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脉冲响应百分位与百分位t自助置信区间的有限样本性质AI 解读

A Monte Carlo analysis of the coverage accuracy and average length of alternative bootstrap confidence intervals for impulse-response estimators shows that the accuracy of equal-tailed and symmetric percentile- t intervals can be poor and erratic in small samples (both in models with large roots and in models without roots near the unit circle). In contrast, some percentile bootstrap intervals may be both shorter and more accurate. The accuracy of percentile-t intervals…

参数位于边界时的估计AI 解读

This paper establishes the asymptotic distribution of extremum estimators when the true parameter lies on the boundary of the parameter space. The boundary may be linear, curved, and/or kinked. Typically the asymptotic distribution is a function of a multivariate normal distribution in models without stochastic trends and a function of a multivariate Brownian motion in models with stochastic trends. The results apply to a wide variety of estimators and models. Examples…

协整模型的自适应估计：模拟证据与远期外汇市场应用AI 解读

The paper reports simulation and empirical evidence on the finite-sample performance of adaptive estimators in cointegrated systems. Adaptive estimators are asymptotically efficient, even when the shape of the likelihood function is unknown. We consider two representations of cointegrated systems--triangular cointegrating regressions and error correction models. The motivation for and advantages of adaptive estimators in such systems are discussed and their construction is…

弱条件下回代投影算法的存在性与渐近性质AI 解读

We derive the asymptotic distribution of a new backfitting procedure for estimating the closest additive approximation to a nonparametric regression function. The procedure employs a recent projection interpretation of popular kernel estimators provided by Mammen, Marron, Turlach and Wand and the asymptotic theory of our estimators is derived using the theory of additive projections reviewed in Bickel, Klaassen, Ritov and Wellner. Our procedure achieves the same bias and…

购买力平价中对称性与比例性的面板检验AI 解读

Purchasing power parity (PPP) is a proposition equating the nominal exchange rate to the ratio of the domestic to foreign price levels. This article employs Bayesian panel-data methods to test for PPP, in particular, the implied symmetry and proportionality conditions. Using a dataset of all the Organization for Economic Cooperation and Development member countries in the post-Bretton Woods era, I do not find support for symmetry and proportionality in PPP over time and…

稳定季节模式模型的预测：夏威夷旅游数据应用AI 解读

We propose several variations of the stable seasonal pattern (SSP) model first introduced by Marshall and Oliver and study their prediction procedures. Depending on the type of data (count data or continuous variable), we propose different treatments. Previously SSP models have been applied to trendless data or adapted to trending data in ad hoc ways. In the models considered here, conditional independence allows the seasonal pattern and trend to be modeled separately,…

含马尔可夫转换与时变增长的GDP不可观测成分模型：贝叶斯分析AI 解读

We propose an unobserved-component time series model of gross domestic product that includes Markov switching as an unobserved component. In addition to a trend component, the model has two time-varying drift components. One drift represents the expected rate of growth during recession; the other drift represents the expected rate during expansion. Estimates indicate a substantial decline in the latter annual rate for the United States from 6.4% in 1950 to 3.6% by 1990. We…

定性响应时间序列的条件异方差：银行最优惠贷款利率的吉布斯抽样分析AI 解读

Previous time series applications of qualitative response models have ignored features of the data, such as conditional heteroscedasticity, that are routinely addressed in time series econometrics of financial data. This article addresses this issue by adding Markov-switching heteroscedasticity to a dynamic ordered probit model of discrete changes in the bank prime lending rate and estimating via the Gibbs sampler. The dynamic ordered probit model of Eichengreen, Watson, and…

利用函数迭代对数律界限区分 I(0) 与 I(1)AI 解读

We construct properly scaled functions of R p -valued partial sums of demeaned data and derive bounds via the functional law of the iterated logarithm for strong mixing processes. If we obtain a value below or equal to the bound we decide in favor of I (0); otherwise we decide in favor of I (1). This provides a consistent rule for classifying time series as being I (1) or I (0). The nice feature of the procedure lies in the almost sure nature of the bound, guaranteeing a lim…

若干分数单整检验的局部渐近功效AI 解读

It is possible to construct a test of the null of no fractional integration that has nontrivial asymptotic power against a sequence of alternatives specifying that the series is I ( d ) with d = O ( T −1/2 ), where T is the sample size. In this paper, I show that tests for fractional integration that are based on the partial sum process of the time series have only trivial asymptotic power (i.e., equal to the size) against this sequence of local alternatives. These tests…

具有时变系数的协整回归AI 解读

This paper considers cointegrating regressions with time varying coefficients. The coefficients are modeled as smooth functions evolving over time. It is shown that they can be estimated nonparametrically, using suitably modified series estimators. Presented is the efficient method of estimation, which relies on simple prefiltering of the data and preestimation of the model. The test for the adequacy of model specification is also developed. Our model and statistical methods…

