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二重维纳积分的独立性AI 解读

In this paper a necessary and sufficient condition is obtained for two double Wiener integrals to be statistically independent, first in the case of symmetric and continuous kernels. It is also shown that, for more than two double Wiener integrals, pairwise independence implies mutual independence. After that, the continuity condition on the kernels is somewhat relaxed, and it is shown that Craig's (1943, Annals of Mathematical Statistics 14, 195–197) theorem on the…

协整向量自回归模型长短期关系的识别与划分AI 解读

We show that the usual rank condition is necessary and sufficient to identify a vector autoregressive process whether the variables are I (0) or I ( d ) for d = 1,2,.... We then use this rank condition to demonstrate the interdependence between the identification of short-run and long-run relations of cointegrated process. We find that both the short-run and long-run relations can be identified without the existence of prior information to identify either relation. But if…

自适应回归估计量的二阶近似AI 解读

We derive asymptotic expansions for semiparametric adaptive regression estimators. In particular, we derive the asymptotic distribution of the second-order effect of an adaptive estimator in a linear regression whose error density is of unknown functional form. We then show how the choice of smoothing parameters influences the estimator through higher order terms. A method of bandwidth selection is defined by minimizing the second-order mean squared error. We examine both…

复单位根与经济周期：它们真实存在吗？AI 解读

In this paper the asymptotic properties of ARMA processes with complex-conjugate unit roots in the AR lag polynomial are studied. These processes behave quite differently from regular unit root processes (with a single root equal to one). In particular, the asymptotic properties of a standardized version of the periodogram for such processes are analyzed, and a nonparametric test of the complex unit root hypothesis against the stationarity hypothesis is derived. This test is…

含固定效应的动态面板 Logit 模型的信息界AI 解读

In this paper, I calculate the semiparametric information bound in two dynamic panel data logit models with individual specific effects. In such a model without any other regressors, it is well known that the conditional maximum likelihood estimator yields a √ n -consistent estimator. In the case where the model includes strictly exogenous continuous regressors, Honoré and Kyriazidou (2000, Econometrica 68, 839–874) suggest a consistent estimator whose rate of convergence is…

插值、求积与随机积分AI 解读

This paper considers features in numerical and stochastic integration approaches for the evaluation of analytically intractable integrals. It provides a unification of these two approaches. Some important features in quadrature formulations, namely, interpolation and region partition, can provide a valuable device for the design of a stochastic simulator. An interpolating function can be used as a valuable control variate for variance reduction in simulation. We illustrate…

删失与截断回归模型中的条件矩限制AI 解读

Censored and truncated regression models with unknown distribution are important in econometrics. This paper characterizes the class of all conditional moment restrictions that lead to √ n -consistent estimators for these models. The semiparametric efficiency bound for each conditional moment restriction is derived. In the case of a nonzero bound it is shown how an estimator can be constructed and that an appropriately weighted version can attain the efficiency bound. These…

非标准条件下的最小绝对偏差回归AI 解读

Most work on the asymptotic properties of least absolute deviations (LAD) estimators makes use of the assumption that the common distribution of the disturbances has a density that is both positive and finite at zero. We consider the implications of weakening this assumption in a number of regression settings, primarily with a time series orientation. These models include ones with deterministic and stochastic trends, and we pay particular attention to the case of a simple…

非平稳分数积分 ARMA 模型的渐近推断AI 解读

This paper considers nonstationary fractional autoregressive integrated moving-average ( p , d , q ) models with the fractionally differencing parameter d ∈ (− 1/2,1/2) and the autoregression function with roots on or outside the unit circle. Asymptotic inference is based on the conditional sum of squares (CSS) estimation. Under some suitable conditions, it is shown that CSS estimators exist and are consistent. The asymptotic distributions of CSS estimators are expressed as…

季节单位根检验中 t 与 F 统计量极限分布的近似AI 解读

Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238), Beaulieu and Miron (1993, Journal of Econometrics 55, 305–328), Ghysels, Lee, and Noh (1994, Journal of Econometrics 62, 415–442), Smith and Taylor (1998, Journal of Econometrics 85, 269–288; 1999, Journal of Time Series Analysis 20, 453–476; 1999, Discussion paper 99-15 in economics, University of Birmingham), and Taylor (1998, Journal of Time Series Analysis 19, 349–368) have developed a method…

长记忆随机波动率模型中记忆参数的对数周期图回归估计AI 解读

We consider semiparametric estimation of the memory parameter in a long memory stochastic volatility model. We study the estimator based on a log periodogram regression as originally proposed by Geweke and Porter-Hudak (1983, Journal of Time Series Analysis 4, 221–238). Expressions for the asymptotic bias and variance of the estimator are obtained, and the asymptotic distribution is shown to be the same as that obtained in recent literature for a Gaussian long memory series.…

利用衍生品价格估计超额收益并检验风险中性定价AI 解读

This paper develops an econometric framework for (i) estimating excess returns of the security process from high frequency derivative prices, (ii) testing for risk neutral pricing, and (iii) measuring premiums outside the no-arbitrage pricing model. The estimator is constructed by applying quasi-likelihood and Feynman–Kac theory to the risk neutral contingent claims pricing model to generate the optimal orthogonality restriction. The strong consistency and asymptotic…

