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季节单位根检验与初始条件的作用AI 解读

In the context of regression-based (quarterly) seasonal unit root tests, we examine the impact of initial conditions (one for each quarter) of the process on test power. We investigate the behaviour of the well-known OLS detrended HEGY seasonal unit root tests together with their quasi-differenced (QD) detrended analogues, when the initial conditions are not asymptotically negligible. We show that the asymptotic local power of a test at a given frequency depends on the value…

一种简单、稳健且高功效的线性趋势检验AI 解读

In this paper we develop a simple test procedure for a linear trend which does not require knowledge of the form of serial correlation in the data, is robust to strong serial correlation, and has a standard normal limiting null distribution under either I(0) or I(1) shocks. In contrast to other available robust linear trend tests, our proposed test achieves the Gaussian asymptotic local power envelope in both the I(0) and I(1) cases. For near-I(1) errors our proposed…

时间序列线性检验AI 解读

process, and is consistent against non-linearity of either form. Finite sample simulation evidence, together with empirical evidence from an application to US Dollar real exchange rates, suggests that our procedure should work well in practice. Copyright Royal Economic Society 2007

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单位根检验与初始观测值AI 解读

Recent work has highlighted the crucial dependence of the power of existing unit root tests on the deviation of the initial observation from the deterministic component of the series. In practical applications, it is useful to have a test available with power more robust to the initial condition. In this paper, we propose such a procedure based on a data-dependent weighted average of the standard Dickey--Fuller and Elliott--Rothenberg--Stock tests. Simulation of the new…

英国宏观经济预测面板分析AI 解读

This paper looks at unobserved components models and examines the implied weighting patterns for signal extraction. There are four main themes. The first concerns the implications of correlated disturbances driving the components, especially those cases in which the correlation is perfect. The second is about the way in which ARIMA-based methods for trend extraction relate to those based on unobserved components. The third explores the impact of heteroscedasticity and…

备择假设下存在断点时 Dickey–Fuller t 检验的行为AI 解读

This paper analyzes the limiting behavior of Dickey–Fuller t -tests when the true generating model is stationary around a broken linear trend. The cases of a break in level and a break in slope are considered separately and found to generate qualitatively different outcomes. In the asymptotic analysis, appropriate normalizations are applied to the break sizes. This leads to theoretical results that generate interesting predictions for sample sizes and break amounts of…

预测涵盖检验AI 解读

The authors consider the situation in which two forecasts of the same variable are available. The possibility exists of forming a combined forecast as a weighted average of the individual ones and estimation the weights that should be optimally attached to each forecast. If the entire weight should optimally be associated with one forecast, that forecast is said to encompass the other. A natural test for forecast encompassing is based on least squares regression. The authors…