向量时间序列非线性检验札记AI 解读

A multivariate extension of the univariate nonlinearity test of Tsay (1986) is presented. Simulation results show that the multivariate test is more powerful than its univariate counterpart, especially for series having nonlinear structure involving several components of the vector process and weakly or moderately cross-correlated process error terms. For illustration, the test is applied to a set of seasonally adjusted quarterly capital expenditures and appropriations in…

时间序列分析中的子抽样与模型选择AI 解读

In this paper the subsampling method of Carlstein (1986) is used to estimate the risk of prediction for time series data. We extend Carlstein's result by proving strong consistency of the subsampling estimator and we propose a procedure for selecting a time series model empirically from a set of possibly nonnested and misspecified models by using estimated risk of prediction as a selection criterion. When this procedure is applied to the selection of the order of an…

相互相关的自回归时间序列面板建模AI 解读

We propose a method of modelling panel time series data with both inter- and intra-individual correlation, and of fitting an autoregressive model to such data. Estimators are obtained by a conditional likelihood argument. If there are few observations in each series, the estimators can be dramatically improved by Burg-type estimators taking edge effects into account. The consequences of ignoring the intercorrelation term are analysed. Partial lack of consistency is…

非线性时间序列的动态自适应分割AI 解读

We propose a dynamic adaptive partitioning scheme for nonparametric analysis of stationary nonlinear time series. It yields estimates of the whole probability distribution of the underlying process. We use information from past values to construct adaptive partitioning in a dynamic fashion which is then different from the more common static schemes in the regression set-up. The idea of dynamic partitioning is new. We make it constructive by an approach based on quantisation…

单整过程的线性与对数变换检验AI 解读

This article proposes nonnested tests of linear and logarithmic transformations of integrated processes against each other, where the innovations of both series follow autoregressive processes. It is shown that the null distributions of the test statistics for both the linear and logarithmic transformations are nonstandard when the processes have no drift, whereas they are asymptotically normal when the processes have positive drift. Monte Carlo experiments and illustrative…

用信号提取方法建模具有脉冲与变化基线的激素时间序列AI 解读

Hormones serve as regulating signals for many biological processes. In recent years, it was determined that many hormones are secreted in a pulsatile manner and that the pulsatile secretion pattern, in addition to the absolute concentration level, is important in regulating biological processes. Consequently, it is necessary to characterize the latent secretion patterns from measurements of concentration levels. The characterization is complicated by the presence of a…

单整过程的线性与对数变换检验AI 解读

This article proposes nonnested tests of linear and logarithmic transformations of integrated processes against each other, where the innovations of both series follow autoregressive processes. It is shown that the null distributions of the test statistics for both the linear and logarithmic transformations are nonstandard when the processes have no drift, whereas they are asymptotically normal when the processes have positive drift. Monte Carlo experiments and illustrative…

含脉冲与变化基线的激素时间序列信号提取方法AI 解读

Hormones serve as regulating signals for many biological processes. In recent years, it was determined that many hormones are secreted in a pulsatile manner and that the pulsatile secretion pattern, in addition to the absolute concentration level, is important in regulating biological processes. Consequently, it is necessary to characterize the latent secretion patterns from measurements of concentration levels. The characterization is complicated by the presence of a…

脉冲响应的误差带AI 解读

We show how to correctly extend known methods for generating error bands in reduced form VAR's to overidentified models. We argue that the conventional pointwise bands common in the literature should be supplemented with measures of shape uncertainty, and we show how to generate such measures. We focus on bands that characterize the shape of the likelihood. Such bands are not classical confidence regions. We explain that classical confidence regions mix information about…

非平稳面板数据的线性回归极限理论AI 解读

This paper develops a regression limit theory for nonstationary panel data with large numbers of cross section and time series observations. The limit theory allows for both sequential limits and joins limits, and the relationship between these multidimensional limits is explored. The panel structures considered allow for no time series cointegration, heterogeneous cointegration, homogeneous cointegration, and near-homogeneous cointegration. The paper explores the existence…

协整似然比检验的数值分布函数AI 解读

This paper employs response surface regressions based on simulation experiments to calculate asymptotic distribution functions for the Johansen-type likelihood ratio tests for cointegration. These are carried out in the context of the models recently proposed by Pesaran, Shin, and Smith (1997) that allow for the possibility of exogenous variables integrated of order one. The paper calculates critical values that are very much more accurate than those available previously.…

存在加性异常值时的 ARCH 检验AI 解读

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AOs). We show analytically that both the asymptotic size and power are adversely affected if AOs are neglected: the test rejects the null hypothesis of homoscedasticity too often when it is in fact true, while the test has difficulty detecting genuine GARCH effects. Several…

存在加性异常值时的 ARCH 检验AI 解读

In this paper we investigate the properties of the Lagrange Multiplier (LM) test for autoregressive conditional heteroscedasticity (ARCH) and generalized ARCH (GARCH) in the presence of additive outliers (AOs). We show analytically that both the asymptotic size and power are adversely affected if AOs are neglected: the test rejects the null hypothesis of homoscedasticity too often when it is in fact true, while the test has difficulty detecting genuine GARCH effects. Several…