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非线性模型中的简便稳健假设检验AI 解读

We develop test statistics to test hypotheses in nonlinear weighted regression models with serial correlation or conditional heteroscedasticity of unknown form. The novel aspect is that these tests are simple and do not require the use of heteroscedasticity autocorrelationconsistent (HAC) covariance matrix estimators. This new class of tests uses stochastic transformations to eliminate nuisance parameters as a substitute for consistently estimating the nuisance parameters.…

含线性时间趋势的自回归模型中的子抽样置信区间AI 解读

A new method is proposed for constructing confidence intervals in autoregressive models with linear time trend. Interest focuses on the sum of the autoregressive coefficients because this parameter provides a useful scalar measure of the long-run persistence properties of an economic time series. Since the type of the limiting distribution of the corresponding OLS estimator, as well as the rate of its convergence, depend in a discontinuous fashion upon whether the true…

跨国增长回归中的模型不确定性AI 解读

Abstract We investigate the issue of model uncertainty in cross‐country growth regressions using Bayesian Model Averaging (BMA). We find that the posterior probability is spread widely among many models, suggesting the superiority of BMA over choosing any single model. Out‐of‐sample predictive results support this claim. In contrast to Levine and Renelt ( 1992 ), our results broadly support the more ‘optimistic’ conclusion of Sala‐i‐Martin ( 1997b ), namely that some…

非平稳过程的窄频带分析AI 解读

The behavior of averaged periodograms and cross-periodograms of a broad class of nonstationary processes is studied. The processes include nonstationary ones that are fractional of any order, as well as asymptotically stationary fractional ones. The cross-periodogram can involve two nonstationary processes of possibly different orders, or a nonstationary and an asymptotically stationary one. The averaging takes place either over the whole frequency band, or over one that…

全通时间序列模型的最小绝对偏差估计AI 解读

An autoregressive moving average model in which all of the roots of the autoregressive polynomial are reciprocals of roots of the moving average polynomial and vice versa is called an all-pass time series model. All-pass models generate uncorrelated (white noise) time series, but these series are not independent in the non-Gaussian case. An approximation to the likelihood of the model in the case of Laplacian (two-sided exponential) noise yields a modified absolute…

极点频率未知时参数谱密度的高斯估计AI 解读

We consider a parametric spectral density with power-law behavior about a fractional pole at the unknown frequency $\omega$. The case of known $\omega$, especially $\omega =0$, is standard in the long memory literature. When $omega$ is unknown, asymptotic distribution theory for estimates of parameters, including the (long) memory parameter, is significantly harder. We study a form of Gaussian estimate. We establish $n$-consistency of the estimate of $\omega$, and discuss…

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非标准条件下的最小绝对偏差回归AI 解读

Most work on the asymptotic properties of least absolute deviations (LAD) estimators makes use of the assumption that the common distribution of the disturbances has a density that is both positive and finite at zero. We consider the implications of weakening this assumption in a number of regression settings, primarily with a time series orientation. These models include ones with deterministic and stochastic trends, and we pay particular attention to the case of a simple…

非平稳分数积分 ARMA 模型的渐近推断AI 解读

This paper considers nonstationary fractional autoregressive integrated moving-average ( p , d , q ) models with the fractionally differencing parameter d ∈ (− 1/2,1/2) and the autoregression function with roots on or outside the unit circle. Asymptotic inference is based on the conditional sum of squares (CSS) estimation. Under some suitable conditions, it is shown that CSS estimators exist and are consistent. The asymptotic distributions of CSS estimators are expressed as…

季节单位根检验中 t 与 F 统计量极限分布的近似AI 解读

Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238), Beaulieu and Miron (1993, Journal of Econometrics 55, 305–328), Ghysels, Lee, and Noh (1994, Journal of Econometrics 62, 415–442), Smith and Taylor (1998, Journal of Econometrics 85, 269–288; 1999, Journal of Time Series Analysis 20, 453–476; 1999, Discussion paper 99-15 in economics, University of Birmingham), and Taylor (1998, Journal of Time Series Analysis 19, 349–368) have developed a method…

长记忆随机波动率模型中记忆参数的对数周期图回归估计AI 解读

We consider semiparametric estimation of the memory parameter in a long memory stochastic volatility model. We study the estimator based on a log periodogram regression as originally proposed by Geweke and Porter-Hudak (1983, Journal of Time Series Analysis 4, 221–238). Expressions for the asymptotic bias and variance of the estimator are obtained, and the asymptotic distribution is shown to be the same as that obtained in recent literature for a Gaussian long memory series.…

单整过程方差未必趋于无穷：平稳过程部分和的相关结果AI 解读

For a process with stationary first differences a necessary and sufficient condition for the variance of the process to be unbounded is given. An example shows that the variance of an integrated process—although unbounded—need not diverge to infinity. Sufficient conditions for the variance of an integrated process to diverge to infinity are provided.

