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利用横截面估计协整关系AI 解读

This paper specifies a regression model describing cointegrating relations between variables at the individual level. The models considered allow for homogeneous cointegration and heterogeneous cointegration. In both cases correlation between the regressors and the regression error can occur through aggregate shocks that are common to all cross-section units so the condition about the regressors being independent of the regression error is not imposed. It is shown that the…

存在趋势突变时基于残差的块自助法单位根检验AI 解读

In this paper, we build on the "residual-based block bootstrap unit root testing" (RBB) method, proposed by Paparoditis and Politis (2003). We develop an extension of this method to allow for bootstrap unit root testing in a model defined by an augmented Dickey--Fuller (ADF) equation that contains linear combinations of arbitrary dummies as its deterministic part. The main application of such an extension is that it allows for unit root testing in the presence of arbitrary…

Kim 检验对含结构断点平稳过程的拒绝概率证明AI 解读

In this note we show that, when the true data generating process is a stationary one around a constant term with a break, the stationarity test of Kim (2000, Journal of Econometrics 95, 97–116) against the alternative hypothesis of change of persistence rejects the null of stationarity asymptotically with probability one.I am grateful to an anonymous referee for his useful comments, which have helped to improve the content and presentation of this note. I acknowledge…

异方差与自相关稳健检验的新渐近理论AI 解读

A new first-order asymptotic theory for heteroskedasticity-autocorrelation (HAC) robust tests based on nonparametric covariance matrix estimators is developed. The bandwidth of the covariance matrix estimator is modeled as a fixed proportion of the sample size. This leads to a distribution theory for HAC robust tests that explicitly captures the choice of bandwidth and kernel. This contrasts with the traditional asymptotics (where the bandwidth increases more slowly than the…

时变二阶矩下的平稳性检验AI 解读

In this paper we analyze the effects of a very general class of time-varying variances on well-known “stationarity” tests of the I(0) null hypothesis. Our setup allows, among other things, for both single and multiple breaks in variance, smooth transition variance breaks, and (piecewise-) linear trending variances. We derive representations for the limiting distributions of the test statistics under variance breaks in the errors of I(0), I(1), and near-I(1) data generating…

长程依赖线性过程下采样窗口法的有效性AI 解读

The sampling window method of Hall, Jing, and Lahiri (1998, Statistica Sinica 8, 1189–1204) is known to consistently estimate the distribution of the sample mean for a class of long-range dependent processes, generated by transformations of Gaussian time series. This paper shows that the same nonparametric subsampling method is also valid for an entirely different category of long-range dependent series that are linear with possibly non-Gaussian innovations. For these…

动态均衡经济的估计：线性与非线性似然比较AI 解读

Abstract This paper compares two methods for undertaking likelihood‐based inference in dynamic equilibrium economies: a sequential Monte Carlo filter and the Kalman filter. The sequential Monte Carlo filter exploits the nonlinear structure of the economy and evaluates the likelihood function of the model by simulation methods. The Kalman filter estimates a linearization of the economy around the steady state. We report two main results. First, both for simulated and for real…

周期性扩张的贴现债务是否威胁财政政策可持续性？AI 解读

Abstract This paper models the behaviour of discounted US debt using a Markov‐switching time series model. The significance of modelling fiscal policy within this framework derives from the implications it has for long‐term sustainability. The two‐regime framework used in this paper identifies periods where the present value of US Federal debt is expanding versus periods when it is collapsing. Using an updated data series from Hamilton and Flavin ( 1986 ), a test is…

Summary We develop a new class of time continuous autoregressive fractionally integrated moving average (CARFIMA) models which are useful for modelling regularly spaced and irregu-larly spaced discrete time long memory data. We derive the autocovariance function of a stationary CARFIMA model and study maximum likelihood estimation of a regression model with CARFIMA errors, based on discrete time data and via the innovations algorithm. It is shown that the maximum likelihood…

