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重新评估增长脆弱性AI 解读

Summary This paper replicates the results of Adrian et al. ( American Economic Review , 2019) that GDP growth volatility is mainly driven by the lower quantiles of the distribution which is predicted by the financial condition. It extends their study by estimating the model with the IVX‐QR estimator of Lee ( Journal of Econometrics , 2016) and double weighted estimator of Cai et al. ( Journal of Econometrics , 2022) considering that the financial condition index is highly…

利用平滑聚类标准误进行时间序列模型推断AI 解读

This paper proposes a long run variance estimator for conducting inference in time series regression models that combines the nonparametric approach with a cluster approach. The basic idea is to divide the time periods into non-overlapping clusters. The long run variance estimator is constructed by first aggregating within clusters and then kernel smoothing across clusters or applying the nonparametric series method to the clusters with Type II discrete cosine transform. We…