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长期高频观测回归中的渐近 F 检验AI 解读

This paper proposes tests of linear hypotheses when the variables may be continuous-time processes with observations collected at a high sampling frequency over a long span. Utilizing series long run variance (LRV) estimation in place of the traditional kernel LRV estimation, we develop easy-to-implement and more accurate F tests in both stationary and nonstationary environments. The nonstationary environment accommodates exogenous regressors that are general…

不相关创新时间序列模型的简单渐近 F 分布综合诊断检验AI 解读

We propose a simple asymptotically F-distributed portmanteau test for diagnostically checking whether the innovations in a parametric time series model are uncorrelated while allowing them to exhibit higher-order dependence of unknown forms. A transform of sample residual autocovariances removing the influence of parameter estimation uncertainty makes the test simple. Further, by employing the orthonormal series variance estimator, a special sample autocovariances estimator…

中度爆炸性的检验AI 解读

Summary This paper considers a moderately explosive AR(1) process where the autoregressive root approaches unity from the right at a certain rate. We first develop a test for the null of moderate explosiveness under independent and identically distributed errors. We show that the t statistic is asymptotically standard normal regardless of whether the true process is dominated by the stochastic moderately explosive trend or the deterministic nonlinear drift trend. This result…

评论AI 解读

I would like to congratulate the authors (Lazarus, Lewis, Stock, and Watson, LLSW hereafter) for the timely and authoritative practical recommendations for heteroscedasticity and autocorrelation ro...

协整系统中简易、稳健且精确的 F 与 t 检验AI 解读

This paper proposes new, simple, and more accurate statistical tests in a cointegrated system that allows for endogenous regressors and serially dependent errors. The approach involves first transforming the time series using orthonormal basis functions in L 2 [0, 1], which have energy concentrated at low frequencies, and then running an augmented regression based on the transformed data and constructing the test statistics in the usual way. The approach is essentially the…

时间序列核平滑预渐近推断的固定带宽视角AI 解读

This paper develops robust testing procedures for nonparametric kernel methods in the presence of temporal dependence of unknown forms. Based on the fixed-bandwidth asymptotic variance and the pre-asymptotic variance, we propose a heteroskedasticity and autocorrelation robust (HAR) variance estimator that achieves double robustness — it is asymptotically valid regardless of whether the temporal dependence is present or not, and whether the kernel smoothing bandwidth is held…

评述AI 解读

Müller applies the theory of optimal statistical testing to heteroscedasticity and autocorrelation robust (HAR) inference in the presence of strong autocorrelation. As a starting point, Müller uses...

可能误设的半非参数时间序列模型的筛推断AI 解读

This paper establishes the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi-nonparametric time series models. We show that, even when the sieve score process is not a martingale difference sequence, the asymptotic variance in the case of irregular functionals is the same as those for independent data. Using an orthonormal series long run variance estimator, we construct a “pre-asymptotic” Wald statistic and show that it is…

采用正交级数方差估计量的异方差与自相关稳健 F 检验AI 解读

The paper develops a new heteroskedasticity and autocorrelation robust test in a time series setting. The test is based on a series long‐run variance matrix estimator that involves projecting the time series of interest onto a set of orthonormal bases and using the sample variance of the projection coefficients as the long‐run variance estimator. When the number of orthonormal bases K is fixed, a finite‐sample‐corrected Wald statistic converges to a standard F distribution.…

采用级数方差估计与检验最优平滑参数的稳健趋势推断AI 解读

The paper develops a novel testing procedure for hypotheses on deterministic trends in a multivariate trend stationary model. The trends are estimated by the OLS estimator and the long run variance (LRV) matrix is estimated by a series type estimator with carefully selected basis functions. Regardless of whether the number of basis functions K is fixed or grows with the sample size, the Wald statistic converges to a standard distribution. It is shown that critical values…

短面板向量自回归中脉冲响应函数的渐近分布AI 解读

This paper establishes the asymptotic distributions of the impulse response functions in panel vector autoregressions with a fixed time dimension. It also proves the asymptotic validity of a bootstrap approximation to their sampling distributions. The autoregressive parameters are estimated using the GMM estimators based on the first differenced equations and the error variance is estimated using an extended analysis-of-variance type estimator. Contrary to the time series…

异方差与自相关稳健检验中的最优带宽选择AI 解读

In time series regressions with nonparametrically autocorrelated errors, it is now standard empirical practice to use kernel-based robust standard errors that involve some smoothing function over the sample autocorrelations. The underlying smoothing parameter b, which can be defined as the ratio of the bandwidth (or truncation lag) to the sample size, is a tuning parameter that plays a key role in determining the asymptotic properties of the standard errors and associated…

不增加方差的长记忆参数偏差缩减对数周期图与 Whittle 估计AI 解读

The bias-reduced log-periodogram estimator of Andrews and Guggenberger (2003, Econometrica 71, 675–712) for the long-memory parameter d in a stationary long-memory time series reduces the asymptotic bias of the original log-periodogram estimator of Geweke and Porter-Hudak (1983) by an order of magnitude but inflates the asymptotic variance by a multiplicative constant cr, for example, c1 = 2.25 and c2 = 3.52. In this paper, we introduce a new, computationally attractive…

非平稳面板时间序列长期平均关系的估计AI 解读

This paper proposes a new class of estimators of the long-run average relationship in nonstationary panel time series. The estimators are based on the long-run average variance estimate using bandwidth equal to T. The new estimators include the pooled least squares estimator and the fixed effects estimator as special cases. It is shown that the new estimators are consistent and asymptotically normal under both the sequential limit, wherein T → ∞ followed by n → ∞, and the…

理解费雪方程AI 解读

Abstract It is argued that univariate long memory estimates based on ex post data tend to underestimate the persistence of ex ante variables (and, hence, that of the ex post variables themselves) because of the presence of unanticipated shocks whose short‐run volatility masks the degree of long‐range dependence in the data. Empirical estimates of long‐range dependence in the Fisher equation are shown to manifest this problem and lead to an apparent imbalance in the memory…

伪回归中具有极限分布的 t 统计量AI 解读

This paper investigates the asymptotic properties of the t-statistic in spurious regressions when the bandwidth in the estimation of the heteroskedasticity and autocorrelation consistent (HAC) standard error is set proportional to the sample size. Using autocovariances of large lags, the so-defined HAC estimator is capable of capturing the high persistence of the regressor and regression residuals. It is shown that the resulting t-statistic converges to a nondegenerate…