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因子模型的极限定理AI 解读

This paper establishes central limit theorems (CLTs) and proposes how to perform valid inference in factor models. We consider a setting where many counties/regions/assets are observed for many time periods, and when estimation of a global parameter includes aggregation of a cross-section of heterogeneous microparameters estimated separately for each entity. The CLT applies for quantities involving both cross-sectional and time series aggregation, as well as for quadratic…

计算Andrews稳定性检验临界值的另一种数值方法AI 解读

We propose a method, alternative to that of Estrella (2003, Econometric Theory 19, 1128–1143), of obtaining exact asymptotic p -values and critical values for the popular Andrews (1993, Econometrica 61, 821–856) test for structural stability. The method is based on inverting an integral equation that determines the intensity of crossing a boundary by the asymptotic process underlying the test statistic. Further integration of the crossing intensity yields a p -value. The…

滞后解释变量冗余性的再考察AI 解读

In a recent Econometric Theory problem, it was demonstrated that in a conditionally heteroskedastic time series regression with martingale difference errors the use of lagged values of regressors as instruments may not increase the efficiency of estimation relative to ordinary least squares. We provide an example of an analogous phenomenon in a model with serially correlated errors, where the optimal instrumental variables estimator is asymptotically as efficient as the…

GMM、GEL、序列相关与渐近偏差AI 解读

For stationary time series models with serial correlation, we consider generalized method of moments (GMM) estimators that use heteroskedasticity and autocorrelation consistent (HAC) positive definite weight matrices and generalized empirical likelihood (GEL) estimators based on smoothed moment conditions. Following the analysis of Newey and Smith (2004) for independent observations, we derive second order asymptotic biases of these estimators. The inspection of bias…

多期条件矩限制下最优非线性工具变量的形式AI 解读

We present the form of the optimal instrument in a system of multiperiod conditional moment restrictions in the presence of conditional heteroskedasticity. Using Hansen's (1985, Journal of Econometrics 30, 203–228) and Hansen, Heaton, and Ogaki's (1988, Journal of the American Statistical Association 83, 863–871) work on efficiency bounds for generalized method of moments estimators, we show that this form is an autoregressive recurrence parametrized by a few auxiliary…