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高阶序列相关下基于回归的季节单位根检验性质AI 解读

We analyze the behavior of widely used regression-based tests for seasonal unit roots when the shocks are serially correlated. We show, in the quarterly case, that the common assumption that serial correlation may be accommodated by augmenting the test regression with appropriate lagged seasonal differences is only partially correct. The limiting null distributions of t statistics for unit roots at the zero and Nyquist frequencies are corrected by the lag augmentation, but…

C([0,1]) 上的积分不等式与近单整下 OLS 的离散程度AI 解读

We obtain an inequality for the sample variance of a vector Brownian motion on [0,1] and an associated Ornstein–Uhlenbeck process. The result is applied to a regression involving near-integrated regressors, and establishes that in the limit the dispersion of the least squares estimator is greater in the near-integrated than in the integrated case. Our proof uses a quite general integral inequality, which appears to be new.

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随机游走水平穿越次数的极限分布与简单单位根检验AI 解读

We derive the limit distribution of the number of crossings of a level by a random walk with continuously distributed increments, using a Brownian motion local time approximation. This complements the well-known result for the random walk on the integers. Use of the frequency of level crossings to test for a unit root is examined.

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季节调整滤波器的不可观测成分模型AI 解读

Time series models are presented, for which the seasonal-component estimates delivered by linear least squares signal extraction closely approximate those of the standard option of the widely-used Census X-11 program. Earlier work is extended by consideration of a broader class of models and by examination of asymmetric filters, in addition to the symmetric filter implicit in the adjustment of historical data. Various criteria that guide the specification of unobserved-…