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未知算子的病态逆问题收敛率AI 解读

This paper studies the estimation of a nonparametric function ϕ from the inverse problem r = Tϕ given estimates of the function r and of the linear transform T . We show that rates of convergence of the estimator are driven by two types of assumptions expressed in a single Hilbert scale. The two assumptions quantify the prior regularity of ϕ and the prior link existing between T and the Hilbert scale. The approach provides a unified framework that allows us to compare…

计量经济学病态逆问题的收敛率最优性AI 解读

In this paper we clarify the relations between the existing sets of regularity conditions for convergence rates of nonparametric indirect regression (NPIR) and nonparametric instrumental variables (NPIV) regression models. We establish minimax risk lower bounds in mean integrated squared error loss for the NPIR and NPIV models under two basic regularity conditions: the approximation number and the link condition. We show that both a simple projection estimator for the NPIR…

密度反卷积的谱方法AI 解读

We propose a new estimator for the density of a random variable observed with an additive measurement error. This estimator is based on the spectral decomposition of the convolution operator, which is compact for an appropriate choice of reference spaces. The density is approximated by a sequence of orthonormal eigenfunctions of the convolution operator. The resulting estimator is shown to be consistent and asymptotically normal. While most estimation methods assume that the…

利用控制函数识别三角系统AI 解读

This note discusses identification in nonparametric, continuous triangular systems. It provides conditions that are both necessary and sufficient for the existence of control functions satisfying conditional independence and support requirements. Confirming a commonly noticed pattern, these conditions restrict the admissible dimensionality of unobserved heterogeneity in the first-stage structural relation, or more generally the dimensionality of the family of conditional…

非参数工具变量问题中的完备性条件AI 解读

The notion of completeness between two random elements has been considered recently to provide identification in nonparametric instrumental problems. This condition is quite abstract, however, and characterizations have been obtained only in special cases. This paper considers a nonparametric model between the two variables with an additive separability and a large support condition. In this framework, different versions of completeness are obtained, depending on which…

广义矩估计模型中的非嵌套检验AI 解读

We analyze the limiting distribution of the Rivers and Vuong (2002, Econometrics Journal 5, 1–39) statistic for choosing between two competing dynamic models based on a comparison of generalized method of moments minimands. It is shown that (i) if both models are misspecified then the statistic has a standard normal distribution under the null hypothesis of equal fit but the ranking could be determined by the choice of the weighting matrix; (ii) if both models are correctly…

多工具变量模型的设定检验AI 解读

This paper studies the asymptotic validity of the Anderson–Rubin ( AR ) test and the J test for overidentifying restrictions in linear models with many instruments. When the number of instruments increases at the same rate as the sample size, we establish that the conventional AR and J tests are asymptotically incorrect. Some versions of these tests, which are developed for situations with moderately many instruments, are also shown to be asymptotically invalid in this…

多变量 ECOGARCH 过程AI 解读

A multivariate extension of the exponential continuous time GARCH ( p , q ) model (ECOGARCH) is introduced and studied. Stationarity and mixing properties of the new stochastic volatility model are investigated, and ways to model a component-wise leverage effect are presented.

单位根回归中的函数形式误设AI 解读

We examine the limit properties of the nonlinear least squares (NLS) estimator under functional form misspecification in regression models with a unit root. Our theoretical framework is the same as that of Park and Phillips (2001, Econometrica 69, 117–161). We show that the limit behavior of the NLS estimator is largely determined by the relative orders of magnitude of the true and fitted models. If the estimated model is of different order of magnitude than the true model,…

零能量泛函的渐近理论及非参数回归应用AI 解读

A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time series involving twin numerical sequences that pass to infinity. The result is applicable in certain nonparametric kernel density estimation and regression problems where the relevant quantities are functions of both sample size and bandwidth. An interesting outcome of the theory in nonparametric regression is that the linear term is eliminated from the asymptotic bias. In…

未知依赖下的白噪声检验及时间序列模型诊断AI 解读

Testing for white noise has been well studied in the literature of econometrics and statistics. For most of the proposed test statistics, such as the well-known Box–Pierce test statistic with fixed lag truncation number, the asymptotic null distributions are obtained under independent and identically distributed assumptions and may not be valid for dependent white noise. Because of recent popularity of conditional heteroskedastic models (e.g., generalized autoregressive…

长程依赖非线性时间序列的设定检验AI 解读

This paper proposes a model specification testing procedure for parametric specification of the conditional mean function in a nonlinear time series model with long-range dependent. An asymptotically normal test is established even when long-range dependent is involved. To implement the proposed test in practice using a simulated example, a bootstrap simulation procedure is established to find a simulated critical value to compute both the size and power values of the…

非线性误差修正模型的估计AI 解读

Asymptotic theory for the estimation of nonlinear vector error correction models that exhibit regime-specific short-run dynamics is developed. In particular, regimes are determined by the error correction term, and the transition between regimes is allowed to be discontinuous, as in, e.g., threshold cointegration. Several nonregular problems are resolved. First of all, consistency—square root n consistency for the cointegrating vector β —is established for the least squares…

弱识别线性联立方程中的渐近枢轴结构变化检验AI 解读

Asymptotically pivotal structural change tests are developed for simultaneous equations with weakly identified parameters, extending the boundedly pivotal tests of Caner (2007, Journal of Econometrics 137, 28–67) by means of a simple reparametrization of the model.

