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I(2) 变量协整的统计分析AI 解读

This paper discusses inference for I(2) variables in a VAR model. The estimation procedure suggested consists of two reduced rank regressions. The asymptotic distribution of the proposed estimators of the cointegrating coefficients is mixed Gaussian, which implies that asymptotic inference can be conducted using the χ 2 distribution. It is shown to what extent inference on the cointegration ranks can be conducted using the tables already prepared for the analysis of…

长期与短期结构的识别：ISLM 模型应用AI 解读

In this paper we discuss the problem of identification in a model with cointegration. It is pointed out that there is an identification problem for both long-run parameters and short-run parameters. The identification of the equations and the cointegrating relations is achieved by linear restrictions on the parameters and a criterion for a statistical model to be identifying is given. We also define empirical identification of an estimated structure. A switching algorithm…

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二阶单整向量自回归过程的表示AI 解读

We investigate vector autoregressive processes and find the condition under which the processes are I (2). A representation theorem forsuch processes is proved and the interpretation of the AR model as an error correction model is discussed.

最大化似然函数的全局收敛算法AI 解读

In this paper we show global convergence, under very general assumptions, of iterative maximization procedures with cyclic fixing of groups of parameters, maximizing over the remaining parameters. Further we show that a slightly modified Newton procedure applied to the derivative of the reciprocal likelihood function in a one-dimensional exponential family, is globally convergent. We also prove that if the distribution of the sufficient statistic is infinitely divisible,…

加权线性回归残差平方和分布的 Welch–James 近似AI 解读

A general discussion is given of the approximate distribution of the residual sum of squares in a linear model in which a weighted analysis is made with weights estimated empirically as the reciprocals of variance estimates. Applications to testing hypotheses are made and various generalizations indicated. The initial results simplify those of James (1951, 1954).