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序列相关检验：广义Andrews–Ploberger检验AI 解读

This paper considers testing the null hypothesis that a times series is uncorrelated when the time series is uncorrelated but statistically dependent. This case is of interest in economic and finance applications. The GARCH(1, 1) model is a leading example of a model that generates serially uncorrelated but statistically dependent data. The tests of serial correlation introduced by Andrews and Ploberger (1996, hereafter AP) are generalized for the purpose of testing the…

异方差与自相关稳健检验的表现：蒙特卡洛研究及 Fama–French 三因子模型应用AI 解读

Abstract This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Fama–French three‐factor model. The null that the intercepts are zero is tested for 5‐year, 10‐year and longer sub‐periods. The conventional HAR test with asymptotic P ‐values rejects the null for…

发送者—接收者博弈中的学习与沟通：计量研究AI 解读

Abstract This paper compares stimulus response (SR) and belief‐based learning (BBL) using data from experiments with sender–receiver games. The environment, extensive form games played in a population setting, is novel in the empirical literature on learning in games. Both the SR and BBL models fit the data reasonably well in games where the preferences of senders and receivers are perfectly aligned and where the population history of the senders is known. The test results…

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股票市场数据的真实与伪长记忆性质AI 解读

We test for the presence of long memory in daily stock returns and their squares using a robust semiparametric procedure of Lobato and Robinson. Spurious results can be produced by nonstationarity and aggregation. We address these problems by analyzing subperiods of returns and using individual stocks. The test results show no evidence of long memory in the returns. By contrast, there is strong evidence in the squared returns.

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含趋势的AR(1)模型中自助t检验的水平与功效AI 解读

This paper considers a first-order autoregressive model which may include an intercept and trend where the innovations are independently and identically distributed. The innovation distribution is assumed unknown. The autoregressive parameter is tested using the conventional t statistic. The paper presents Monte Carlo estimates of the rejection probability of the test with bootstrap-based critical values. The results show that the test with the bootstrap-based critical value…

含趋势 AR(1) 模型中 Bootstrap t 检验的水平与功效AI 解读

This paper considers a first-order autoregressive model which may include an intercept and trend where the innovations are independently and identically distributed. The innovation distribution is assumed unknown. The autoregressive parameter is tested using the conventional t statistic. The paper presents Monte Carlo estimates of the rejection probability of the test with bootstrap-based critical values. The results show that the test with the bootstrap-based critical value…

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外推渐近局部功效的危险AI 解读

IN NONLINEAR MODELS the power function is often approximated by asymptotic methods. The most common approach is to consider the asymptotic local power function. The local power function is monotonic and it has essentially the same shape as the power function in the classical normal linear regression model. However, the accuracy of the approximation can be poor at nonlocal alternatives. This note examines the exact powers of the Wald test in the case of a one parameter…

平稳一阶自回归模型中的Student t近似AI 解读

The exact distribution of the regression t statistic for testing the value of the AR parameter in a Gaussian first ord er autoregressive model is investigated by Monte Carlo methods. The S tudent's t distribution is not a satisfactory approximation for sampl es typical in economic applications. The main problem is the location of the distribution of the t statistic rather than the shape. Once t he t statistic is adjusted so that it has the same mean and standard deviation as…

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随机游走模型参数最小二乘估计量极限分布的计算AI 解读

The limit distribution of the least squares estimator $\\hat{\\alpha}$ of the parameter $\\alpha$ of the first order stochastic difference equation, in the boundary case $\\alpha = 1$, is calculated.

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极端样本量或较多回归变量下的 Durbin–Watson 序列相关检验AI 解读

Recent studies by Durbin and Watson [5], L'Esperance and Taylor [10], Koerts and Abrahamse [8], Tillman [15], Vinod [16], Savin and White [14] and others have shown increasing interest in the test of autocorrelation based on the d statistic proposed by Durbin and Watson [3 and 4]. The focus of these papers has been the computation of the exact distribution of d and the power of the test based on d. The exact distribution of d has been developed by Imhof [7] and Pan Jie-Jian…

自回归扰动线性回归模型中检验程序的冲突AI 解读

Silvey [10]. For a model with nonstochastic regressors we show that a systematic inequality relation exists among the test statistics; namely, the value of the Wald statistic is greater than or equal to that of the LR statistic which, in turn, is greater than or equal to that of the LM statistic. When the null hypothesis is true, we find that the Wald, LR, and LM test statistics have identical limiting chi-square distributions. Since for a large sample test the three…

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