相依持续期数据的经验似然置信区间AI 解读

Three types of confidence intervals are developed for a general class of functionals of a survival distribution based on censored dependent data. The confidence intervals are constructed via asymptotic normality (Wald’s method), the empirical likelihood (EL) method, and the blockwise EL method in which sample means over blocks of observations are used in place of the original data. Asymptotic results are derived to accurately calibrate the various procedures, and their…

基于条件经验似然的非嵌套条件矩限制检验AI 解读

We propose nonnested tests for competing conditional moment restriction models using the method of conditional empirical likelihood, recently developed by Kitamura, Tripathi, and Ahn (2004) and Zhang and Gijbels (2003). To define the test statistics, we use the implied conditional probabilities from conditional empirical likelihood, which take into account the full implications of conditional moment restrictions. We propose three types of nonnested tests: the…

分层抽样数据的矩条件推断AI 解读

Many data sets used by economists and other social scientists are collected by stratified sampling. The sampling scheme used to collect the data induces a probability distribution on the observed sample that differs from the target or underlying distribution for which inference is to be made. If this effect is not taken into account, subsequent statistical inference can be seriously biased. This paper shows how to do efficient semiparametric inference in moment restriction…

异方差回归模型条件方差的经验似然置信区间AI 解读

Fan and Yao (1998) proposed an efficient method to estimate the conditional variance of heteroskedastic regression models. Chen, Cheng, and Peng (2009) applied variance reduction techniques to the estimator of Fan and Yao (1998) and proposed a new estimator for conditional variance to account for the skewness of financial data. In this paper, we apply empirical likelihood methods to construct confidence intervals for the conditional variance based on the estimator of Fan and…

非光滑矩函数的广义经验似然方法AI 解读

This paper considers the first-order large sample properties of the generalized empirical likelihood (GEL) class of estimators for models specified by nonsmooth indicators. The GEL class includes a number of estimators recently introduced as alternatives to the efficient generalized method of moments (GMM) estimator that may suffer from substantial biases in finite samples. These include empirical likelihood (EL), exponential tilting (ET), and the continuous updating…

含未知函数的条件矩限制模型的经验似然估计AI 解读

This paper proposes an empirical likelihood-based estimation method for conditional moment restriction models with unknown functions, which include several semiparametric models. Our estimator is called the sieve conditional empirical likelihood (SCEL) estimator, which is based on the methods of conditional empirical likelihood and sieves. We derive (i) the consistency and a convergence rate of the SCEL estimator for the whole parameter, and (ii) the asymptotic normality and…

长记忆分数阶单整过程的脉冲响应AI 解读

Fractionally integrated time series, which have become an important modeling tool over the last two decades, are obtained by applying the fractional filter $(1 - L)^{ - d} = \sum\nolimits_{n = 0}^\infty {b_n } L^n$ to a weakly dependent (short memory) sequence. Weakly dependent sequences are characterized by absolutely summable impulse response coefficients of their Wold representation. The weights b n decay at the rate n d −1 and are not absolutely summable…

分离偏好与误差：二元面板数据模型AI 解读

In many stated choice experiments researchers observe the random variables V t , X t , and Y t = 1{ U + δ ⊤ X t + ε t < V t }, t ≤ T , where δ is an unknown parameter and U and ε t are unobservable random variables. We show that under weak assumptions the distributions of U and ε t and also the unknown parameter δ can be consistently estimated using a sieved maximum likelihood estimation procedure.

局部错设模型下的一般设定检验AI 解读

A well known result is that many of the tests used in econometrics, such as the Rao score (RS) test, may not be robust to misspecified alternatives, that is, when the alternative model does not correspond to the underlying data generating process. Under this scenario, these tests spuriously reject the null hypothesis too often. We generalize this result to generalized method of moments–based (GMM-based) tests. We also extend the method proposed in Bera and Yoon (1993,…

线性工具变量回归中的新投影型分样本得分检验AI 解读

In this paper we introduce a new method of projection-type inference and describe it in the context of two stage least squares–based split-sample inference on subsets of structural coefficients in a linear instrumental variables regression model. The use of the new method not only guards against the uncontrolled overrejection of the true value of the parameters of interest but also reduces the conservativeness of the usual method of projection proposed by Dufour and his…