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如何解释收敛假说检验AI 解读

This paper provides a framework for understanding the cross- section and time series approaches which have been used to test the convergence hypothesis. First, we present two definitions of convergence which capture the implications of the neoclassical growth model for the relationship between current and future cross-country output differences. Second, we identify how the cross-section and time series approaches relate to these definitions. Cross-section tests are shown to…

国际产出的收敛AI 解读

Abstract This paper proposes and tests new definitions of convergence and common trends for per capita output. We define convergence for a group of countries to mean that each country has identical long‐run trends, either stochastic or deterministic, while common trends allow for proportionality of the stochastic elements. These definitions lead naturally to the use of cointegration techniques in testing. Using century‐long time series for 15 OECD economies, we reject…

基于谱分析的鞅假设检验AI 解读

This paper proposes a method of testing whether a time series is a martingale. A general asymptotic theory is developed for the spectral distribution function of the first differences. Under the null hypothesis, the spectral distribution function is shaped as a straight line. Several tests are developed which determine whether the sample spectral distribution function possesses this shape. These tests are consistent against all MA alternatives. Additional tests are developed…

时间序列分析中的趋势与随机游走AI 解读

This paper studies the effects of spurious detrending in regression. The asymptotic behavior of traditional least squares estimators and tests are examined in the context of models where the generating mechanism is systematically misspecified by the presence of deterministic time trends. Most previous work on the subject has relied upon Monte Carlo studies to understand the issues involved in detrending data that is generated by integrated processes and our analytical…