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自回归模型单位根检验的 Bartlett 修正AI 解读

The usual conditions for a Bartlett correction are not fulfilled when testing for a unit root in a Gaussian autoregressive model. However, by expanding the moments of the likelihood ratio statistic it can be shown that the Bartlett correction improves the asymptotic distribution approximation.

条件异方差下的门限自回归检验AI 解读

This paper addresses the null distribution of the Lagrange-multiplier statistic for the threshold autoregression with conditional heteroscedasticity. The problem is nonstandard because the threshold parameter is a nuisance parameter which is absent under the null hypothesis. We generalise the results of Chan (1990) and Chan & Tong (1990) to show that the asymptotic null distribution of the Lagrange-multiplier statistic is a functional of a zero-mean Gaussian process. The…

时间序列模型的经验似然置信域AI 解读

This paper develops empirical likelihood in time series models. By application of Whittle's estimation method, one obtains an M-estimator of the parameter of a stationary time series from approximately independent observations, the periodogram ordinates. This estimator is used to obtain an empirical likelihood ratio which is asymptotically distributed as x2 and which can be used to construct confidence regions. A procedure for the Bartlett correction is also proposed.…

可能部分非平稳向量时间序列的缺失值估计AI 解读

Ljung's (1989) method for estimating missing values and evaluating the corresponding likelihood function in scalar time series is extended to the vector case. The series is assumed to be generated by a possibly partially nonstationary and noninvertible vector autoregressive-moving average process. No particular pattern of missing data is assumed. Future and past values are special cases of missing data that can be estimated in the same way. The method does not use Kalman…

时间序列分解札记AI 解读

A constructive result on time series decomposition is presented and illustrated. Developed through dynamic linear models, the decomposition is useful in analysis of an observed time series through inference about underlying, latent component series that may have physical interpretations. Particular special cases include state space autoregressive component models, in which the decomposition is useful for isolating latent, quasi-cyclical components, in particular. Brief…

自相关存在时 EWMA 控制图的若干性质AI 解读

Schmid extended the classical EWMA control chart to autocorrelated processes. Here, we consider the tail probability of the run length in the in-control state. The in-control process is assumed to be a stationary Gaussian process. It is proved that the tails for the autocorrelated process are larger than in the case of independent variables if all autocovariances are greater than or equal to zero. The inequality is strict. Moreover, this result is still valid for stationary…

连续时间过程非参数估计量与预测量的参数收敛速度AI 解读

We show that local irregularity of observed sample paths provides additional information which allows nonparametric estimators and predictors for continuous time processes to reach parametric rates in mean square as well as in a.s. uniform convergence. For example, we prove that under suitable conditions the kernel density estimator $f_T$ associated with the observed sample path $(X_t, 0 \leq t \leq T)$ satisfies $$\sup_{x \epsilon \mathbb{R}}|f_T(x) - f(x)| = o(\ln_k T(\frac{\ln T}{T})^{1/2}) \quad \text{a.s.}, k \geq 1$$…

ARIMA模型中季节移动平均单位根的检验AI 解读

Procedures to test for a unit root in the seasonal moving average (MA) operator for seasonal autoregressive integrated moving average (ARIMA) models are examined. Such procedures are useful to distinguish deterministic from stochastic seasonal patterns. The simple (integrated) seasonal MA(1) model Z t ≡ Y t - Yt-s = (1 - θB s)ϵt, where {Y t} is the observed seasonal series and {ϵt} is a white noise sequence, is considered, and tests for H 0: θ = 1 versus H 1: θ < 1 are…

通过条件高斯动态模型进行多项时间序列的贝叶斯预测AI 解读

We consider inference in the class of conditionally Gaussian dynamic models for nonnormal multivariate time series. In such models, data are represented as drawn from nonnormal sampling distributions whose parameters are related both through time and hierarchically across several multivariate series. A key example—the main focus here—is time series of multinomial observations, a common occurrence in sociological and demographic studies involving categorical count data.…

方差变点的检验与定位及其股票价格应用AI 解读

This article explores testing and locating multiple variance changepoints in a sequence of independent Gaussian random variables (assuming known and common mean). This type of problem is very common in applied economics and finance. A binary procedure combined with the Schwarz information criterion (SIC) is used to search all of the possible variance changepoints existing in the sequence. The simulated power of the proposed procedure is compared to that of the CUSUM…

