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多预测变量下 GDP 即时预测的模型合并与选择：六个工业化国家的证据AI 解读

SUMMARY This paper discusses pooling versus model selection for nowcasting with large datasets in the presence of model uncertainty. In practice, nowcasting a low‐frequency variable with a large number of high‐frequency indicators should account for at least two data irregularities: (i) unbalanced data with missing observations at the end of the sample due to publication delays; and (ii) different sampling frequencies of the data. Two model classes suited in this context are…

时域中的长记忆检验AI 解读

An integration test against fractional alternatives is suggested for univariate time series. The new test is a completely regression-based, lag augmented version of the Lagrange multiplier (LM) test by Robinson (1991, Journal of Econometrics 47, 67–84). Our main contributions, however, are the following. First, we let the short memory component follow a general linear process. Second, the innovations driving this process are martingale differences with eventual conditional…