规则监测数据的统计方法AI 解读

Summary Meteorological and environmental data that are collected at regular time intervals on a fixed monitoring network can be usefully studied combining ideas from multiple time series and spatial statistics, particularly when there are little or no missing data. This work investigates methods for modelling such data and ways of approximating the associated likelihood functions. Models for processes on the sphere crossed with time are emphasized, especially models that are…

长记忆回归过程中的结构变化检验AI 解读

The paper considers tests for structural change in time series regression models where both regressors and residuals may exhibit long range dependence. The limiting distribution of the test statistic depends on unknown parameters and is approximated by a bootstrap procedure. The asymptotic validity of bootstrap is shown and performance of the testing procedure is examined in a simple Monte Carlo experiment.

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周期性的参数自助检验AI 解读

The paper proposes a simple test for the hypothesis of strong cycles and as a by-product a test for weak dependence for linear processes. We show that the limit distribution of the test is the maximum of a (semi)Gaussian process G (τ), τ ∈ [0; 1]. Because the covariance structure of G (τ) is a complicated function of τ and model dependent, to obtain the critical values (if possible) of maxτ∈[0;1] G (τ) may be difficult. For this reason we propose a bootstrap scheme in the…

自回归过程中同一实现预测的阶数选择AI 解读

Assume that observations are generated from an infinite-order autoregressive [AR(∞)] process. Shibata [Ann. Statist. 8 (1980) 147–164] considered the problem of choosing a finite-order AR model, allowing the order to become infinite as the number of observations does in order to obtain a better approximation. He showed that, for the purpose of predicting the future of an independent replicate, Akaike’s information criterion (AIC) and its variants are asymptotically…

GARCH 模型残差的高阶矩部分和过程及其应用AI 解读

In this paper we construct high moment partial sum processes based on residuals of a GARCH model when the mean is known to be 0. We consider partial sums of kth powers of residuals, CUSUM processes and self-normalized partial sum processes. The kth power partial sum process converges to a Brownian process plus a correction term, where the correction term depends on the kth moment μk of the innovation sequence. If μk=0, then the correction term is 0 and, thus, the kth power…

递归蒙特卡洛滤波：算法与理论分析AI 解读

Recursive Monte Carlo filters, also called particle filters, are a powerful tool to perform computations in general state space models. We discuss and compare the accept–reject version with the more common sampling importance resampling version of the algorithm. In particular, we show how auxiliary variable methods and stratification can be used in the accept–reject version, and we compare different resampling techniques. In a second part, we show laws of large numbers and a…

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This paper evaluates the importance of "property rights institutions," which protect citizens against expropriation by the government and powerful elites, and "contracting institutions," which enable private contracts between citizens. We exploit exogenous variation in both types of institutions driven by colonial history and document strong first‐stage relationships between property rights institutions and the determinants of European colonization strategy (settler…

灵活损失函数下预测理性的估计与检验AI 解读

In situations where a sequence of forecasts is observed, a common strategy is to examine "rationality" conditional on a given loss function. We examine this from a different perspective—supposing that we have a family of loss functions indexed by unknown shape parameters, then given the forecasts can we back out the loss function parameters consistent with the forecasts being rational even when we do not observe the underlying forecasting model? We establish identification…

允许横截面依赖的购买力平价面板平稳性检验AI 解读

We investigate the purchasing power parity (PPP) hypothesis for a group of 17 countries using a new panel-based test of stationarity that allows for arbitrary cross-sectional dependence. We treat the short-run time series dynamics nonparametrically and thus avoid the need to fit separate, and potentially misspecified, models for the individual series. The statistic is simple to compute and uses standard normal critical values, even in the presence of a wide range of…

面板数据有助于解决购买力平价之谜吗？AI 解读

Although Rogoff described the “remarkable consensus” of 3- to 5-year half-lives of purchasing power parity (PPP) deviations among studies using long-horizon data, recent works using panel methods with post-1973 data report shorter half-lives of 2 to 2.5 years. But these studies do not use appropriate techniques to measure persistence. We extend median-unbiased estimation methods to the panel context, calculate both point estimates and confidence intervals, and provide strong…