论文检索

季节协整过程的完全修正估计AI 解读

We extend the framework of the fully modified, ordinary least squares (OLS) estimator introduced by Phillips and Hansen (1990) to the case of seasonally cointegrated processes at a given frequency. First we extend a weak convergence result of sample covariance matrices (Phillips, 1988) to the case of seasonal unit roots. Using a complex number framework, we then show that we can take into account the constraints that exist in a situation of seasonal cointegration as…

摘要暂缺

摘要暂缺

具有多种隐含单位根的多元时间序列：第二部分AI 解读

This paper extends the statistical results obtained by Gregoir and Laroque (1994, Journal of Econometrics 63, 183–214). It develops statistical tools to analyze multivariate time series that can be represented under an autoregressive equation of finite order with various polynomial error correction terms at various frequencies with possibly a non-null deterministic part as introduced by Gregoir (1999, Econometric Theory 15, 435–468). We propose an estimation procedure that…

具有多种隐含单位根的多元时间序列：第一部分AI 解读

Following the approach proposed by Gregoir and Laroque (1993, Econometric Theory 9, 329–342), we consider a class of multivariate processes that, when differenced enough, yields covariance stationary processes whose determinant of the matrix series associated with their Wold representation has various unit roots with various orders of multiplicity we restrict to be integers. A representation theorem is provided that involves different polynomial error correction terms at…

摘要暂缺

多变量时间序列的多项式误差修正表示定理AI 解读

We consider a class of multivariate processes which, when differenced enough, yield covariance stationary processes whose determinants of the Wold representation have I as their only root on the unit circle. A representation theorem is proved for this class of processes that generalizes the Granger representation theorem.