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汇率与马尔可夫状态转换动态AI 解读

This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior. Two data frequencies, two sample periods, and various specifications are considered. Quarterly data yield inconclusive evidence; the test rejects neither random walk nor Markov switching. Monthly…

带宽选择、预白化与 Phillips–Perron 检验的功效AI 解读

This study examines several important practical issues concerning nonparametric estimation of the innovation variance for the Phillips-Perron (PP) test. A Monte Carlo study is conducted to evaluate the potential effects of kernel choice, databased bandwidth selection, and prewhitening on the power property of the PP test in finite samples. The Monte Carlo results are instructive. Although the kernel choice is found to make little difference, data-based bandwidth selection…

进一步考察国民生产总值的单位根不确定性AI 解读

A more powerful version of the augmented Dickey–Fuller test and a test that has trend stationarity as the null are applied to U.S. gross national product. Simulated critical values generated from plausible trend- and difference-stationary models are used to minimize possible finite-sample biases. The discriminatory power of the two tests is evaluated using alternative-specific rejection frequencies. For postwar quarterly data, these two tests do not provide a definite…

区域股票市场的共同可预测成分AI 解读

This paper employs recently developed multivariate methods to study the predictability of international stock market returns. The authors find evidence of significant common predictable components within the Pacific, the European, and the North American stock markets using region-specific instrumental variables. The degree of predictability of these common movements, however, varies across regional markets and across subperiods. Results indicate that only North American…

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增广Dickey–Fuller检验的滞后阶数与临界值AI 解读

Response surface analysis is used to obtain approximate finite-sample critical values for the augmented Dickey-Fuller test. Previous studies estimating the critical values for the test have generally ignored their possible dependence on the lag order. This study shows that the lag order, in addition to the sample size, can affect finite-sample behavior of the test. The result points to the importance of correcting for the effect of lag order in applying the augmented…

增广 Dickey–Fuller 检验的滞后阶数与临界值AI 解读

Response surface analysis is used to obtain approximate finite-sample critical values for the augmented Dickey-Fuller test. Previous studies estimating the critical values for the test have generally ignored their possible dependence on the lag order. This study shows that the lag order, in addition to the sample size, can affect finite-sample behavior of the test. The result points to the importance of correcting for the effect of lag order in applying the augmented…

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购买力平价的分数协整分析AI 解读

A generalized.notion of cointegration, called fractional cointegration, is introduced to examine the long-run purchasing power parity hypothesis. By allowing deviations from equilibrium to follow a fractional process, the fractional cointegration analysis can capture a wider range of mean reversion behavior than standard cointegration analyses. This gain in flexibil ity in modeling mean-reverting dynamics is found to be important for evaluating long-run purchasing power…

汇率的长记忆AI 解读

Using the Geweke-Porter-Hudak test, the author finds evidence of long memory in exchange-rate data. This implies t hat the empirical evidence of unit roots in exchange rates may not be robust to long-memory alternatives. Fractionally integrated autoregressive moving average models are estimated by both the time-domain exact maximum likelihood method and the frequency-domain approximate maximum likelihood method. Impulse-response functions and forecasts based.on these…