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局部最优的季节单位根检验AI 解读

This article proposes a locally best invariant test of the null hypothesis of seasonal stationarity against the alternative of seasonal unit roots at all or individual seasonal frequencies. An asymptotic distribution theory is derived and the finite-sample properties of the test are examined in a Monte Carlo simulation. My test is also compared with the Canova and Hansen test. The proposed test is superior to the Canova and Hansen test in terms of both size and power.

调查误差自相关的估计及其在小区域趋势估计中的应用AI 解读

This article describes a simple method of estimating the autocorrelations of survey errors for the case of routing-panel sampling designs. Such designs are in routine use, for example, in labor force surveys (LFS). The survey-error autocorrelations induce spurious trends that need to be separated from the trend of the population values when the latter is of interest. This can be achieved by use of simple state-space models that combine the model holding for the population…

单位根检验与非对称调整：利率期限结构示例AI 解读

This article develops critical values to test the null hypothesis of a unit root against the alternative of stationarity with asymmetric adjustment. Specific attention is paid to threshold and momentum threshold autoregressive processes. The standard Dickey–Fuller tests emerge as a special case. Within a reasonable range of adjustment parameters, the power of the new tests is shown to be greater than that of the corresponding Dickey–Fuller test. The use of the tests is…

扩展索洛模型的稳健性检验AI 解读

This paper demonstrates some techniques for testing the robustness of cross-section and panel data regressions, and applies them to the influential augmented Solow growth model. The paper focuses on robust estimation and analysis of sensitivity to measurement error. In particular, it is shown that estimated technology parameters and convergence rates are highly sensitive to measurement error. � 1998 John Wiley & Sons, Ltd.

连续阈值自回归模型最小二乘估计量的极限性质AI 解读

The continuous threshold autoregressive model is a sub-class of the threshold autoregressive model subject to the requirement that the piece-wise linear autoregressive function be continuous everywhere. In contrast with the discontinuous case, it is shown that, under suitable regularity conditions, the conditional least squares estimator of the pararneters including the threshold parameter is root-n consistent and asymptotically normally distributed. The theory is…

具有不变性结构的监测问题中误报警平均运行长度AI 解读

Surveillance can be based, in some change-point detection problems, on a sequence of invariant statistics. Gordon and Pollak prove that, under certain conditions, the average run length (ARL) to false alarm of invariance- based Shiryayev–Roberts detection schemes is asymptotically the same as that of the dual classical scheme that is based on the original sequence of observations. In this paper we give alternative conditions under which the two ARLs coincide and demonstrate…

经济预测的一个分析框架AI 解读

This paper proposes a tripartite framework of design, evaluation, and post-evaluation analysis for generating and interpreting economic forecasts. This framework?s value is illustrated by re-examining mean square forecast errors from dynamic models and nonlinearity biases from empirical forecasts of US external trade. Previous studies have examined properties such as nonlinearity bias and the possible nonmonotonicity and nonexistence of mean square forecast errors in…

受限因变量过程的模拟似然推断AI 解读

This paper looks at the problem of performing likelihood inference for limited dependent processes. Throughout we use simulation to carry out either classical inference through a simulated score method (simulated EM algorithm) or Bayesian analysis. A common theme is to develop computationally robust methods which are likely to perform well for any time series problem. The central tools we use to deal with the time series dimension of the models are the scan sampler and the…

协整阶梯形 VARMA 模型的 Kronecker 指数估计AI 解读

VARMA models can be parameterized by using the echelon form, which is characterized by the Kronecker indices. Three different methods for estimating the Kronecker indices of echelon-form VARMA models are discussed and compared. The three methods are expected to work even for non-stationary processes with cointegrated variables. They have the common feature of estimating the individual equations of the system separately and using order selection criteria. The small sample…

利用控制变量降低间接推断方差：连续时间利率模型AI 解读

Simulation estimators, such as indirect inference or simulated maximum likelihood, are successfully employed for estimating stochastic differential equations. They adjust for the bias (inconsistency) caused by discretization of the underlying stochastic process, which is in continuous time. The price to be paid is an increased variance of the estimated parameters. The variance suffers from an additional component, which depends on the stochastic simulation involved in the…

马尔可夫转换与门限自回归模型对美国 GNP 的预测表现比较AI 解读

While there has been a great deal of interest in the modelling of non-linearities in economic time series, there is no clear consensus regarding the forecasting abilities of non-linear time-series models. We evaluate the performance of two leading non-linear models in forecasting post-war US GNP, the self-exciting threshold autoregressive model and the Markov-switching autoregressive model. Two methods of analysis are employed: an empirical forecast accuracy comparison of…

