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含未观测异质性的持续期模型的有效半参数估计AI 解读

This paper develops a new semiparametric approach for the estimation of hazard functions in the presence of unobserved heterogeneity. The hazard function is specified parametrically, whereas the distribution of the unobserved heterogeneity is indirectly estimated using the method of kernels. The semiparametric efficiency bounds are derived. The estimator obtains these bounds in large samples.The authors thank Yongmiao Chen, James Heckman, Hidehiko Ichimura, Tony Lancaster,…

半参数多元波动率模型AI 解读

We consider a model for a multivariate time series where the conditional covariance matrix is a function of a finite-dimensional parameter and the innovation distribution is nonparametric. The semiparametric lower bound for the estimation of the euclidean parameter is characterized, and it is shown that adaptive estimation without reparametrization is not possible. Based on a consistent first-stage estimator (such as quasi maximum likelihood), we propose a semiparametric…

扩散过程的扩散函数参数设定检验AI 解读

A new consistent test is proposed for the parametric specification of the diffusion function in a diffusion process without any restrictions on the functional form of the drift function. The data are assumed to be sampled discretely in a time interval that can be fixed or lengthened to infinity. The test statistic is shown to follow an asymptotic normal distribution under the null hypothesis that the parametric diffusion function is correctly specified. Monte Carlo…

未知形式条件异方差下时间序列条件均值模型的改进广义谱检验AI 解读

Dynamic economic theories usually have implications on and only on the conditional mean dynamics of economic processes. Using a generalized spectral derivative approach, Hong and Lee (2005, Review of Economic Studies 72, 499–541) recently proposed a new class of omnibus nonparametric specification tests for linear and nonlinear time series conditional mean models, where the dimension of the conditioning information set may be infinite. The tests can detect a wide range of…

维纳–柯尔莫哥洛夫滤波、频率选择滤波与多项式回归AI 解读

Adaptations of the classical Wiener–Kolmogorov filters are described that enable them to be applied to short nonstationary sequences. Alternative filtering methods that operate in the time domain and the frequency domain are described. The frequency-domain methods have the advantage of allowing components of the data to be separated along sharp dividing lines in the frequency domain, without incurring any leakage. The paper contains a novel treatment of the start-up problem…

近历元依赖条件下的局部线性拟合AI 解读

Local linear fitting of nonlinear processes under strong (i.e., α-) mixing conditions has been investigated extensively. However, it is often a difficult step to establish the strong mixing of a nonlinear process composed of several parts such as the popular combination of autoregressive moving average (ARMA) and generalized autoregressive conditionally heteroskedastic (GARCH) models. In this paper we develop an asymptotic theory of local linear fitting for near epoch…

简单线性模型的预测与估计：真的如此简单吗？AI 解读

Consider the simple normal linear regression model for estimation/prediction at a new design point. When the slope parameter is not obviously nonzero, hypothesis testing and information criteria can be used for identifying the right model. We compare the performances of such methods both theoretically and empirically from different perspectives for more insight. The testing approach at the conventional size of 0.05, in spite of being the “standard approach,” performs poorly…

不完整数据与多种处理下的最小最大遗憾决策AI 解读

This note adds to the recent research project on treatment choice under ambiguity. I generalize the Manski (Journal of Econometrics, in press) analysis of minimax regret treatment choice by considering a more general setting and, more importantly, by solving for the treatment rule given finitely many (as opposed to two) treatments. The most interesting finding is that with three or more undominated treatments, the minimax regret treatment rule may assign the same treatment…

弱外生性下的永久—暂时分解AI 解读

This note shows that the orthogonal shocks obtained by imposing a recursive structure on the contemporaneous impacts of the errors in a vector-error correction model (VECM) are related to the orthogonal permanent-transitory shocks in a Gonzalo and Ng (2001, Journal of Economic Dynamics and Control 25, 1527–1546) decomposition provided some of the variables in the system are weakly exogenous. Specifically, when there are as many weakly exogenous variables as common trends and…

异质面板中的共同随机趋势与聚合AI 解读

In nonstationary heterogeneous panels where the number of units is finite and where each unit cointegrates, a large number of conditions needs to be satisfied for cointegration to be preserved in the aggregate relationship. In reality, the conditions most likely will not hold. This paper takes a closer look at what happens when the conditions are violated. In this case, the question of whether an aggregate relationship is observationally equivalent to a cointegrating…

用系统估计重新推导 Mundlak 的固定效应结果AI 解读

Mundlak (1978, Econometrica 46, 69–85) showed that the fixed effects estimator can be obtained as generalized least squares (GLS) for a panel regression model where the individual effects are random but are all hopelessly correlated with the regressors. This result was obtained by partitioned inversion after substituting the reduced form expression for the individual effects as a function of the means of all the regressors. This note shows that Mundlak's result can be…

Breitung 面板单位根检验及其局部渐近功效AI 解读

This note analyzes the local asymptotic power properties of a test proposed by Breitung (2000, in B. Baltagi (ed.), Nonstationary Panels, Panel Cointegration, and Dynamic Panels). We demonstrate that the Breitung test, like many other tests (including point optimal tests) for panel unit roots in the presence of incidental trends, has nontrivial power in neighborhoods that shrink toward the null hypothesis at the rate of n−1/4T−1 where n and T are the cross-section and…

