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适度偏离单位根过程的伪回归与协整稳健推断AI 解读

This paper studies spurious regressions involving processes moderately deviated from a unit root (PMDURs), and establishes the limiting distributions for the least squares estimator, the associated t-statistic, the coefficient of determination R2 and the Durbin–Watson statistic. We find that these limiting distributions critically depend on nuisance parameters that characterize the local deviations from unity, making inference for spurious regressions practically impossible…

双重非线性协整的估计AI 解读

In recent years statistical inference for nonlinear cointegration has attracted attention from both academics and practitioners. This paper proposes a new type of cointegration in the sense that two univariate time series yt and xt are cointegrated via two (unknown) smooth nonlinear transformations, further generalizing the notion of cointegration initially revealed by Box and Tiao (1977), and more systematically studied by Engle and Granger (1987). More precisely, it holds…