未知形式异方差下的渐近有效中位数回归AI 解读

We consider a linear model with heteroskedasticity of unknown form. Using Stone's (1977, Annals of Statistics 5, 595–645) k nearest neighbors ( k -NN) estimation approach, the optimal weightings for efficient least absolute deviation regression are estimated consistently using residuals from preliminary estimation. The reweighted least absolute deviation or median regression estimator with the estimated weights is shown to be equivalent to the estimator using the true but…

单整过程方差未必趋于无穷：平稳过程部分和的相关结果AI 解读

For a process with stationary first differences a necessary and sufficient condition for the variance of the process to be unbounded is given. An example shows that the variance of an integrated process—although unbounded—need not diverge to infinity. Sufficient conditions for the variance of an integrated process to diverge to infinity are provided.

ARCH 模型的 Whittle 估计AI 解读

For a class of parametric ARCH models, Whittle estimation based on squared observations is shown to be [square root of n]-consistent and asymptotically normal. Our conditions require the squares to have short memory autocorrelation, by comparison with the work of Zaffaroni (1999, “Gaussian Inference on Certain Long-Range Dependent Volatility Models,” Preprint), who established the same properties on the basis of an alternative class of models with martingale difference…

时间聚合与协整系统中谱回归估计量的有限样本表现AI 解读

The finite sample performance of spectral regression estimators in temporally aggregated cointegrated systems is investigated via the use of simulation experiments. The simulations address issues such as “optimal” choice of bandwidth parameter and effects of smoothing kernel in constructing estimates of spectral densities that are used by the spectral regression estimators; the effects of stock and flow variables and mixtures of the two, including the relative finite sample…

部分线性删失回归模型的半参数估计AI 解读

In this paper we propose an estimation procedure for a censored regression model where the latent regression function has a partially linear form. Based on a conditional quantile restriction, we estimate the model by a two stage procedure. The first stage nonparametrically estimates the conditional quantile function at in-sample and appropriate out-of-sample points, and the second stage involves a simple weighted least squares procedure. The proposed procedure is shown to…

时间序列非参数估计的马尔可夫局部重抽样方案AI 解读

In this paper we study the properties of a pth-order Markovian local resampling procedure in approximating the distribution of nonparametric (kernel) estimators of the conditional expectation m(x;φ). Under certain regularity conditions, asymptotic validity of the proposed resampling scheme is established for a class of stochastic processes that is broader than the class of stationary Markov processes. Some simulations illustrate the finite sample performance of the proposed…

谱密度估计与学生化样本均值的 Edgeworth 展开AI 解读

We establish valid Edgeworth expansions for the distribution of smoothed nonparametric spectral estimates, and of studentized versions of linear statistics such as the sample mean, where the studentization employs such a nonparametric spectral estimate. Particular attention is paid to the spectral estimate at zero frequency and, correspondingly, the studentized sample mean, to reflect econometric interest in autocorrelation-consistent or long-run variance estimation. Our…

资产定价中贝叶斯推断的一则注记AI 解读

In this paper the authors extend results by Harvey and Zhou (1990, Journal of Financial Econometrics 26, 221–254) and Kandel, McCulloch, and Stambaugh (1995, Review of Financial Studies 8(1), 1–53) to derive the posterior distribution of a key parameter in a Bayesian analysis of asset pricing models. It is shown that this distribution depends upon the same terms that constitute the standard asset pricing test of Jobson and Korkie (1985, Canadian Journal of Administrative…

C([0,1]) 上的积分不等式与近单整下 OLS 的离散程度AI 解读

We obtain an inequality for the sample variance of a vector Brownian motion on [0,1] and an associated Ornstein–Uhlenbeck process. The result is applied to a regression involving near-integrated regressors, and establishes that in the limit the dispersion of the least squares estimator is greater in the near-integrated than in the integrated case. Our proof uses a quite general integral inequality, which appears to be new.

标准分层样本下加权 M 估计量的渐近性质AI 解读

I provide a systematic treatment of the asymptotic properties of weighted M -estimators under standard stratified sampling. Simple, consistent asymptotic variance matrix estimators are proposed for a broad class of problems. When stratification is based on exogenous variables, I show that the usual, unweighted M -estimator is more efficient than the weighted estimator under a generalized conditional information matrix equality. Hausman tests for the exogeneity of the…

时间序列计量经济学史中的误差项AI 解读

We argue that many methodological confusions in time-series econometrics may be seen as arising out of ambivalence or confusion about the error terms. Relationships between macroeconomic time series are inexact, and, inevitably, the early econometricians found that any estimated relationship would only fit with errors. Slutsky interpreted these errors as shocks that constitute the motive force behind business cycles. Frisch tried to dissect the errors further into two parts:…

含高阶多项式趋势的单位根季节自回归模型AI 解读

Seasonal autoregressive models with a polynomial trend of higher degee are treated. In the unit root case, the limiting distribution of the normalized least squares estimator for the autoregressive parameter and that of the corresponding t -statistic are discussed as the length of the sample period tends to infinity. In the case where the polynomial trend has the second or third degree, the joint moment generating functions associated with these limiting distributions are…