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利用小波方法检验未知形式的序列相关AI 解读

A wavelet-based consistent test for serial correlation of unknown form is proposed. As a spatially adaptive estimation method, wavelets can effectively detect local features such as peaks and spikes in a spectral density, which can arise as a result of strong autocorrelation or seasonal or business cycle periodicities in economic and financial time series. The proposed test statistic is constructed by comparing a wavelet-based spectral density estimator and the null spectral…

协整关系含非线性时间趋势的向量自回归模型：统计推断AI 解读

This paper continues the work of Saikkonen (2001, Econometric Theory 17, 296–326) and develops an asymptotic theory of statistical inference in cointegrated vector autoregressive models with nonlinear time trends in cointegrating relations and general nonlinear parameter restrictions. Inference on parameters in cointegrating relations and short-run dynamics is studied separately. It is shown that Gaussian maximum likelihood estimators of parameters in cointegrating relations…

协整关系含非线性时间趋势的向量自回归模型：一致估计AI 解读

This paper studies the consistency of the Gaussian maximum likelihood estimator in a cointegrated vector autoregressive model with nonlinear time trends in cointegrating relations. The results are proved in a coordinate free framework that readily allows for general nonlinear parameter restrictions and makes it possible to show the consistency of reduced form parameter estimators without assuming identifiability of underlying structural parameters. Various consistency…

ARCH(p) 平方残差相关加权和的大样本分布AI 解读

We develop asymptotic theory for linear statistics of sample autocorrelations of squared residuals from an ARCH( p ) model. Our results are valid for most estimators used in practice and do not depend on the assumption of normality of the errors; the existence of the fourth moment is required. In several special cases, we identify the limit distributions as well-known functionals of a Brownian motion.

二元有序离散随机变量相关系数的取值范围AI 解读

The range of correlation coefficient of any bivariate discrete random vector with finite or countably infinite values is derived. We show analytically that the normal-transformed discrete bivariate probability system of Van Ophem (1999, Econometric Theory 15, 228–237) has a flexible correlation coefficient. We establish the strictly monotonic relation of its correlation coefficient with the bivariate normal correlation-coefficient parameter in the system.

时间序列分布变化的检验AI 解读

This paper proposes nonparametric tests of change in the distribution function of a time series. The limiting null distributions of the test statistics depend on a nuisance parameter, and critical values cannot be tabulated a priori. To circumvent this problem, a new simulation-based statistical method is developed. The validity of our simulation procedure is established in terms of size, local power, and test consistency. The finite-sample properties of the proposed tests…

AR(1) 模型中的结构变化AI 解读

This paper investigates the consistency of the least squares estimators and derives their limiting distributions in an AR(1) model with a single structural break of unknown timing. Let β 1 and β 2 be the preshift and postshift AR parameter, respectively. Three cases are considered: (i) |β 1 | < 1 and |β 2 | < 1; (ii) |β 1 | < 1 and β 2 = 1; and (iii) β 1 = 1 and |β 2 | < 1. Cases (ii) and (iii) are of particular interest but are rarely discussed in the literature. Surprising…

如何估计接近单位根的自回归根AI 解读

A new model of near integration is formulated in which the local to unity parameter is identifiable and consistently estimable with time series data. The properties of the model are investigated, new functional laws for near integrated time series are obtained that lead to mixed diffusion processes, and consistent estimators of the localizing parameter are constructed. The model provides a more complete interface between I (0) and I (1) models than the traditional local to…

n 维球面上均匀分布向量的二次型密度AI 解读

There are many instances in the statistical literature in which inference is based on a normalized quadratic form in a standard normal vector, normalized by the squared length of that vector. Examples include both test statistics (the Durbin–Watson statistic) and estimators (serial correlation coefficients). Although much studied, no general closed-form expression for the density function of such a statistic is known. This paper gives general formulae for the density in each…

长程依赖下样本自相关函数的有效 Edgeworth 展开AI 解读

We prove in this paper the validity of an Edgeworth expansion to the joint distribution of the sample autocorrelations of a stationary Gaussian long memory process. The method of proof relies on a verification of the suitably modified conditions for the validity of a multivariate Edgeworth expansion of Durbin (1980, Biometrika 67, 311–333). A simulation study proves the expansion to be useful and accurate.

多元自回归序列中二次型的联合矩母函数AI 解读

Let { X t } follow a discrete Gaussian vector autoregression with deterministic components. We derive the exact finite-sample joint moment generating function (MGF) of the quadratic forms that form the basis for the sufficient statistic. The formula is then specialized to the limiting MGF of functionals involving multivariate and univariate Ornstein–Uhlenbeck processes, drifts, and time trends. Such processes arise asymptotically from more general non-Gaussian processes and…

时间序列回归模型中条件异方差的一致检验AI 解读

We show that the standard consistent test for testing the null of conditional homoskedasticity (against conditional heteroskedasticity) can be generalized to a time-series regression model with weakly dependent data and with generated regressors. The test statistic is shown to have an asymptotic normal distribution under the null hypothesis of conditional homoskedastic error. We also discuss extension of our test to the case of testing the null of a parametrically specified…

