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不完全信息与消费的时间序列行为AI 解读

Pischke (1995) uses both microeconomic and macroeconomic US data to test the idea that, within an otherwise standard PIH framework, ignorance by agents of aggregate labour income can account for the observed degree of excess smoothness and sensitivity in consumption. His tests involve only the second moments of aggregate consumption and labour income. In this paper our main aim is to identify and test the restrictions his model implies for aggregate consumption dynamics,…

基于拟似然的多变点拟合及其 DNA 序列分段应用AI 解读

We consider situations where a step function with a variable number of steps provides an adequate model for a regression relationship, while the variance of the observations depends on their mean. This model provides for discontinuous jumps at changepoints and for constant means and error variances in between changepoints. The basic statistical problem consists of identification of the number of changepoints, their locations and the levels the function assumes in between. We…

KPSS 检验的有限样本分布AI 解读

This paper gives numerical approximations of the finite sample distribution of the KPSS test statistic. We use two types of approximations depending on whether we estimate the long-run variance or not. In the known variance case we apply a very simple Laplace inversion formula, while in the unknown case we use saddlepoint approximation to calculate the right-hand tail of the distribution of the KPSS test statistic. In the unknown variance case, we also investigate the…

动态马尔可夫转换因子模型的商业周期测度：贝叶斯模拟评估AI 解读

A Markov switching common factor is used to drive a dynamic factor model for important macroeconomic variables in eight countries. Bayesian estimation of the model is based on Markov chain Monte Carlo simulation methods which yield inferences about the unobservable path of the common factor, the latent variable of the state process and all model parameters. Additionally, simulation based filtering provides us with samples from the prediction density that can be used for…

随机过程的条件最小体积预测区域AI 解读

Motivated by interval/region prediction in nonlinear time series, we propose a minimum volume (MV) predictor for a strictly stationary process. The MV predictor varies with respect to the current position in the State space and has the minimum Lebesgue measure among all regions with the nominal coverage probability. We have established consistency, convergence rates, and asymptotic normality for both coverage probability and Lebesgue measure of the estimated MV predictor…

摘要暂缺

计量经济学实践：方法与应用论文集AI 解读

Part 1 Specification analysis and aggregation. Part 2 Distributed lags. Part 3 Errors in variables and panel data. Part 4 Applications. Part 5 Data issues.

系统抽样与时间聚合对离散时间长记忆过程及有限样本性质的影响AI 解读

This study investigates the effects of varying sampling intervals on the long memory characteristics of certain stochastic processes. We find that although different sampling intervals do not affect the decay rate of discrete time long memory autocorrelation functions in large lags, the autocorrelation functions in short lags are affected significantly. The level of the autocorrelation functions moves upward for temporally aggregated processes and downward for systematically…

经济时间序列预测AI 解读

The prediction of future events and developments is an exciting and perhaps mysterious task, often associated with the aura of prophets and seers instead of probabilistic models and computer screens. The reality of macroeconomic forecasting, however, is quite mundane. Predictions of macroeconomic aggregates play an important role in the decision making of private enterprises, central banks, and governments. In general, forecasts become less popular if they turn out to be…

预先指定协整向量时单方程协整检验的功效AI 解读

In this paper I present an alternative derivation of the asymptotic distribution of Kremers, Ericsson, and Dolado's (1992, Oxford Bulletin of Economics and Statistics 54, 325–348) conditional error correction model (ECM)–based t -test for cointegration with a single prespecified cointegrating vector. This alternative distribution, which is identical to the distribution of Hansen's (1995, Econometric Theory 11, 1148–1171) covariate augmented t -test for a unit root, is valid…

含截距 VAR 过程的协整秩检验AI 解读

Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius (1990, Oxford Bulletin of Economics and Statistics , 52, 169–210) and others we also consider an alternative class of tests that is based on estimating the trend parameters of the deterministic term in a different way. The asymptotic local power of these tests is derived and compared to that of…

分数单整误差下趋势变量的估计AI 解读

This paper considers the problems of estimation and inference in the linear regression model with fractionally integrated errors. The ordinary least squares (OLS) and the first differenced (FD) estimators are studied. Relative to the OLS estimators, a substantial increase in the convergence rates of the coefficient estimator for the stochastic regressor can be achieved by the FD estimators when the error term is nonstationary. However, the preceding decisive results can not…

