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切换扩散模型的马尔可夫链蒙特卡洛方法AI 解读

Reversible jump Metropolis–Hastings updating schemes can be used to analyse continuous‐time latent models, sometimes known as state space models or hidden Markov models. We consider models where the observed process X can be represented as a stochastic differential equation and where the latent process D is a continuous‐time Markov chain. We develop Markov chain Monte Carlo methods for analysing both Markov and non‐Markov versions of these models. As an illustration of how…

时间序列数组族样本二阶矩的一致收敛AI 解读

We consider abstractly defined time series arrays y t(T), 1 \le t\le T, requiring only that their sample lagged second moments converge and that their end values y1+j(T) and yT-j(T) be of order less than T½ for each j \ge 0. We show that,under quite general assumptions, various types of arrays that arise naturally in time series analysis have these properties,including regression residuals from a time series regression, seasonal adjustments and infinite variance processes…

通过模型选择实现自回归或 β 混合回归中的自适应估计AI 解读

We study the problem of estimatingsome unknown regression function in a $\beta$-mixing dependent framework. To this end, we consider some collection of models which are finite dimensional spaces. A penalized least-squares estimator (PLSE) is built on a data driven selected model among this collection. We state non asymptotic risk bounds for this PLSE and give several examples where the procedure can be applied (autoregression, regression with arithmetically $\beta$-mixing…

非零初始条件下近单整模型的渐近近似AI 解读

This paper considers various asymptotic approximations in the near-integrated first-order autoregressive model with a non-zero initial condition. We first extend the work of Knight and Satchell (1993), who considered the random walk case with a zero initial con-dition, to derive the expansion of the relevant joint moment generating function in this more general framework. We also consider, as alternative approximations, the stochastic expansion of Phillips (1987c) and the…

异质面板中基于似然的协整检验AI 解读

This paper presents a maximum likelihood panel test of the cointegrating rank in heterogeneous panel models based on the mean of the individual rank trace statistics. The existence of the first two moments of the asymptotic distribution of the individual trace statistic is established. Based on this, the asymptotic distribution of the test statistic is shown to be normal. The small-sample size and power properties are investigated using Monte Carlo simulations. An empirical…

使用广义极差统计量检验单位根假设AI 解读

The application of rescaled range statistics in econometrics is restricted to long memory detection in economic and financial time series. However, in this paper it is shown how such statistics can be generalized and used to test the unit root hypothesis. The proposed generalizations lead to testing procedures that are found to be consistent against I (0 , I (2 as well as against fractional integration and misspecification of the deterministic trend. A Monte Carlo simulation…

经济时间序列表观非线性是否源于结构不稳定？AI 解读

Many modelling issues and policy debates in macroeconomics depend on whether macroeconomic time series are best characterized as linear or nonlinear. If departures from linearity exist, it is important to know whether these are endogenously generated (as in, e.g. a threshold autoregressive model) or whether they merely reflect changing structure over time. In this paper, we discuss a model comparison methodology which addresses these issues. We advocate a Bayesian approach…

经济活动的自动先行指标：欧洲国家GDP增长预测AI 解读

In the construction of a leading indicator model of economic activity, economists must select among a pool of variables which lead output growth. Usually the pool of variables is large and a selection of a subset must be carried out. This paper proposes an automatic leading indicator model which, rather than preselection, uses a dynamic factor model to summarize the information content of a pool of variables. Results using quarterly data for France, Germany, Italy and the…

含协整与确定性趋势解释变量的非线性计量模型AI 解读

This paper develops an asymptotic theory for a general class of nonlinear non-stationary regressions, extending earlier work by Phillips and Hansen (1990) on linear coin-tegrating regressions.The model considered accommodates a linear time trend and stationary regressors, as well as multiple I(1) regressors. We establish consistency and derive the limit distribution of the nonlinear least squares estimator. The estimator is consistent under fairly general conditions but the…

英国宏观经济预测面板分析AI 解读

This paper looks at unobserved components models and examines the implied weighting patterns for signal extraction. There are four main themes. The first concerns the implications of correlated disturbances driving the components, especially those cases in which the correlation is perfect. The second is about the way in which ARIMA-based methods for trend extraction relate to those based on unobserved components. The third explores the impact of heteroscedasticity and…

财政预测：国际货币基金组织、经合组织与欧委会的历史表现AI 解读

We analyse the relative performance of the IMF, OECD and EC in forecasting the government deficit, as a ratio to GDP, for the G7 countries. Interesting differences across countries emerge, sometimes supporting the hypothesis of an asymmetric loss function (i.e. of a preference for underprediction or overprediction), and potential benefits from forecast pooling.

