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控制过多因素可能破坏处理可忽略性AI 解读

This problem shows how the key ignorability-of-treatment assumption used in estimating treatment effects can be violated when certain factors are included among the covariates. The case considered is when there are J + 1 treatment levels, treatment is randomized with respect to potential outcomes, but the distribution of included covariates differs across treatment levels.

非参数核估计中交叉验证平滑参数的唯一性AI 解读

We investigate the issue of the uniqueness of the cross-validation selected smoothing parameters in kernel estimation of multivariate nonparametric regression or conditional probability functions. When the covariates are all continuous variables, we provide a necessary and sufficient condition, and when the covariates are a mixture of categorical and continuous variables, we provide a simple sufficient condition that guarantees asymptotically the uniqueness of the…

多个误设条件区间模型的比较检验AI 解读

This paper introduces a test for the comparison of multiple misspecified conditional interval models, for the case of dependent observations. Model accuracy is measured using a distributional analog of mean square error, in which the approximation error associated with a given model, say, model i, for a given interval, is measured by the expected squared difference between the conditional confidence interval under model i and the “true” one.When comparing more than two…

一类 ARCH(q) 模型准极大似然估计的渐近性质AI 解读

Strong consistency and asymptotic normality are established for the quasi-maximum likelihood estimator for a class of ARCH(q) models. The conditions are that the ARCH process is geometrically ergodic with a moment of arbitrarily small order. Furthermore for consistency, we assume that the second-order moment exists for the nondegenerate rescaled errors and, similarly, that the fourth-order moment exists for asymptotic normality to hold. Contrary to existing literature on…

取值范围受限的单位根时间序列AI 解读

This paper develops an asymptotic theory for integrated and near-integrated time series whose range is constrained in some ways. Such a framework arises when integration and cointegration analyses are applied to time series that are bounded either by construction or because they are subject to control. The asymptotic properties of some commonly used integration tests are discussed; the bounded unit root distribution is introduced to describe the limiting distribution of the…

含单位根的部分线性模型AI 解读

This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in Robinson (1988, Econometrica 56, 931–954). It is proved that the autoregressive parameter can be estimated at rate N even though part of the model is estimated nonparametrically. Unit root…

参数不稳定下嵌套模型选择的最优检验AI 解读

This paper develops optimal tests for model selection between two nested models in the presence of underlying parameter instability. These are joint tests for both parameter instability and a null hypothesis on a subset of the parameters. They modify the existing tests for parameter instability to allow the parameter vector to be unknown. These test statistics are useful if one is interested in testing a null hypothesis on some parameters but is worried about the possibility…

冲击矩阵两种表达式的等价性AI 解读

This note gives a proof of the equivalence between two expressions of the moving-average impact matrix; one is given by Johansen (1995, Likelihood-Based Inference in Cointegrated Vector Autoregressive Models ) and Paruolo (1997, Econometric Theory 13, 79–118), and the other appears in Phillips (1998, Journal of Econometrics 83, 21–56) as the limit of the impulse response function. Because these expressions are shown to be parametrically equivalent, we can make the same…

面板数据的工具变量估计AI 解读

The system two stage least squares estimator for the linear panel data model is shown to have different characterizations depending on the choice of instrument matrix. The more general estimator, where, in effect, separate reduced form linear projections are estimated for each time period, also has the advantage of being applicable when the number of instruments changes across time periods. The issue of efficient estimation is also treated.

不规则间隔观测的平稳性检验及采样频率对功效的影响AI 解读

In this article, starting from continuous-time local level unobserved components models for stock and flow data we derive locally best invariant (LBI) stationarity tests for data available at potentially irregularly spaced points in time. We demonstrate that the form of the LBI test differs between stock and flow variables. In cases where the data are observed at regular intervals throughout the sample we show that the LBI tests for stock and flow data both reduce to the…

平稳长记忆高斯时间序列中 Whittle 最大似然估计量的有效 Edgeworth 展开AI 解读

In this paper, we prove the validity of an Edgeworth expansion to the distribution of the Whittle maximum likelihood estimator for stationary long-memory Gaussian models with unknown parameter . The error of the ( s − 2)-order expansion is shown to be o ( n −( s −2)/2 )—the usual independent and identically distributed rate—for a wide range of models, including the popular ARFIMA( p , d , q ) models. The expansion is valid under mild assumptions on the behavior of the…

部分、弱与强识别下的广义经验似然估计与检验AI 解读

The purpose of this paper is to describe the performance of generalized empirical likelihood (GEL) methods for time series instrumental variable models specified by nonlinear moment restrictions as in Stock and Wright (2000, Econometrica 68, 1055–1096) when identification may be weak. The paper makes two main contributions. First, we show that all GEL estimators are first-order equivalent under weak identification. The GEL estimator under weak identification is inconsistent…

