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似不相关协整多项式回归的完全修正OLS估计、推断与二氧化碳环境库兹涅茨曲线AI 解读

This paper develops two fully modified OLS (FM-OLS) estimators for systems of seemingly unrelated cointegrating polynomial regressions, i.e., systems of regressions that include deterministic variables, integrated processes, and integer powers of integrated processes as explanatory variables. The stationary errors are allowed to be serially correlated and the regressors to be endogenous. Furthermore, the errors and regressors are allowed to be dynamically cross-sectionally…

协整多项式回归的完全修正 OLS 估计与推断AI 解读

This paper develops a fully modified OLS (FM-OLS) estimator for cointegrating polynomial regressions, i.e., regressions that include as explanatory variables deterministic variables, integrated processes, and integer powers of integrated processes. The stationary errors are allowed to be serially correlated and the regressors are allowed to be endogenous. The paper extends the fully modified estimator of Phillips and Hansen (1990) from cointegrating regressions to…

协整关系的线性检验：购买力平价应用AI 解读

This article shows that when applied to nonstationary time series, the conventional Regression Error Specification Test (RESET) leads to severe size distortion and its asymptotic distribution involves a mixture of noncentral χ2 distributions. Nonstationarity introduces bias terms in the limit distribution, and appropriate corrections for the bias are presented leading to a modified RESET test that has a central χ2 limit distribution. In simulations, this modified test is…