近季节整合AI 解读

This paper presents asymptotic results for the seasonal unit root test proposed by Hylleberg, Engle, Granger and Yoo (1990, Journal of Econometrics 44, 215–238) in a near integration context. The findings are important in that they provide the asymptotic power functions of the Hylleberg et al. statistics when the characteristic roots of a seasonal process are local to unity. These conclusions extend the available asymptotic results for this test and serve as a framework for…

利用广义波动检验监测结构变化AI 解读

In this paper we introduce the generalized fluctuation test for monitoring structural changes and establish a result characterizing the limiting behavior of this class of tests. As applications of the generalized fluctuation test, tests based on the maximum and range of the fluctuation of moving estimates are proposed. We also derive the boundary functions for the proposed tests and tabulate simulated critical values. Our simulations indicate that these tests compare…

一致的模型设定检验AI 解读

We point out the close relationship between the integrated conditional moment tests in Bierens (1982, Journal of Econometrics 20, 105–134) and Bierens and Ploberger (1997, Econometrica 65, 1129–1152) with the complex-valued exponential weight function and the kernel-based tests in Härdle and Mammen (1993, Annals of Statistics 21, 1926–1947), Li and Wang (1998, Journal of Econometrics 87, 145–165), and Zheng (1996, Journal of Econometrics 75, 263–289). It is well established…

利用面板数据估计接近单位根的自回归根AI 解读

Time series data are often well modeled by using the device of an autoregressive root that is local to unity. Unfortunately, the localizing parameter (c) is not consistently estimable using existing time series econometric techniques and the lack of a consistent estimator complicates inference. This paper develops procedures for the estimation of a common localizing parameter using panel data. Pooling information across individuals in a panel aids the identification and…

I(2) 系统中的混合正态性与辅助性AI 解读

This paper studies asymptotic likelihood inference on cointegration parameters in systems integrated of order two. We start with so-called triangular systems and then extend the analysis to vector autoregressions. We show that even when all unit root restrictions have been imposed, the asymptotic observed information is not (locally) ancillary, which implies that the log-likelihood ratio is not locally asymptotically mixed normal. The results are applied to inference on…

连续时间系统的精确离散对应模型推导AI 解读

The exact discrete model satisfied by equispaced data generated by a linear stochastic differential equations system is derived by a method that does not imply restrictions on observed discrete data per se. The method involves integrating the solution of the continuous time model in state space form and a nonstandard change in the order of three types of integration, facilitating the representation of the exact discrete model as an asymptotically time-invariant vector…

含未知 I(0)、I(1) 与 I(2) 混合成分的向量自回归AI 解读

This paper develops a new estimation method for nonstationary vector autoregressions (VAR's) with unknown mixtures of I (0), I (1), and I (2) components. The method does not require prior knowledge on the exact number and location of unit roots in the system. It is, therefore, applicable for VAR's with any mixture of I (0), I (1), and I (2) variables, which may be cointegrated in any form. The limit theory for the stationary component of our estimator is still normal,…

生产率效率得分的自由处置包络估计量AI 解读

In productivity analysis, the free disposal hull (FDH) is a nonparametric estimator for the production set, the set of inputs and outputs that are technically feasible. It is defined as the smallest free disposal set containing all observations in a sample of production units. One can then derive the production frontier and efficiency scores from the FDH. In the literature the method is used as if the FDH estimator were the true feasible set. However, assuming that…

将广义矩方法推广至连续统矩条件AI 解读

This paper proposes a version of the generalized method of moments procedure that handles both the case where the number of moment conditions is finite and the case where there is a continuum of moment conditions. Typically, the moment conditions are indexed by an index parameter that takes its values in an interval. The objective function to minimize is then the norm of the moment conditions in a Hilbert space. The estimator is shown to be consistent and asymptotically…

形状约束下的局部半参数效率界AI 解读

Consider the model y = x ′ β 0 + f * ( z ) + ε, where ε [d over =] N(0, σ 0 2 ). We calculate the smallest asymptotic variance that n 1/2 consistent regular ( n 1/2 CR) estimators of β 0 can have when the only information we possess about f * is that it has a certain shape. We focus on three particular cases: (i) when f * is homogeneous of degree r , (ii) when f * is concave, (iii) when f * is decreasing. Our results show that in the class of all n 1/2 CR estimators of β 0 ,…

协整关系检验的 Bartlett 修正因子AI 解读

Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically χ 2 distributed. For some values of the parameters this asymptotic distribution does not give a good approximation to the finite sample distribution. In this paper we derive the Bartlett correction factor for the likelihood ratio test and show by some simulation experiments that it can be a useful tool for making inference.

弱 GARCH 表示的估计AI 解读

The classical definitions of GARCH-type processes rely on strong assumptions on the first two conditional moments. The common practice in empirical studies, however, has been to test for GARCH by detecting serial correlations in the squared regression errors. This can be problematic because such autocorrelation structures are compatible with severe misspecifications of the standard GARCH. Numerous examples are provided in the paper. In consequence, standard (quasi-) maximum…