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条件异方差分数单整 ARMA 模型的最小绝对偏差估计AI 解读

We consider a unified least absolute deviation estimator for stationary and nonstationary fractionally integrated autoregressive moving average models with conditional heteroscedasticity. Its asymptotic normality is established when the second moments of errors and innovations are finite. Several other alternative estimators are also discussed and are shown to be less efficient and less robust than the proposed approach. A diagnostic tool, consisting of two portmanteau…

通过共同因子建模多元时间序列AI 解读

We propose a new method for estimating common factors of multiple time series. One distinctive feature of the new approach is that it is applicable to some nonstationary time series. The unobservable, nonstationary factors are identified by expanding the white noise space step by step, thereby solving a high-dimensional optimization problem by several low-dimensional sub-problems. Asymptotic properties of the estimation are investigated. The proposed methodology is…

谱密度估计的同时置信带AI 解读

We propose a method for the construction of simultaneous confidence bands for a smoothed version of the spectral density of a Gaussian process based on nonparametric kernel estimators obtained by smoothing the periodogram. A studentized statistic is used to determine the width of the band at each frequency and a frequency-domain bootstrap approach is employed to estimate the distribution of the supremum of this statistic over all frequencies. We prove by means of strong…

具有长记忆设计与误差的异方差回归模型渐近推断AI 解读

This paper discusses asymptotic distributions of various estimators of the underlying parameters in some regression models with long memory (LM) Gaussian design and nonparametric heteroscedastic LM moving average errors. In the simple linear regression model, the first-order asymptotic distribution of the least square estimator of the slope parameter is observed to be degenerate. However, in the second order, this estimator is n1/2-consistent and asymptotically normal for…

扩散过程模型设定检验AI 解读

We propose a test for model specification of a parametric diffusion process based on a kernel estimation of the transitional density of the process. The empirical likelihood is used to formulate a statistic, for each kernel smoothing bandwidth, which is effectively a Studentized L2-distance between the kernel transitional density estimator and the parametric transitional density implied by the parametric process. To reduce the sensitivity of the test on smoothing bandwidth…

线性协整下区制切换误差修正模型的稳定性AI 解读

The paper obtains conditions that ensure stationarity of linear long-run equilibrium relations and differenced observations in vector autoregressive error correction models with nonlinear short-run dynamics. The considered models include various threshold error correction models and their smooth transition counterparts. These models assume that the form of the short-run dynamics depends on values of observable transition functions that determine the regime in which the…

分数布朗运动的不同频域与时域版本AI 解读

This paper compares models of fractional processes and associated weak convergence results based on moving average representations in the time domain with spectral representations. Both approaches have been applied in the literature on fractional processes. We point out that the conventional forms of these models are not equivalent, as is commonly assumed, even under a Gaussianity assumption. We show that it is necessary to distinguish between “two-sided” processes depending…

分数协整的无分布检验AI 解读

We propose tests of the null of spurious relationship against the alternative of fractional cointegration among the components of a vector of fractionally integrated time series. Our test statistics have an asymptotic chi-square distribution under the null and rely on generalized least squares–type of corrections that control for the short-run correlation of the weak dependent components of the fractionally integrated processes. We emphasize corrections based on…

长记忆检验AI 解读

This paper introduces a new test statistic for the null hypothesis of short memory against long memory alternatives. The novelty of our statistic is that it is based on only high-order sample autocovariances and by construction eliminates the effects of nuisance parameters typically induced by short memory autocorrelation. For practically relevant situations where the short memory process is not directly observed, but instead appears as the disturbance term in a…

周期单整过程的协整AI 解读

Integration for seasonal time series can take the form of seasonal periodic or nonperiodic integration. When seasonal time series are periodically integrated, we show that any cointegration is either full periodic cointegration or full nonperiodic cointegration, with no possibility of cointegration applying for only some seasons. In contrast, seasonally integrated series can be seasonally, periodically or nonperiodically cointegrated, with the possibility of cointegration…

具有因子结构的面板单位根检验AI 解读

This paper considers various tests of the unit root hypothesis in panels where the cross-section dependence is due to common dynamic factors. Three situations are studied. First, the common factors and idiosyncratic components may both be nonstationary. In this case test statistics based on generalized least squares (GLS) possess a standard normal limiting distribution, whereas test statistics based on ordinary least squares (OLS) are invalid. Second, if the common component…

趋势检验AI 解读

The paper examines various tests for assessing whether a time series model requires a slope component. We first consider the simple t-test on the mean of first differences and show that it achieves high power against the alternative hypothesis of a stochastic nonstationary slope and also against a purely deterministic slope. The test may be modified, parametrically or nonparametrically, to deal with serial correlation. Using both local limiting power arguments and…

类单位根情形中的可容许与不可容许检验AI 解读

This paper investigates the asymptotic behavior of tests in situations where the likelihood is locally asymptotically quadratic. Necessary and sufficient conditions are given for a test to be admissible. Even without these restrictive parametric assumptions, it is shown that certain common procedures—such as the augmented Dickey–Fuller test in cases where no deterministic trend is present or standard tests for restrictions on cointegrating relationships—are asymptotically…

Conference program.

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…

非平稳波动率时间序列的自助法单位根检验AI 解读

The presence of permanent volatility shifts in key macroeconomic and financial variables in developed economies appears to be relatively common. Conventional unit root tests are unreliable in the presence of such behavior, having nonpivotal asymptotic null distributions. In this paper we propose a bootstrap approach to unit root testing that is valid in the presence of a wide class of permanent variance changes that includes single and multiple (abrupt and smooth transition)…

非平稳双重 AR(1) 模型的渐近推断AI 解读

We investigate the nonstationary double ar(1) model, where ω > 0, α > 0, the ηt are independent standard normal random variables and Elog |

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多元 GARCH 过程的时间聚合AI 解读

This paper derives results for the temporal aggregation of multivariate GARCH processes in the general vector specification. It is shown that the class of weak mul- tivariate GARCH processes is closed under temporal aggregation. Fourth moment characteristics turn out to be crucial for the low frequency dynamics for both stock and flow variables. It is shown that spurious instantaneous causality in variance will only appear in degenerated cases, but that spurious Granger…

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从非局部视角分析 CUSUM 及平方 CUSUM 结构变化检验的功效AI 解读

We consider the power properties of the CUSUM and CUSUM of squares tests in the presence of a one-time change in the parameters of a linear regression model. A result due to Ploberger and Krämer (1990) is that the CUSUM of squares test has only trivial asymptotic local power in this case, while the CUSUM test has non-trivial local asymptotic power unless the change is orthogonal to the mean regressor. The main theme of the paper is that such conclusions obtained from a local…

非线性、非平稳性与伪预测AI 解读

Implications of nonlinearity, nonstationarity and misspeci...cation are considered from a forecasting perspective. My model allows for small departures from the martingale di¤erence sequence hypothesis by including a nonlinear component, formulated as a general, integrable transformation of the I(1) predictor. I assume that the true generating mechanism is unknown to the econometrician and he is therefore forced to use some approximating functions. I show that the linear…

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