时间序列中的冲击诊断AI 解读

Efficient means of modeling aberrant behavior in times series are developed. Our methods are based on state-space forms and allow test statistics for various interventions to be computed from a single run of the Kalman filter smoother. The approach encompasses existing detection methodologies. Departures commonly observed in practice, such as outlying values, level shifts, and switches, are readily dealt with. New diagnostic statistics are proposed. Implications for…

局部异方差积分下若干差分平稳检验的功效AI 解读

This article considers the power properties of the McCabe and Tremayne (MT) test for the difference stationarity of a time series. The limiting distribution of the MT test is derived under sequences of locally heteroscedastic and locally explosive autoregressive (AR) alternatives. The limiting distribution of Dickey–Fuller (DF) statistics is also considered under a sequence of locally heteroscedastic alternatives. Whereas the MT test possesses asymptotic power against both…

部分非平稳模型中完全修正向量自回归的推断AI 解读

The likelihood ratio (LR) test for ranks is commonly used to test for the number of cointegrating relationships among multivariate time series. The distribution of the LR test in partially nonstationary models is nonstandard and contains nuisance parameters in the presence of non-iid errors and misspecified lags. In contrast, I show that under less-restrictive assumptions on the errors, the fully modified (FM) vector autoregressive (VAR) rank test has a chi-squared…

识别多元时间序列模型的统一方法AI 解读

This article proposes a Bayesian procedure for simultaneous identification of the Kronecker indices and model parameters of a multivariate linear system. The model parameters include the starting values and innovations of the system so that the series considered may be co-integrated or non-invertible. The procedure uses some recent developments in stochastic search variable selection in linear regression analysis and Markov chain Monte Carlo methods in statistical computing.…

谱密度的数据驱动有效估计AI 解读

A nonparametric data-driven spectral density estimator is suggested for a class of processes with the exponentially decaying autocovariance function. This particular class is motivated by causal ARMA processes. The estimator is asymptotically efficient; that is, its mean integrated squared error converges with optimal minimax constant and rate as the sample size increases. The article also presents a Monte Carlo study of the estimator for the case of small sample sizes and…

美国失业率预测AI 解读

This article presents a comparison of forecasting performance for a variety of linear and nonlinear time series models using the U.S. unemployment rate. Our main emphases are on measuring forecasting performance during economic expansions and contractions by exploiting the asymmetric cyclical behavior of unemployment numbers, on building vector models that incorporate initial jobless claims as a leading indicator, and on utilizing additional information provided by the…

多元时间序列模型识别的统一方法AI 解读

This article proposes a Bayesian procedure for simultaneous identification of the Kronecker indices and model parameters of a multivariate linear system. The model parameters include the starting values and innovations of the system so that the series considered may be co-integrated or non-invertible. The procedure uses some recent developments in stochastic search variable selection in linear regression analysis and Markov chain Monte Carlo methods in statistical computing.…

数据驱动的有效谱密度估计AI 解读

A nonparametric data-driven spectral density estimator is suggested for a class of processes with the exponentially decaying autocovariance function. This particular class is motivated by causal ARMA processes. The estimator is asymptotically efficient; that is, its mean integrated squared error converges with optimal minimax constant and rate as the sample size increases. The article also presents a Monte Carlo study of the estimator for the case of small sample sizes and…

摘要暂缺

以时间序列为基础的计量经济学AI 解读

Since the influential work by Nelson and Plosser (1982) and Engle and Granger (1987), many new and exciting developments have been made in the analysis of time series involving autoregressive unit roots. Hatanaka (1996; hereafter HT) reviewed the literature on unit roots and cointegration up to 1994 and provided new perspectives on this research area.

趋势函数突变对 Dickey–Fuller 单位根检验的影响AI 解读

This article analyzes the asymptotic behavior of the Dickey–Fuller unit root tests when the variable is generated under the breaking trend hypothesis. Our results show that the asymptotic behavior of these statistics allows for the rejection of the unit root hypothesis. This asymptotic finding contrasts with the results that can be found in the literature devoted to the analysis of the integration order of a variable in the presence of a structural break. However, some Monte…

含 MA 单位根的 ARMA 模型估计AI 解读

This paper investigates the behavior of the maximum likelihood estimator of a Gaussian autoregressive moving average model with a unit root in the moving average polynomial. The results are primarily of interest in testing hypotheses that involve moving average unit roots as, for example, when testing for stationarity of a series.

季节周期、单位根与均值变化AI 解读

The interpretation of seasonality in terms of economic behavior depends on the form of the econometric time-series model that allows for a description of seasonality. Popular models often assume either approximate deterministic seasonality (cf. Miron (1996)) or stochastic trend seasonality (cf. Hylleberg (1994)). Inference from an inappropriate model can be shown to be invalid. Since much graphical evidence clearly suggests that seasonal fluctuations are not constant over…