计量经济学、金融及其他领域中的时间序列模型AI 解读

Statistical Aspects of ARCH and Scholastic Volatility Likelihood-Based Inference for Cointegration of Some Non-Stationary Time Series Forecasting in Macroeconomics Longitudinal Panel Data: An Overview of Current Methodology

摘要暂缺

We document extreme bias and dispersion in the small-sample distributions of four standard regression-based tests of the expectations hypothesis of the term structure of interest rates. The biases arise because of the extreme persistence in short interest rates. We derive approximate analytic expressions for the biases under a simple first-order autoregressive data generating process for the short rate. We then conduct Monte Carlo experiments based on a bias-adjusted…

逐一估计多个结构断点AI 解读

Sequential (one-by-one) rather than simultaneous estimation of multiple breaks is investigated in this paper. The advantage of this method lies in its computational savings and its robustness to misspecification in the number of breaks. The number of least-squares regressions required to compute all of the break points is of order T , the sample size. Each estimated break point is shown to be consistent for one of the true ones despite underspecification of the number of…

协整与动态联立方程模型AI 解读

The author demonstrates that despite variables that are integrated, the fundamental issues on structural equation modeling raised by the Cowles Commission remain valid and standard estimation and testing procedures can still be applied. A basic framework linking the multiple time series model and the dynamic simultaneous equation model is provided and implications under the long-run cointegrating relations are discussed. Conditions for identifying both the short-run dynamics…

协整分析中的两个混合正态密度AI 解读

We derive explicitly the exact density functions of two key mixed normal variates that arise from cointegration analysis. We also plot them, and analyze their analytical features and implications.

长记忆误差下 M 估计量的渐近展开AI 解读

This paper obtains a higher-order asymptotic expansion of a class of M-estimators of the one-sample location parameter when the errors form a long-memory moving average. A suitably standardized difference between an M-estimator and the sample mean is shown to have a limiting distribution. The nature of the limiting distribution depends on the range of the dependence parameter $\theta$. If, for example, $1/3 < \theta < 1$, then a suitably standardized difference between the…

时间序列模型中的自适应估计AI 解读

In a framework particularly suited for many time-series models we obtain a LAN result under quite natural and economical conditions. This enables us to construct adaptive estimators for (part of) the Euclidean parameter in these semiparametric models. Special attention is directed to group models in time series with the important subclass of models with time varying location and scale. Our set-up is confronted with the existing literature and, as examples, we reconsider…

具有正则变动尾部的随机变量的周期移动平均AI 解读

In this paper we establish the basic asymptotic theory for periodic moving averages of i.i.d. random variables with regularly varying tails. The moving average coefficients are allowed to vary according to the season. A simple reformulation yields the corresponding results for moving averages of random vectors. Our main result is that when the underlying random variables have finite variance but infinite fourth moment, the sample autocorrelations are asymptotically stable.…

摘要暂缺

加性非线性 ARX 时间序列与投影估计AI 解读

We propose projections as means of identifying and estimating the components (endogenous and exogenous) of an additive nonlinear ARX model. The estimates are nonparametric in nature and involve averaging of kernel-type estimates. Such estimates have recently been treated informally in a univariate time series situation. Here we extend the scope to nonlinear ARX models and present a rigorous theory, including the derivation of asymptotic normality for the projection estimates…

利用伪似然比检验进行协整检验AI 解读

This paper considers pseudomaximum likelihood estimators for vector autoregressive models. These estimators are used to determine the cointegration rank of a multivariate time series process using pseudolikelihood ratio tests. The asymptotic distributions of these tests depend on nuisance parameters if the pseudolikelihood is non-Gaussian. This even holds if the likelihood is correctly specified. The nuisance parameters have a natural interpretation and can be consistently…

一种多元条件异方差模型AI 解读

Tsay (1987) developed the conditional heteroscedastic autoregressive moving-average model, which includes the conditional heteroscedastic autoregressive and random coefficient autoregressive models as special cases. This paper establishes the multivariate conditional heteroscedastic autoregressive moving-average model, and considers its theoretical properties and applications. Maximum likelihood estimation of the model is discussed in detail. A representation of the…

用最小卡方方法高效估计随机微分方程AI 解读

We propose a minimum chi-squared estimator for the parameters of an ergodic system of stochastic differential equations with partially observed state. We prove that the efficiency of the estimator approaches that of maximum likelihood as the number of moment functions entering the chi-squared criterion increases and as the number of past observations entering each moment function increases. The rninimised criterion is asymp totically chi-squared and can be used to test…