单指标模型两种估计量的渐近分布AI 解读

The single-index model is one of the most popular semiparametric models in applied quantitative sciences. Two new estimation methods have been proposed recently by Hristache, Juditski, and Spokoiny (2001, Annals of Statistics 29, 595–623) and Xia, Tong, Li, and Zhu (2002, Journal of the Royal Statistical Society, Series B 64, 363–410), respectively. However, their asymptotic distributions have not been investigated yet. In this paper, alternative versions for the methods are…

针对分数协整的残差型 LM 检验AI 解读

Nonstationary integrated time series may be fractionally cointegrated. Here we propose a test for the null hypothesis of no cointegration. It builds on the asymptotically normal Lagrange multiplier (LM) test against fractional alternatives applied to single equation residuals. It is shown that the LM test applied naively to residuals from a static level regression does not retain asymptotic normality. However, when the LM statistic is employed with residuals from a…

随机单位根模型AI 解读

This paper develops a dynamic switching model, with a random walk and a stationary regime, where the time spent in the random walk regime is endogeneously predetermined. More precisely, we assume that the process is recursively defined by Y t = μ + Y t −1 + ε t , with stochastic probability π rw ( Y t −1 ), Y t = μ + ε t , with stochastic probability 1 − π rw ( Y t −1 ), where (ε t ) is a strong white noise and π rw is a nondecreasing function. Then, the dynamics of the…

利用投影的回归模型一致诊断检验AI 解读

This paper proposes a consistent test for the goodness-of-fit of parametric regression models that overcomes two important problems of the existing tests, namely, the poor empirical power and size performance of the tests due to the curse of dimensionality and the subjective choice of parameters such as bandwidths, kernels, and integrating measures. We overcome these problems by using a residual marked empirical process based on projections (RMPP). We study the asymptotic…

广泛依赖误差下平稳性对趋势与单位根的检验AI 解读

We suggest a rescaled variance type of test for the null hypothesis of stationarity against deterministic and stochastic trends (unit roots). The deterministic trend can be represented as a general function in time (e.g., nonparametric, linear, or polynomial regression, abrupt changes in the mean). Under the null, the asymptotic distribution of the test is derived, and critical values are tabulated for a wide class of stationary processes with short, long, or negative…

非平稳与协整 ARMAX 系统的识别和估计AI 解读

This paper extends current theory on the identification and estimation of vector time series models to nonstationary processes. It examines the structure of dynamic simultaneous equations systems or ARMAX processes that start from a given set of initial conditions and evolve over a given, possibly infinite, future time horizon. The analysis proceeds by deriving the echelon canonical form for such processes. The results are obtained by amalgamating ideas from the theory of…

一类 GARCH 过程严格平稳的充要条件AI 解读

We consider a family of GARCH(1,1) processes introduced in He and Teräsvirta (1999a, Journal of Econometrics 92, 173–192). This family contains various popular generalized autoregressive conditional heteroskedasticity (GARCH) models as special cases. A necessary and sufficient condition for the existence of a strictly stationary solution is given.This research was financially supported by the Jan Wallander's and Tom Hedelius' Foundation, Grant J03–41. The author thanks the…

等权重下的随机效应与空间自相关AI 解读

This note considers a panel data regression model with spatial autoregressive disturbances and random effects where the weight matrix is normalized and has equal elements. This is motivated by Kelejian, Prucha, and Yuzefovich (2005, Journal of Regional Science, forthcoming), who argue that such a weighting matrix, having blocks of equal elements, might be considered when units are equally distant within certain neighborhoods but unrelated between neighborhoods. We derive a…

结构方程估计中双峰性与弱工具变量的一点说明AI 解读

In a simple model composed of a structural equation and identity, the finite-sample distribution of the instrumental variable/limited information maximum likelihood (IV/LIML) estimator is always bimodal, and this is most apparent when the concentration parameter is small. Weak instrumentation is the energy that feeds the secondary mode, and the coefficient in the structural identity provides a point of compression in the density that gives rise to it. The IV limit…

两阶段最小二乘估计量精确分布的双峰性AI 解读

We investigate the possible bimodality of the density of the two-stage least squares (TSLS) estimator in a just-identified/overidentified linear structural equation. By studying the interaction between weakness of instruments, degree of endogeneity, and degree of overidentification we are able to identify conditions for its existence.I thank Grant Hillier, Patrick Marsh, Don Poskitt, the editor Peter Phillips, and two anonymous referees for useful and encouraging comments.

不平衡协整AI 解读

Recently, increasing interest in the issue of fractional cointegration has emerged from theoretical and empirical viewpoints. Here, as opposed to the traditional prescription of unit root observables with weak dependent cointegrating errors, the orders of integration of these series are allowed to take real values, but, as in the traditional framework, equality of the orders of at least two observable series is necessary for cointegration. This assumption, in view of the…

工具变量估计量精确性质的进一步研究AI 解读

We revisit the exact properties of two-stage least squares and limited information maximum likelihood estimators in a structural equation/instrumental variables regression under Gaussian assumptions. Simple derivations based on conditioning serve both to demystify the apparently complicated formulas, and to isolate the key quantities that determine the properties of the estimators. Some recent results obtained under weak-instrument asymptotics are sharpened and clarified by…