论文检索

基于回归的季节性单位根检验AI 解读

The contribution of this paper is threefold. First, a characterization theorem of the subhypotheses comprising the seasonal unit root hypothesis is presented that provides a precise formulation of the alternative hypotheses associated with regression- based seasonal unit root tests. Second, it proposes regression-based tests for the seasonal unit root hypothesis that allow a general seasonal aspect for the data and are similar both exactly and asymptotically with respect to…

含中度整合与中度爆炸回归变量的协整系统极限理论AI 解读

An asymptotic theory is developed for multivariate regression in cointegrated systems whose variables are moderately integrated or moderately explosive in the sense that they have autoregressive roots of the form ρ ni = 1 + c i / n α , involving moderate deviations from unity when α ∈ (0, 1) and c i ∈ ℝ are constant parameters. When the data are moderately integrated in the stationary direction (with c i < 0), it is shown that least squares regression is consistent and…

时间序列面板的非参数加性模型AI 解读

This paper discusses nonparametric models for panels of time series. There is already a substantial literature on nonlinear models and nonparametric methods in a regression and time series setting. But almost without exception these developments have been limited to univariate and multivariate models of moderate dimensions. Very little has been done for panels, where the dimension, often corresponding to a number of individuals, typically is very large but where the number…

区分随机游走与均值变化备择AI 解读

We study test procedures that detect structural breaks in underlying data sequences. In particular, we wish to discriminate between different reasons for these changes, such as (1) shifting means, (2) random walk behavior, and (3) constant means but innovations switching from stationary to difference stationary behavior. Almost all procedures presently available in the literature are simultaneously sensitive to all three types of alternatives. The test statistics under…

因子 GARCH 模型的渐近理论AI 解读

This paper investigates the asymptotic theory for a factor GARCH (generalized autoregressive conditional heteroskedasticity) model. Sufficient conditions for asymptotic stability and existence of moments are established. These conditions allow for volatility spillover and integrated GARCH. We then show the strong consistency and asymptotic normality of the quasi–maximum likelihood estimator (QMLE) of the model parameters. The results are obtained under the finiteness of the…

工具变量回归中多个参数的条件似然比检验AI 解读

For the problem of testing the hypothesis that all m coefficients of the right-hand-side endogenous variables in an instrumental variables (IV) regression are zero, the likelihood ratio (LR) test can, if the reduced form covariance matrix is known, be rendered similar by a conditioning argument. To exploit this fact requires knowledge of the relevant conditional cumulative distribution function (c.d.f.) of the LR statistic, but the statistic is a function of the smallest…

Lasso 型广义矩估计量AI 解读

This paper proposes the least absolute shrinkage and selection operator–type (Lasso-type) generalized method of moments (GMM) estimator. This Lasso-type estimator is formed by the GMM objective function with the addition of a penalty term. The exponent of the penalty term in the regular Lasso estimator is equal to one. However, the exponent of the penalty term in the Lasso-type estimator is less than one in the analysis here. The magnitude of the exponent is reduced to avoid…

预先调整确定性项的系统协整检验自助法AI 解读

In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006, Econometric Theory 22, 15–68) and Saikkonen and Lütkepohl (2000, Journal of Time Series Analysis 21, 435–456). The asymptotic properties of the bootstrap test procedures are derived, and their small-sample properties are studied. The simulation study also considers the standard asymptotic test versions and the…

最高阶不变多项式的高效递推计算及应用AI 解读

The top-order zonal polynomials C k ( A ), and top-order invariant polynomials C k 1 ,…, k r ( A 1 , …, A r ) in which each of the partitions of k i , i = 1, …, r , has only one part, occur frequently in multivariate distribution theory, and econometrics — see, for example, Phillips (1980, Econometrica 48, 861–878; 1984, Journal of Econometrics 26, 387–398; 1985, International Economic Review 26, 21–36; 1986, Econometrica 54, 881–896), Hillier (1985, Econometric Theory 1,…

两个平稳时间序列独立性的广义综合检验AI 解读

We propose generalized portmanteau-type test statistics in the frequency domain to test independence between two stationary time series. The test statistics are formed analogous to the one in the paper by Chen and Deo (2004, Econometric Theory 20, 382–416), who extended the applicability of the portmanteau goodness-of-fit test to the long memory case. Under the null hypothesis of independence, the asymptotic standard normal distributions of the proposed statistics are…

综合设定检验局部功效不足的问题AI 解读

Designed to have power against all alternatives, omnibus consistent tests are the primary econometric tools for testing the correct specification of parametric conditional means when there is no information about the possible alternative. The main purpose of this paper is to show that, contrary to what is generally believed, omnibus specification tests only have substantial local power against alternatives in a finite-dimensional space (usually unknown to the researcher). We…

用灵活系数 GARCH(1,1) 模型刻画金融波动的多重状态AI 解读

In this paper a flexible multiple regime GARCH(1,1)-type model is developed to describe the sign and size asymmetries and intermittent dynamics in financial volatility. The results of the paper are important to other nonlinear GARCH models. The proposed model nests some of the previous specifications found in the literature and has the following advantages. First, contrary to most of the previous models, more than two limiting regimes are possible, and the number of regimes…

