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整数单整原假设对分数单整备择的检验AI 解读

This paper proposes a test of the null of integer integration against the alternative of fractional integration. The null of integer integration is satisfied if the series is either I(0) or I(1). We reject the null if the KPSS test rejects I(0) and a unit root test rejects I(1). We suggest a new unit root test (a lower-tail KPSS test applied to the differenced data) to use in this procedure. We provide critical values under standard asymptotics and fixed-b asymptotics. We…

厚尾误差下的短记忆检验AI 解读

In this article, we consider the robustness to fat tails of four stationarity tests. We also consider their sensitivity to the number of lags used in long-run variance estimation, and the power of the tests. Lo's modified rescaled range (MR/S) test is not very robust. Choi's Lagrange multiplier (LM) test has excellent robustness properties but is not generally as powerful as the Kwiatkowski–Phillips–Schmidt–Shin (KPSS) test. As an analytical framework for fat tails, we…

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以平稳性为原假设、单位根为备择的检验AI 解读

We propose a test of the null hypothesis that an observable series is stationary around a deterministic trend. The series is expressed as the sum of deterministic trend, random walk, and stationary error, and the test is the LM test of the hypothesis that the random walk has zero variance. The asymptotic distribution of the statistic is derived under the null and under the alternative that the series is difference-stationary. Finite sample size and power are considered in a…

存在漂移时单位根的插值检验AI 解读

This paper considers tests of the null hypothesis of a unit root in an observed time series against the alternative that the series is level stationary. Interpolation tests whose critical values depend upon the value of the drift parameter are compared to the standard Dickey-Fuller tests in Monte Carlo simulations. The interpolation test performs quite well especially against one-sided alternatives.

This paper considers tests of the null hypothesis of a unit root in an observed time series against the alternative that the series is level stationary. Interpolation tests whose critical values depend upon the value of the drift parameter are compared to the standard Dickey-Fuller tests in Monte Carlo simulations. The interpolation test performs quite well especially against one-sided alternatives.

用修正 Almon 滞后逼近任意分布滞后结构AI 解读

A uniform approximation of any arbitrary lag structure can be achieved from a distributed lag formulation which is a combination of the Almon and geometric lag formulations.

用修正 Almon 滞后逼近任意分布滞后结构AI 解读

A uniform approximation of any arbitrary lag structure can be achieved from a distributed lag formulation which is a combination of the Almon and geometric lag formulations.

Almon 分布滞后模型的一种修正AI 解读

This article modifies the Almon polynomial distributed lag to allow for a lag of infinite length. Estimation of the model is considered, and an empirical example is given to illustrate the usefulness of the model

Almon 分布滞后模型的一种修正AI 解读

This article modifies the Almon polynomial distributed lag to allow for a lag of infinite length. Estimation of the model is considered, and an empirical example is given to illustrate the usefulness of the model

计量经济模型动态模拟中预测的渐近分布AI 解读

This paper considers the asymptotic distribution of forecasts made several time periods in the future. Such forecasts typically arise in the dynamic simulation of an econometric model.

具有向量自回归误差的似乎不相关回归估计AI 解读

We derive an asymptotically efficient method of estimating the coefficients of systems of seemingly unrelated regression equations when a first-order vector autoregressive error specification is hypothesized. This error specification is shown to contain several commonly used specifications as special cases. A Monte Carlo experiment was performed to examine the finite sample performance of our estimator in comparison with several other estimators. The general results were…

向量自回归误差下的似不相关回归估计AI 解读

We derive an asymptotically efficient method of estimating the coefficients of systems of seemingly unrelated regression equations when a first-order vector autoregressive error specification is hypothesized. This error specification is shown to contain several commonly used specifications as special cases. A Monte Carlo experiment was performed to examine the finite sample performance of our estimator in comparison with several other estimators. The general results were…