二元非平稳时间序列的自动统计分析AI 解读

We propose a new method for analyzing bivariate nonstationary time series. The proposed method is a statistical procedure that automatically segments the time series into approximately stationary blocks and selects the span to be used to obtain the smoothed estimates of the time-varying spectra and coherence. It is based on the smooth localized complex exponential (SLEX) transform, which forms a library of orthogonal complex-valued transforms that are simultaneously…

音乐声音信号的局部谐波估计AI 解读

Statistical modeling and analysis have been applied to different music-related fields, including sound synthesis and analysis. Sound can be represented as a real-valued function of time. This function can be sampled at a sufficiently small rate such that the resulting discrete version is a good approximation of the continuous version, thus enabling the study of musical sounds as a discrete time series, an entity for which many statistical techniques are available. Physical…

时间聚合与协整系统中谱回归估计量的有限样本表现AI 解读

The finite sample performance of spectral regression estimators in temporally aggregated cointegrated systems is investigated via the use of simulation experiments. The simulations address issues such as “optimal” choice of bandwidth parameter and effects of smoothing kernel in constructing estimates of spectral densities that are used by the spectral regression estimators; the effects of stock and flow variables and mixtures of the two, including the relative finite sample…

时间序列非参数估计的马尔可夫局部重抽样方案AI 解读

In this paper we study the properties of a pth-order Markovian local resampling procedure in approximating the distribution of nonparametric (kernel) estimators of the conditional expectation m(x;φ). Under certain regularity conditions, asymptotic validity of the proposed resampling scheme is established for a class of stochastic processes that is broader than the class of stationary Markov processes. Some simulations illustrate the finite sample performance of the proposed…

谱密度估计与学生化样本均值的 Edgeworth 展开AI 解读

We establish valid Edgeworth expansions for the distribution of smoothed nonparametric spectral estimates, and of studentized versions of linear statistics such as the sample mean, where the studentization employs such a nonparametric spectral estimate. Particular attention is paid to the spectral estimate at zero frequency and, correspondingly, the studentized sample mean, to reflect econometric interest in autocorrelation-consistent or long-run variance estimation. Our…

灵活非线性推断的参数化方法AI 解读

This paper proposes a new framework for determining whether a given relationship is nonlinear, what the nonlinearity looks like, and whether it is adequately described by a particular parametric model. The paper studies a regression or forecasting model of the form yt=μ(xt)+εt where the functional form of μ(⋅) is unknown. We propose viewing μ(⋅) itself as the outcome of a random process. The paper introduces a new stationary random field m(⋅) that generalizes…

长期中的产出与通货膨胀AI 解读

Abstract Cross‐country regressions explaining output growth often obtain a negative effect from inflation. However, that result is not robust, due to the selection of countries in sample, temporal aggregation, and omission of consequential variables in levels. This paper demonstrates some implications of these mis‐specifications, both analytically and empirically. In particular, for most G‐7 countries, annual time series of inflation and the log‐ level of output are…

I(1) 过程统计推断的有限样本改进AI 解读

Abstract Robinson and Marinucci ( 1998 ) investigated the asymptotic behaviour of a narrow‐band semiparametric procedure termed Frequency Domain Least Squares (FDLS) in the broad context of fractional cointegration analysis. Here we restrict discussion to the standard case when the data are I(1) and the cointegrating errors are I(0), proving that modifications of the Fully Modified Ordinary Least Squares (FM‐OLS) procedure of Phillips and Hansen ( 1990 ) which use the FDLS…

针对平滑随机趋势的检验AI 解读

Abstract A trend estimated from an unobserved components model tends to be smoother when it is modelled as an integrated random walk rather than a random walk with drift. This article derives a test of the null hypothesis that the trend is deterministic against the alternative that it is an integrated random walk. It is assumed that the other component in the model is normally distributed white noise. Critical values are tabulated, the asymptotic distribution is derived and…

非平稳时间序列的描述性计量方法及实证示例AI 解读

Abstract Recent work by the author on methods of spatial density analysis for time series data with stochastic trends is reviewed. The methods are extended to include processes with deterministic trends, formulae for the mean spatial density are given, and the limits of sample moments of non‐stationary data are shown to take the form of moments with respect to the underlying spatial density, analogous to population moments of a stationary process. The methods are illustrated…

冲击与脉冲响应函数的估计AI 解读

Abstract This paper examines the issue of how to identify the shocks in a cointegrated VAR when the following assumptions are made: the variables can be classified as endogenous or exogenous, there are as many cointegrating relations as endogenous variables, the cointegrating vectors are identified and they contain at least one exogenous variable. It is shown that with these assumptions it is possible to identify the shocks without the use of further restrictions on the…

水平关系分析的界限检验方法AI 解读

Abstract This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend‐ or first‐difference stationary. The proposed tests are based on standard F ‐ and t ‐statistics used to test the significance of the lagged levels of the variables in a univariate equilibrium correction mechanism. The asymptotic…

ARCH序列平方残差的经验过程AI 解读

We derive the asymptotic distribution of the sequential empirical process of the squared residuals of an ARCH(p) sequence. Unlike the residuals of an ARMA process, these residuals do not behave in this context like asymptotically independent random variables, and the asymptotic distribution involves a term depending on the parameters of the model. We show that in certain applications, including the detection of changes in the distribution of the unobservable innovations, our…