论文检索

宏观经济计划与非均衡：波兰1955—1980年的估计AI 解读

This paper specifies and estimates a four-equation disequilibrium model of the consumption goods market in a centrally planned economy (CPE).The data are from Poland for the period 1955-1980, but the analysis is more general and will be applied to other CPEs as soon as the appropriate data sets are complete.This work is based on previous papers of Portes and Winter (P-W) and Charemza and Quandt (C-Q).P-W applied to each of four CPEs a discrete-switching disequilibrium model…

西班牙汽车事故指标分析：多重时间序列方法AI 解读

The main objective of this article is to specify and estimate a model for the car accident rates in Spain to improve input for the decision-making process for insurance companies and provide useful information for traffic authorities. The prediction performance of the model is also analyzed in an attempt to verify the improvement in prediction that takes place when more elaborate models are used.

时变参数与结构汇率模型的样本外预测表现AI 解读

Varying-parameter estimation techniques based on recursive application of the Kalman filter are used to improve the predictive performance of a class of monetary exchange rate models. I find that allowing estimated parameters to vary over time enhances the models' forecasting performance for the dollar–pound, dollar–mark, and dollar–yen exchange rates. Contrary to earlier results in the literature, ex-post forecasts for the dollar-mark rate compare favorably with those…

稳定季节模式下的贝叶斯预测AI 解读

A multiplicative seasonal forecasting model for cumulative events in which, conditional on end- of-season totals being given and seasonal shape being known, it is shown that events occurring within the season are multinomially distributed is presented. The model uses the information contained in the arrival of new events to obtain a posterior distribution for end-of-season totals. Bayesian forecasts are obtained recursively in two stages: first, by predicting the expected…

在宏观经济模型中更灵活地使用预期调查数据AI 解读

A flexible procedure is proposed whereby both the random and systematic errors in measurement of survey data on inflation expectations can be appropriately handled when these surveys are used in the estimation of macroeconomic models. During the period 1952–1980, Livingston's two expectations series and the SRC series systematically underestimated inflation expectations by nearly 25%. The ASA–NBER survey, however, does not exhibit such underestimation. Thus, the use of the…

不可观测成分模型中噪声的最小均方误差估计AI 解读

In model-based estimation of unobserved components, the minimum mean squared error estimator of the noise component is different from white noise. In this article, some of the differences are analyzed. It is seen how the variance of the component is always underestimated, and the smaller the noise variance, the larger the underestimation. Estimators of small-variance noise components will also have large autocorrelations. Finally, in the context of an application, the sample…

理性预期假说约束的 Wald 检验构造AI 解读

Abstract In this paper, we examine the small sample properties of alternative formulations of Wald tests of non‐linear restrictions implied by the rational expectations hypothesis. A Monte Carlo analysis is presented as well as an example using Canadian aggregate time series data. The evidence indicates that Wald test results are extremely sensitive in small samples to the way in which the non‐linear restrictions in such models are parameterized, with a multiplicative form…

自回归移动平均参数的稳健一致估计AI 解读

We aim at estimates of autoregressive-moving average parameters which are simultaneously consistent at the nominal Gaussian model and insensitive to outliers in the data. The estimates may be viewed as a robust version of maximum likelihood estimates of order r and, for purely autoregressive models, reduce to a special case of generalized M-estimates.

混合 ARMA 阶数确定的修正 Hannan—Rissanen 策略AI 解读

A modification to the model selection strategy for mixed autoregressive-moving average order determination suggested by Hannan & Rissanen (1982) is proposed. The modification is designed to eliminate the bias discussed by Hannan & Kavalieris (1984) and involves the use of an alternative model selection criterion. Asymptotic properties of the modified procedure are established and some simulation evidence on the finite sample performance is provided.

插值误差方差与线性确定性指标的估计AI 解读

The autoregressive and window estimators of the inverse variance, Ri (0), say, are adopted for estimating the interpolation error variance, {Ri (0)}−1, and an index of linear determinism, A, of a stationary process {Xt}. The index A is defined as 1 −{R(0) Ri (0)}−1, where R(0) denotes the variance of Xt; A measures the proportion of total variance explained by the interpolator when interpolating Xt, say, from {Xs, S ≠ t}. Some uses of A and {Ri (0)}−1 are discussed. The…

《自回归时间序列集合的估计与假设检验》的公式更正AI 解读

Formulae for ψ^(α) and σ^2(α) on p. 87 do not hold for all α, since they may not satisfy the constraint σ^2(α)≤ψ^(α) induced by the parameterization. Then the expressions do not give maximum likelihood estimates for given α. When the inequality fails, the maximum likelihood estimates are on the boundary of the parameter space, namely where σ2=ψ⁠. The maximum then occurs for σ^2(α)=ψ^(α) both equal to σ^2(α) given at p. 88, shortly after (7). Formula (6) still applies,…

一阶自回归参数的渐消窗估计AI 解读

In the estimation of autoregressive parameters, biases from ordinary least-squares or maximum likelihood estimator are big even for moderately large sample sizes. A new tapering estimation technique is developed to reduce the bias. Monte Carlo experiments show that the tapering estimation in the time domain yields a substantial reduction in the bias when autoregressive parameters are positive and not very near unity, over a wide range of sample sizes.

