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汇率与货币基本面：长期限回归能告诉我们什么？AI 解读

The use of a new bootstrap method for small-sample inference in long-horizon regressions is illustrated by analysing the long-horizon predictability of four major exchange rates, and the findings are reconciled with those of an earlier study by Mark (1995). While there is some evidence of exchange rate predictability, contrary to earlier studies, no evidence is found of higher predictability at longer horizons. Additional evidence is presented that the linear VEC model…

汇率目标区模型：贝叶斯评估AI 解读

This paper develops a Bayesian approach to estimating exchange rate target zone models and rational expectations models in general. It also introduces a simultaneous-equation target zone model that incorporates stochastic realignment risk. Using FF/DM and IL/DM exchange rate data, we find that the signing of the 1987 Basle-Nyborg Agreement reduces both the magnitude and the likelihood of a central parity realignment, while the lagged exchange rate deviation from its central…

长程依赖时间序列的宽频带对数周期图回归AI 解读

This paper discusses the properties of an estimator of the memory parameter of a stationary long-memory time-series originally proposed by Robinson. As opposed to ‘‘narrow-band’’ estimators of the memory parameter (such as the Geweke and Porter-Hudak or the Gaussian semiparametric estimators) which use only the periodogram ordinates belonging to an interval which degenerates to zero as the sample size $n$ increases, this estimator builds a model of the spectral density of…

基于自回归秩得分的自回归模型最优检验AI 解读

Locally asymptotically optimal tests based on autoregression rank scores are constructed for testing linear constraints on the structural parameters of AR processes. Such tests are asymptotically distribution free and do not require the estimation of nuisance parameters. They constitute robust, flexible and quite powerful alternatives to existing methods such as the classical correlogram-based parametric tests, the Gaussian Lagrange multiplier tests, the optimal non-Gaussian…

利用局部锥形参数化检验模型阶数：混合总体与平稳 ARMA 过程AI 解读

In this paper, we address the problem of testing hypotheses using the likelihood ratio test statistic in nonidentifiable models, with application to model selection in situations where the parametrization for the larger model leads to nonidentifiability in the smaller model. We give two major applications: the case where the number of populations has to be tested in a mixture and the case of stationary ARMA$(p, q)$ processes where the order $(p, q)$ has to be tested. We give…

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非平稳分数单位根AI 解读

This paper deals with a scalar I ( d ) process { y j }, where the integration order d is any real number. Under this setting, we first explore asymptotic properties of various statistics associated with { y j }, assuming that d is known and is greater than or equal to ½. Note that { y j } becomes stationary when d < ½, whose case is not our concern here. It turns out that the case of d = ½ needs a separate treatment from d > ½. We then consider, under the normality…

具有无限方差误差的 I(1) 过程之间的伪回归AI 解读

This paper considers spurious regression between integrated processes with stable errors. Our results show that the t -ratios diverge at the rate of √T, which is identical to what Phillips (1986, Journal of Econometrics 33, 311–340) has obtained for the Gaussian case. Therefore, it is the long memory in the dependent variable and regressors, instead of the moment conditions of the error terms, that causes the spurious regression.

具有分数单整误差的协整时间序列渐近推断AI 解读

Vector valued autoregressive models with fractionally integrated errors are considered. The possibility of the coefficient matrix of the model having eigenvalues with absolute values equal or close to unity is included. Quadratic approximation to the log-likelihood ratios in the vicinity of auxiliary estimators of the parameters is obtained and used to make a rough identification of the approximate unit eigenvalues, including complex ones, together with their multiplicities.…

协整回归中的有效去趋势AI 解读

This paper studies efficient detrending in cointegrating regression and develops modified tests for cointegration that use efficient detrending procedures. Asymptotics for these tests are derived. Monte Carlo experiments are conducted to evaluate the detrending procedures in finite samples and to compare tests for cointegration based on different detrending procedures. The limit theory allows for increasingly remote initial condition effects as the sample size goes to…

具有多种隐含单位根的多元时间序列：第二部分AI 解读

This paper extends the statistical results obtained by Gregoir and Laroque (1994, Journal of Econometrics 63, 183–214). It develops statistical tools to analyze multivariate time series that can be represented under an autoregressive equation of finite order with various polynomial error correction terms at various frequencies with possibly a non-null deterministic part as introduced by Gregoir (1999, Econometric Theory 15, 435–468). We propose an estimation procedure that…

