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1989—1999 年全球计量经济学机构与个人发表排名更新AI 解读

This paper updates rankings of academic institutions by Hall (1990, Econometric Theory 6, 1–16) and Baltagi (1998, Econometric Theory 14, 1–43) by publication activity in econometrics over the period 1989–1999. This is based on 15 leading international journals that publish econometrics articles. In addition, a list of the top 150 individual producers of econometrics in these 15 journals over this period is provided. This is done for theoretical econometrics and also for all…

一般分数阶单整过程的渐近理论及单位根检验应用AI 解读

In this paper, functional limit theorems for general fractional processes are established under quite weak conditions. The results are then used to derive weak convergence of general nonstationary fractionally integrated processes and to characterize unit root distribution in a model with error being a fractional autoregressive moving average process or a nonstationary fractionally integrated process.The authors thank three referees and an associate editor for their detailed…

外部估计的兴衰：计量经济学史的启示AI 解读

It is possible to view econometric history as the retrospective assessment of intellectual resource allocations. This paper uses such a perspective to examine the history of extraneous estimation. Independently proposed by Marschak (1939, Econometrica 7, 332–335) and Wold (1940, Efterfrågan på jordbruksprodukter och dess känslighet för prisoch inkomstförändringar (The demand for agricultural products and its sensitivity to price and income changes)), extraneous estimation…

模型选择后估计量的有限样本分布：一致与非一致逼近AI 解读

In Pötscher (1991, Econometric Theory 7, 163–185) the asymptotic distribution of a post-model-selection estimator, both unconditional and conditional on selecting a correct model (minimal or not), has been derived. Limitations of these results are (i) that they do not provide information on the distribution of the post-model-selection estimator conditional on selecting an incorrect model and (ii) that the quality of this asymptotic approximation to the finite-sample…

时间聚合下协整估计量的渐近效率AI 解读

This paper examines the effects of temporal aggregation on the asymptotic variances of estimators in cointegrated systems. Two important findings are obtained. First, estimators based on flow data alone are more efficient than when the data are all stocks or a mixture of stocks and flows. Second, estimators based on flow data are as efficient as when the data are recorded continuously. A method of improving efficiency with stock variables is also proposed, and an empirical…

关于自助法单位根检验功效的说明AI 解读

In this note we consider the asymptotic power functions of some bootstrap unit root tests under local alternatives and show that they are in fact the same as for ordinary unit root tests. This is regardless of whether the differences of the observations, i.e., the so-called restricted residuals, or the ordinary least squares residuals are used to construct the resampled observations. We also consider models containing a constant and a linear trend and the DF-GLS tests…

部分线性分位数回归模型的有效半参数估计AI 解读

This paper is concerned with estimating a conditional quantile function that is assumed to be partially linear. The paper develops a simple estimator of the parametric component of the conditional quantile. The semiparametric efficiency bound for the parametric component is derived, and two types of efficient estimators are considered. Asymptotic properties of the proposed estimators are established under regularity conditions. Some Monte Carlo experiments indicate that the…

线性过程的协方差矩阵一致估计AI 解读

Consistency of kernel estimators of the long-run covariance matrix of a linear process is established under weak moment and memory conditions. In addition, it is pointed out that some existing consistency proofs are in error as they stand.

季节性非线性自回归模型的非参数与半参数识别AI 解读

Non- or semiparametric estimation and lag selection methods are proposed for three seasonal nonlinear autoregressive models of varying seasonal flexibility. All procedures are based on either local constant or local linear estimation. For the semiparametric models, after preliminary estimation of the seasonal parameters, the function estimation and lag selection are the same as nonparametric estimation and lag selection for standard models. A Monte Carlo study demonstrates…

依赖异质阵列样本均值的自助法AI 解读

Presently, conditions ensuring the validity of bootstrap methods for the sample mean of (possibly heterogeneous) near epoch dependent (NED) functions of mixing processes are unknown. Here we establish the validity of the bootstrap in this context, extending the applicability of bootstrap methods to a class of processes broadly relevant for applications in economics and finance. Our results apply to two block bootstrap methods: the moving blocks bootstrap of Künsch (1989,…

若干共同随机趋势检验的性质AI 解读

We study the asymptotic properties of the tests suggested by Choi and Ahn (1995, Econometric Theory 11, 952–983) in the case of a (nearly) improper normalization of the cointegration vectors. To overcome the size problems in such situations we suggest a test statistic that is based on the eigenvalues of a canonical correlation analysis. Using Monte Carlo simulations, the small sample properties of our test are compared to various other test statistics recently suggested in…

近协整时间序列的回归理论AI 解读

This paper proposes a notion of near cointegration and generalizes several existing results from the cointegration literature to the case of near cointegration. In particular, the properties of conventional cointegration methods under near cointegration are characterized, thereby investigating the robustness of cointegration methods. In addition, we obtain local asymptotic power functions of five cointegration tests that take cointegration as the null hypothesis.