变点问题的秩检验AI 解读

We consider procedures based on quadratic form rank statistics to test for one or more changepoints in a series of independent observations. Models incorporating both smooth and abrupt changes are introduced. Various test statistics are suggested, their asymptotic null distributions are derived and tables of significance points are given. A Monte Carlo study shows that the asymptotic significance points are applicable to moderately sized samples.

迈向统一的自回归渐近理论AI 解读

This paper develops an asymptotic theory for a first-order autoregression with a root near unity. Deviations from the unit root theory are measured through a noncentrality parameter. When this parameter is negative we have a local alternative that is stationary; when it is positive the local alternative is explosive; and when it is zero we have the standard unit root theory. Our asymptotic theory accommodates these possibilities and helps to unify earlier theory in which the…

变点检验AI 解读

The problem considered is that of testing a sequence of independent normal random variables with constant, known or unknown, variance for no change in mean versus alternatives with a single change-point. Various tests, such as those based on the likelihood ratio and recursive residuals, are studied. Power approximations are developed by integrating approximations for conditional boundary crossing probabilities. A comparison of several tests is made.

同期相关的双变量时间序列AI 解读

Bivariate autoregressive-moving average time series with diagonal parameter matrices for the autoregressive and moving average components exhibit only contemporaneous or instantaneous correlation. In practice, different lengths of each series may be available. An efficient maximum likelihood algorithm for parameter estimation is derived. The statistical efficiency of this new procedure is compared with that of the standard multivariate and univariate procedures which utilize…

Hurst 效应的检验AI 解读

We consider the power of tests for distinguishing between fractional Gaussian noise and white noise of a first-order autoregressive process. Our tests are based on the beta-optimal principle (Davies, 1969), local optimality and the rescaled range test.

均值突变模型中的条件自助法AI 解读

Bootstrap methods are not inherently conditional, but they can be made so by appropriate stratification of the simulated samples which bootstrap produces. We show how stratification can work in a bootstrap analysis of mean-shift in Nile river flow data. The results are compared with both parametric and semiparametric likelihood analyses. The paper ends with some general remarks on conditional bootstraps.

干扰参数仅在备择假设下存在时的假设检验AI 解读

We wish to test a simple hypothesis against a family of alternatives indexed by a one-dimensional parameter, θ. We use a test derived from the corresponding family of test statistics appropriate for the case when θ is given. Davies (1977) introduced this problem when these test statistics had normal distributions. The present paper considers the case when their distribution is chi-squared. The results are applied to the detection of a discrete frequency component of unknown…

自回归谱估计中的谱峰丢失AI 解读

Autoregressive spectral analysis depends on the method used for estimating the autoregressive parameters. It is shown by an asymptotic analysis involving second-order terms that least-squares estimates should be preferred to Yule-Walker estimates, since Yule-Walker estimates may result in loss of spectral peaks and strong bias. The results are confirmed by simulations which include also Burg-type estimates.

状态空间模型的高效广义交叉验证AI 解读

For a signal plus noise model with a state space representation, an efficient procedure is given for obtaining the trace of the influence matrix, where the influence matrix expresses the estimated signal vector as a linear combination of the observed data. This allows an O(n) evaluation of the generalized cross-validation criterion function. Our approach is very efficient, requiring the addition of only one equation to the ordinary Kalman filter, and extends to models with…

确定线性时间序列模型的候选集合AI 解读

The paper applies selection criteria to order determination in linear time series models in a less mechanical fashion than is often found. This is achieved via posterior odds ratios and by applying concepts of grades of evidence advanced by Jeffreys (1961). It is shown how alternative specifications may be compared and this leads to the development of a practical method for determining a portfolio of different models, each of which may be regarded as reasonable for the data…

非连续观测时间序列参数估计量的渐近分布AI 解读

The asymptotic normal distributions of two estimators, the maximum likelihood estimator and an alternative weighted least-squares estimator proposed by Wincek & Reinsel (1986) for parameter estimation of autoregressive-moving average models with nonconsecutively observed or missing data are derived for the stationary first-order autoregressive model, and also for the moving average model under periodic A-B sampling. Numerical comparisons of the explicit asymptotic variances…

变点泊松过程的渐近推断AI 解读

Easily implemented asymptotic off-line procedures for the change-point Poisson process with $\lambda(t)$, the intensity at time $t$, equal to $\lambda_1$ if $t \leq \tau$ and to $\lambda_2$ if $t > \tau$, are developed. They may also be applied to a problem of estimation of the location of a discontinuity in density discussed by Chernoff and Rubin (1956). A test for change is noted, a test of the hypothesis that $\tau = \tau_0$ is proposed, and point and interval estimates…