具有多种隐含单位根的多元时间序列：第一部分AI 解读

Following the approach proposed by Gregoir and Laroque (1993, Econometric Theory 9, 329–342), we consider a class of multivariate processes that, when differenced enough, yields covariance stationary processes whose determinant of the matrix series associated with their Wold representation has various unit roots with various orders of multiplicity we restrict to be integers. A representation theorem is provided that involves different polynomial error correction terms at…

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随机时间序列李雅普诺夫指数非参数估计的渐近分布AI 解读

This paper derives the asymptotic distribution of a smoothing-based estimator of the Lyapunov exponent for a stochastic time series under two general scenarios. In the first case, we are able to establish root-T consistency and asymptotic normality, while in the second case, which is more relevant for chaotic processes, we are only able to establish asymptotic normality at a slower rate of convergence. We provide consistent confidence intervals for both cases. We apply our…

解释美国制造业投资动态：广义（S，s）方法AI 解读

In this paper, the authors derive a model of aggregate investment that builds from the lumpy microeconomic behavior of firms facing stochastic fixed adjustment costs. Instead of the standard sharp (S, s) bands, firms' adjustment policies take the form of a probability of adjustment (adjustment hazard) that responds smoothly to changes in firms' capacity gap. The model has appealing aggregation properties, and yields nonlinear aggregate time series processes. The passivity of…

美国失业率的动态非对称性AI 解读

The authors examine dynamic asymmetries in U.S. unemployment using nonlinear time series models and Bayesian methods. They find strong statistical evidence in favor of a two-regime threshold autoregressive model. Empirical results indicate that, once parameter and model uncertainty are both taken into account, there are economically interesting asymmetries in the unemployment rate. One finding of particular interest is that shocks that lower the unemployment rate tend to…

失业流动的时间序列证据：样本时期的重要性AI 解读

Worker flows to and from unemployment occur at all stages of the U.S. business cycle. The flows' dynamics affect the dynamics of the unemployment rate. This article studies the dynamics of unemployment flows and the unemployment rate and explores and documents changes over time. Rigorous diagnostic tests are used to investigate the structural stability of projectional relationships involving flows and the unemployment rate.

部分调整模型中的随机时间聚合AI 解读

How is econometric analysis (of partial adjustment models) affected by the fact that, although data collection is done at regular, fixed intervals of time, economic decisions are made at random intervals of time? This article addresses this question by modeling the economic decision-making process as a general point process. Under random-time aggregation, (1) inference on the speed of adjustment is biased-adjustments are a function of the intensity of the point process and…

美国商业周期状态的预测AI 解读

This article examines the use of logistic classification methods for the identification and prediction of postwar U.S. business-cycle expansion and contraction regimes as defined by the National Bureau of Economic Research (NBER) reference turning-point dates. We present a coherent theoretical framework for this task using measures of discriminatory information. The analysis encompasses model selection, parameter estimation, and classification decision rules. We examine the…

重新审视瑞典经济周期：1861—1988年AI 解读

The linearity of nine long Swedish macroeconomic time series, whose business cycle properties were discussed by Englund, Persson, and Svensson (1992), is tested and rejected for all but two. Non-linear (STAR) models are estimated, and their properties are investigated. Business cycle frequency variation does not seem to be constant over time for all series; it is difficult to find a 'Swedish business cycle'. Pairwise Granger non-causality tests are adapted to the STAR case,…

杂论：含加性噪声的时间序列AI 解读

We put forward a state space model where the unobservable state variable can be any Gaussian stochastic process. We discuss both maximum likelihood estimation and Bayesian inference for this generalised model. The methodology developed in this paper is particularly important for the class of long memory plus noise models. Armed with the simulation smoother introduced in this paper, we can estimate a class of non-Gaussian measurement time series models with long memory in the…

杂论：线性过程的时间可逆性AI 解读

A necessary and sufficient condition for time-reversibility of stationary linear processes is given which, contrary to previous results, does not require existence of moments of order higher than two.

含平稳回归变量的VAR模型协整秩推断AI 解读

The issue of including stationary explanatory variables is addressed in the vector autoregressive (VAR) model, when testing for cointegration rank. It is shown that simply in-cluding stationary explanatory variables as extra regressors will lead to nuisance parameters in the asymptotic distribution of the trace statistic for cointegration rank. The nuisance parame-ters are characterized as canonical correlations between the common trends (which in this case also involve the…