长程依赖下随机加权经验过程的线性化及非线性回归分位数应用AI 解读

This paper discusses some asymptotic uniform linearity results of randomly weighted empirical processes based on long range dependent random variables. These results are subsequently used to linearize nonlinear regression quantiles in a nonlinear regression model with long range dependent errors, where the design variables can be either random or nonrandom. These, in turn, yield the limiting behavior of the nonlinear regression quantiles. As a corollary, we obtain the…

We examine the behaviour of tests of the unit root null hypothesis when the true generating model is I (1) with a break. Asymptotic distributional results are derived predicting that the standard Dickey–Fuller test will in that case yield frequent rejections of the null for relatively early breaks. This phenomenon is most severe for lowest values of the break fraction under a break in level, and for a break in slope occurring about 15% of the way through the series. However,…

非线性随机回归模型中的强一致性AI 解读

The class of nonlinear stochastic regression models includes most of the linear and nonlinear models used in time series, stochastic control and stochastic approximation schemes.The consistency of least squares estimators was established first by Lai.We present another set of sufficient conditions for consistency, which avoid the use of partial derivatives and are closer in spirit to the conditions presented by Wu for non-stochastic regression models with independent errors.

随时间漂移的自回归参数的递归估计AI 解读

Suppose the $X_0,\dots, X_n$ are observations of a one-dimensional stochastic dynamic process described by autoregression equations when the autoregressive parameter is drifted with time, i.e. it is some function of time: $\theta_0,\dots, \theta_n$, with $\theta_k = \theta(k/n)$. The function $\theta(t)$ is assumed to belong a priori to a predetermined nonparametric class of functions satisfying the Lipschitz smoothness condition. At each time point $t$ those observations…

非参数扩散模型的自适应漂移估计AI 解读

We consider a nonparametric diffusion process whose drift and diffusion coefficients are nonparametric functions of the state variable. The goal is to estimate the unknown drift coefficient.We apply a locally linear smoother with a data-driven bandwidth choice. The procedure is fully adaptive and nearly optimal up to a log log factor. The results about the quality of estimation are nonasymptotic and do not require any ergodic or mixing properties of the observed process.

摘要暂缺

样本划分与门槛估计AI 解读

Threshold models have a wide variety of applications in economics. Direct applications include models of separating and multiple equilibria. Other applications include empirical sample splitting when the sample split is based on a continuously-distributed variable such as firm size. In addition, threshold models may be used as a parsimonious strategy for nonparametric function estimation. For example, the threshold autoregressive model (TAR) is popular in the nonlinear time…

基于平稳性检验的协整系数置信集合AI 解读

Standard methods for inference in cointegrating systems require all the variables to have exact unit roots and are not at all robust even to slight violations of this condition. In this article, I consider an alternative approach to inference in a cointegrating system. This involves testing the hypothesis that a cointegrating vector takes on a specified value by testing for the stationarity of the associated residual. Confidence sets for the cointegrating vector can be…

ARFIMA 模型中基于似然的小样本推断AI 解读

The autoregressive fractionally integrated moving average (ARFIMA) model has become a popular approach for analyzing time series that exhibit long-range dependence. For the Gaussian case, there have been substantial advances in the area of likelihood-based inference, including development of the asymptotic properties of the maximum likelihood estimates and formulation of procedures for their computation. Small-sample inference, however, has not to date been studied. Here we…

求取 ARMA 模型自协方差的新方法：精确形式解AI 解读

Karanasos (1998) presented a new method for computing the theoretical autocovariance function (acf) of the following univariate autoregressive moving average (ARMA) model: Φ( L ) y t = Θ( L )ε t where Φ( L ) = 1 − φ 1 L − … − φ p L p , Θ( L ) = 1 − θ 1 L − … − θ q L q

非正态误差分布下的 LM 检验AI 解读

The paper considers different versions of the Lagrange multiplier (LM) tests for autocorrelation and/or for conditional heteroskedasticity. These versions differ in terms of the residuals, and of the functions of the residuals, used to build the tests. In particular, we compare ordinary least squares versus least absolute deviation (LAD) residuals, and we compare squared residuals versus their absolute value. We show that the LM tests based on LAD residuals are…

近积分季节自回归模型中单位根检验统计量的渐近分布AI 解读

Seasonal autoregressive models with an intercept or linear trend are discussed. The main focus of this paper is on the models in which the intercept or trend parameters do not depend on the season. One of the most important results from this study is the asymptotic distribution for the ordinary least squares estimator of the autoregressive parameter obtained under nearly integrated condition, and another is the approximation to the limiting distribution of the t -statistic…