离散值时间序列的平滑估计AI 解读

Summary We deal with smoothed estimators for conditional probability functions of discrete-valued time series {Yt} under two different settings. When the conditional distribution of Yt given its lagged values falls in a parametric family and depends on exogenous random variables, a smoothed maximum (partial) likelihood estimator for the unknown parameter is proposed. While there is no prior information on the distribution, various nonparametric estimation methods have been…

非线性协整的秩检验AI 解读

A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is assumed that monotonic transformations exist such that the normalized series can asymptotically be represented as Wiener processes. Rank-test procedures based on the difference between the sequences of ranks are suggested. If there is no cointegration between the time series, the sequences of ranks tend to diverge, whereas under cointegration the sequences of…

改进政策分析用VAR模型的联邦基金利率预测AI 解读

Federal-funds rate-forecast errors from vector autoregressive (VAR) models used for monetary policy analysis and fitted by ordinary least squares (OLS) are large relative to those from the futures market. Using three different structural VAR models, we show that forecasts based on a shrinkage estimator dominate the OLS-based forecasts--even after restricting the lag length and/or imposing exact unit-root restrictions--and are broadly comparable to the futures-market…

季节涵盖的形式化及其在德国宏观模型中的应用AI 解读

In this article, I apply the encompassing principle to test whether a model that has been estimated with seasonally adjusted (SA) data can encompass a model that is based on nonseasonally adjusted (NSA) data. Building on and extending the work of Ericsson, Hendry and Tran, who analyzed this question in a single-equation framework, I shall suggest how to test whether an SA model that is estimated as a system of simultaneous equations can "seasonally encompass" an NSA model.…

预测数据应聚合、合并，还是两者都不采用？AI 解读

It is well known that, even if all forecasters are rational, unbiasedness tests using consensus forecasts are inconsistent because forecasters have private information. However, if all forecasters face a common realization, pooled estimators are also inconsistent. In contrast, we show that when predictions and realizations are integrated and cointegrated, microhomogeneity ensures that consensus and pooled estimators are consistent. Therefore, contrary to claims in the…

高阶序列相关下基于回归的季节单位根检验性质AI 解读

We analyze the behavior of widely used regression-based tests for seasonal unit roots when the shocks are serially correlated. We show, in the quarterly case, that the common assumption that serial correlation may be accommodated by augmenting the test regression with appropriate lagged seasonal differences is only partially correct. The limiting null distributions of t statistics for unit roots at the zero and Nyquist frequencies are corrected by the lag augmentation, but…

使用有效矩方法检验汇率目标区模型AI 解读

The objectives of this article are threefold: (1) to test target zone models using more efficient and direct econometric methodology than previous research, (2) to identify an implicit band, if it exists, from observed data and to test target-zone models based on the estimated implicit band rather than the stated official band, and (3) to examine whether the exchange rate can be modeled as a managed float system with a central parity that lacks a band. We find strong…

结构突变、不完全信息与股票价格AI 解读

This article presents empirical evidence on the existence of structural breaks in the fundamentals process underlying U.S. stock prices. I develop an asset-pricing model that represents breaks in the context of a Markov switching process with an expanding set of nonrecurring states. Different hypotheses on how investors form expectations about future dividends after a break are proposed and analyzed. A model in which investors do not have full information about the…

使用巴特沃斯滤波器估计经济时间序列的趋势与周期AI 解读

Long-term trends and business cycles are usually estimated by applying the Hodrick and Prescott (HP) filter to X-11 seasonally adjusted data. A two-stage procedure is proposed in this article to improve this methodology. The improvement is based on (a) using Butterworth or band-pass filters specifically designed for the problem at hand as an alternative to the HP filter, (b) applying the selected filter to estimated trend cycles instead of to seasonally adjusted series, and…

趋势平稳的 GNP：新精确逐点最强不变单位根检验的证据AI 解读

Abstract There has been a substantial debate whether GNP has a unit root. However, statistical tests have had little success in distinguishing between unit‐root and trend‐reverting specifications because of poor statistical properties. This paper develops a new exact small‐sample, pointwise most powerful unit root test that is invariant to the unknown mean and scale of the time series tested, that generates exact small‐sample critical values, powers and p ‐values, that has…

小型开放经济中的货币政策分析与通胀目标制：VAR 方法AI 解读

Abstract Empirical monetary policy research has increased in the last decade, possibly because deregulation and explicit monetary targets have made monetary policy issues more interesting. In particular, within the inflation targeting framework it has been argued that inflation forecasts can be used as optimal intermediate targets for monetary policy, and the development of empirical models that have good forecasting properties is therefore important. This paper shows that a…