

一类 GARCH 过程严格平稳的充要条件AI 解读

We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a, Journal of Econometrics 92, 173–192). This family contains various popular generalized autoregressive conditional heteroskedasticity (GARCH) models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given.This research was financially supported by the Jan Wallander's and Tom Hedelius' Foundation, Grant J03–41. The author thanks the…

自回归条件持续期模型的评价AI 解读

This article contains two novelties. First, a unified framework for testing and evaluating the adequacy of an estimated autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model and the time-varying ACD model, are introduced and their properties discussed. New misspecification tests for the ACD class of models are introduced. These are Lagrange multiplier and Lagrange multiplier–type tests against…