回归变量持续性未知时的协方差正交性检验AI 解读

This paper develops a new test of orthogonality based on a zero restriction on the covariance between the dependent variable and the predictor. The test provides a useful alternative to regression-based tests when conditioning variables have roots close or equal to unity. In this case standard predictive regression tests can suffer from well-documented size distortion. Moreover, under the alternative hypothesis, they force the dependent variable to share the same order of…

马尔可夫转换 ARMA 过程的平稳性、矩存在与几何遍历性AI 解读

The probabilistic properties of ℝ d -valued Markov-switching autoregressive moving average (ARMA) processes with a general state space parameter chain are analyzed. Stationarity and ergodicity conditions are given, and an easy-to-check general sufficient stationarity condition based on a tailor-made norm is introduced. Moreover, it is shown that causality of all individual regimes is neither a necessary nor a sufficient criterion for strict negativity of the associated…

含离散回归变量的回归函数非参数估计AI 解读

We consider the problem of estimating a nonparametric regression model containing categorical regressors only. We investigate the theoretical properties of least squares cross-validated smoothing parameter selection, establish the rate of convergence (to zero) of the smoothing parameters for relevant regressors, and show that there is a high probability that the smoothing parameters for irrelevant regressors converge to their upper bound values, thereby automatically…

通过增加回归变量获得估计效率AI 解读

It is well known that in standard linear regression models with independent and identically distributed data and homoskedasticity, adding “irrelevant regressors” hurts (asymptotic) efficiency unless such irrelevant regressors are orthogonal to the remaining regressors. But we have found that under (conditional) heteroskedasticity “irrelevant regressors” can always be found such that one can achieve the asymptotic variance of the generalized least squares estimator by adding…

含无限维干扰参数的半参数估计中的效率悖论AI 解读

This note considers a puzzling phenomenon that is observed in some semiparametric estimation problems. In some cases, using estimated values of the nuisance parameters provides a more efficient estimator for the parameters of interest than does using the true values. This phenomenon takes place even in cases of semi-nonparametric models in which the nuisance parameters are infinite-dimensional and cannot be estimated at the parametric rate. We examine the structure and…

门限自回归中的单位根检验：渐近理论与残差区块自助法AI 解读

This paper develops a test of the unit root null hypothesis against a stationary threshold process. This testing problem is nonstandard and complicated because a parameter is unidentified and the process is nonstationary under the null hypothesis. We derive an asymptotic distribution for the test, which is not pivotal without simplifying assumptions. A residual-based block bootstrap is proposed to calculate the asymptotic p -values. The asymptotic validity of the bootstrap…

非参数前沿模型中 DEA 估计量的渐近理论与一致自助法AI 解读

Nonparametric data envelopment analysis (DEA) estimators based on linear programming methods have been widely applied in analyses of productive efficiency. The distributions of these estimators remain unknown except in the simple case of one input and one output, and previous bootstrap methods proposed for inference have not been proved consistent, making inference doubtful. This paper derives the asymptotic distribution of DEA estimators under variable returns to scale.…

一般 ARCH 模型的自适应密度估计AI 解读

We consider a model Y t = σ t η t in which (σ t ) is not independent of the noise process (η t ) but σ t is independent of η t for each t . We assume that (σ t ) is stationary, and we propose an adaptive estimator of the density of ln(σ t 2 ) based on the observations Y t . Under a new dependence structure, the τ-dependency defined by Dedecker and Prieur (2005, Probability Theory and Related Fields 132, 203–236), we prove that the rates of this nonparametric estimator…

半参数多指标模型的设定与估计AI 解读

We propose an easy to use derivative-based two-step estimation procedure for semiparametric index models, where the number of indexes is not known a priori. In the first step various functionals involving the derivatives of the unknown function are estimated using nonparametric kernel estimators, in particular the average outer product of the gradient (AOPG). By testing the rank of the AOPG we determine the required number of indexes. Subsequently, we estimate the index…

广义自回归条件相关模型AI 解读

This paper develops a generalized autoregressive conditional correlation (GARCC) model when the standardized residuals follow a random coefficient vector autoregressive process. As a multivariate generalization of the Tsay (1987, Journal of the American Statistical Association 82, 590–604) random coefficient autoregressive (RCA) model, the GARCC model provides a motivation for the conditional correlations to be time varying. GARCC is also more general than the Engle (2002,…

GARCH 模型中的 M 估计AI 解读

This paper derives asymptotic normality of a class of M -estimators in the generalized autoregressive conditional heteroskedastic (GARCH) model. The class of estimators includes least absolute deviation and Huber's estimator in addition to the well-known quasi maximum likelihood estimator. For some estimators, the asymptotic normality results are obtained only under the existence of fractional unconditional moment assumption on the error distribution and some mild smoothness…

函数空间上级数估计量的一致收敛AI 解读

This paper considers a series estimator of E [α( Y )|λ( X ) = λ̄], (α,λ) ∈ 𝛢 × Λ, indexed by function spaces, and establishes the estimator's uniform convergence rate over λ̄ ∈ R , α ∈ 𝛢, and λ ∈ Λ, when 𝛢 and Λ have a finite integral bracketing entropy. The rate of convergence depends on the bracketing entropies of 𝛢 and Λ in general. In particular, we demonstrate that when each λ ∈ Λ is locally uniformly ℒ 2 -continuous in a parameter from a space of polynomial…