迭代估计程序的收敛理论及其半参数估计应用AI 解读

We develop general conditions for rates of convergence and convergence in distribution of iterative procedures for estimating finite-dimensional parameters. An asymptotic contraction mapping condition is the centerpiece of the theory. We illustrate some of the results by deriving the limiting distribution of a two-stage iterative estimator of regression parameters in a semiparametric binary response model. Simulation results illustrating the computational benefits of the…

含单位根与协整的短面板向量自回归：估计与推断AI 解读

This paper considers estimation and inference in panel vector autoregressions where (i) the individual effects are either random or fixed, (ii) the time-series properties of the model variables are unknown a priori and may feature unit roots and cointegrating relations, and (iii) the time dimension of the panel is short and its cross-sectional dimension is large. Generalized method of moments (GMM) and quasi maximum likelihood (QML) estimators are obtained and compared in…

不同观测频率时间序列中的协整向量估计AI 解读

We discuss the effects of temporal aggregation on the estimation of cointegrating vectors and on testing linear restrictions on this vector. We adopt a discrete time approach and demonstrate, in contrast with the findings of Chambers (2003, Econometric Theory 19, 49–77), who adopts a continuous time approach, that in some situations, when the regressand must be aggregated, systematic sampling is preferable to average sampling for estimation purposes. Like Chambers, we show…

VAR(1) 过程的 I(2) 模型：第 20 卷第 3 期问题 04.3.1 解答AI 解读

Let α * be any basis of col(Π) and β * be any basis of col(Π′); we note col(α ⊥ ) = col(α *⊥ ), col(β ⊥ ) = col(β *⊥ ) so no distinction is made between α ⊥ and α *⊥ , β ⊥ and β *⊥ in the following discussion.

用信息准则选择协整秩的蒙特卡洛研究AI 解读

We conduct Monte Carlo simulations to evaluate the use of information criteria (Akaike information criterion [AIC] and Schwarz information criterion [SC]) as an alternative to various probability-based tests for determining cointegrating rank in multivariate analysis. First, information criteria are used to determine cointegrating rank given the lag order in a levels vector autoregression. Second, information criteria are used to determine the lag order and cointegrating…

含确定性项的一般向量自回归中最小二乘估计量的强一致性AI 解读

A vector autoregression with deterministic terms and with no restrictions to its characteristic roots is considered. Strong consistency results for the least squares statistics are presented. This extends earlier results where deterministic terms have not been considered. In addition the convergence rates are improved compared with earlier results.Comments from S. Johansen are gratefully acknowledged.

一般线性模型中 BLUE 与普通最小二乘协方差矩阵的三个秩公式AI 解读

In this paper we consider the estimation of the expectation vector X β under the general linear model { y , X β,σ 2 V }. We introduce a new handy representation for the rank of the difference of the covariance matrices of the ordinary least squares estimator OLSE( X β) (= Hy , say) and the best linear unbiased estimator BLUE( X β) (= Gy , say). From this formula some well-known conditions for the equality between Hy and Gy follow at once. We recall that the equality between…

含 I(2) 变量的 VAR 协整参数约束检验札记AI 解读

We give a brief introduction to the vector autoregressive model for cointegrated I(2) variables and show how some plausible economic relations can be formulated in the I(2) framework in such a way that likelihood ratio tests for their validity are asymptotically χ2 distributed.The authors thank Paolo Paruolo for helpful comments and the ESF for financial support in the framework of the EMM network.

方差比检验：连续时间渐近框架下的尺寸与功效分析AI 解读

We consider the statistical properties of the variance ratio statistic in the context of testing for market efficiency defined by uncorrelated returns. The statistic is then the ratio of the variance of K-period returns to the variance of one-period returns scaled by K. We use a continuous-time asymptotic framework whereby we let the sample size increase to infinity keeping the span of the data fixed. We also let the aggregation parameter K increase such that K/T → κ as T,…

Let P in be a projector with P H its conjugate transpose.

正交投影分块矩阵的值域等式：问题 04.2.1 的解答AI 解读

This solution offers additional insights into the theory of block-tridiagonal Toeplitz matrices. Block Toeplitz matrices have constant blocks on each block diagonal parallel to the block main diagonal. A block partitioned matrix is said to be block-tridiagonal if the nonzero blocks occur only on the block subdiagonal, the block main diagonal, and the block superdiagonal. Block-tridiagonal Toeplitz matrices are particularly nice in that they are inexpensive to investigate.…

(a) Let , where Q is the fixed effects (FE) transformation given by Q = I NT − P with P = I N [otimes ] ι T ι T ′/ T .