波动率长记忆检验AI 解读

We consider the asymptotic behavior of log-periodogram regression estimators of the memory parameter in long-memory stochastic volatility models, under the null hypothesis of short memory in volatility. We show that in this situation, if the periodogram is computed from the log squared returns, then the estimator is asymptotically normal, with the same asymptotic mean and variance that would hold if the series were Gaussian. In particular, for the widely used GPH estimator…

非平稳时间序列模型的最小距离估计AI 解读

This paper analyzes the limit distribution of minimum distance (MD) estimators for nonstationary time series models that involve nonlinear parameter restrictions. A rotation for the restricted parameter space is constructed to separate the components of the MD estimator that converge at different rates. We derive regularity conditions for the restriction function that are easier to verify than the stochastic equicontinuity conditions that arise from direct estimation of the…

使用与样本量相等带宽的异方差自相关稳健检验AI 解读

Asymptotic theory for heteroskedasticity autocorrelation consistent (HAC) covariance matrix estimators requires the truncation lag, or bandwidth, to increase more slowly than the sample size. This paper considers an alternative approach covering the case with the asymptotic covariance matrix estimated by kernel methods with truncation lag equal to sample size. Although such estimators are inconsistent, valid tests (asymptotically pivotal) for regression parameters can be…

序列相关与厚尾分布下均值的稳健推断AI 解读

The problem of statistical inference for the mean of a time series with possibly heavy tails is considered. We first show that the self-normalized sample mean has a well-defined asymptotic distribution. Subsampling theory is then used to develop asymptotically correct confidence intervals for the mean without knowledge (or explicit estimation) either of the dependence characteristics, or of the tail index. Using a symmetrization technique, we also construct a distribution…

Canova–Hansen 检验在局部备择下的极限性质AI 解读

This paper investigates the limiting properties of the Canova and Hansen test, testing for the null hypothesis of no unit root against seasonal unit roots, under a sequence of local alternatives with the model extended to have seasonal dummies and trends or no deterministic term and also only seasonal dummies. We derive the limiting distribution of the test statistic and its characteristic function under local alternatives. We find that the local limiting power is an inverse…

若干高崩溃点估计量的渐近理论AI 解读

High breakdown point estimators in regression are robust against gross contamination in the regressors and also in the errors; the least median of squares (LMS) estimator has the additional property of packing the majority of the sample most tightly around the estimated regression hyperplane in terms of absolute deviations of the residuals and thus is helpful in identifying outliers. Asymptotics for a class of high breakdown point smoothed LMS estimators are derived here…

回归模型非参数设定检验的最优极小极大速率AI 解读

In the context of testing the specification of a nonlinear parametric regression function, we adopt a nonparametric minimax approach to determine the maximum rate at which a set of smooth alternatives can approach the null hypothesis while ensuring that a test can uniformly detect any alternative in this set with some predetermined power. We show that a smooth nonparametric test has optimal asymptotic minimax properties for regular alternatives. As a by-product, we obtain…

不稳定解释变量回归中普通最小二乘估计量的渐近有效性AI 解读

For regression models with general unstable regressors having characteristic roots on the unit circle and general stationary errors independent of the regressors, sufficient conditions are investigated under which the ordinary least squares estimator (OLSE) is asymptotically efficient in that it has the same limiting distribution as the generalized least squares estimator (GLSE) under the same normalization. A key condition for the asymptotic efficiency of the OLSE is that…

变换模型的秩估计量AI 解读

We establish [square root] n -consistency and asymptotic normality of Han's (1987a, Journal of Econometrics 35, 191–209) estimator of the parameters characterizing the transformation function in a semiparametric transformation model. We verify a Vapnik–Cervonenkis (VC) condition for the parameterizations of Box and Cox (1964, Journal of the Royal Statistical Society, Series B 34, 187–200) and Bickel and Doksum (1981, Journal of the American Statistical Association 76,…

k 步统计量与极值统计量的高阶渐近效率等价性AI 解读

It is well known that a one-step scoring estimator that starts from any N 1/2 -consistent estimator has the same first-order asymptotic efficiency as the maximum likelihood estimator. This paper extends this result to k -step estimators and test statistics for k ≥ 1, higher order asymptotic efficiency, and general extremum estimators and test statistics. The paper shows that a k -step estimator has the same higher order asymptotic efficiency, to any given order, as the…

遗漏相关解释变量时线性回归有偏估计量的预测均方误差AI 解读

In this paper, we consider a linear regression model when relevant regressors are omitted. We derive the explicit formulae for the predictive mean squared errors (PMSEs) of the Stein-rule (SR) estimator, the positive-part Stein-rule (PSR) estimator, the minimum mean squared error (MMSE) estimator, and the adjusted minimum mean squared error (AMMSE) estimator. It is shown analytically that the PSR estimator dominates the SR estimator in terms of PMSE even when there are…

波动率函数的非参数估计：局部指数估计量AI 解读

Kernel smoothing techniques free the traditional parametric estimators of volatility from the constraints related to their specific models. In this paper the nonparametric local exponential estimator is applied to estimate conditional volatility functions, ensuring its nonnegativity. Its asymptotic properties are established and compared with those for the local linear estimator. It theoretically enables us to determine when the exponential is expected to be superior to the…