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条件参数分布的一致性检验AI 解读

This paper proposes a new nonparametric test for conditional parametric distribution functions based on the first-order linear expansion of the Kullback–Leibler information function and the kernel estimation of the underlying distributions. The test statistic is shown to be asymptotically distributed standard normal under the null hypothesis that the parametric distribution is correctly specified, whereas asymptotically rejecting the null with probability one if the…

函数中心极限定理与随机积分的弱收敛（二）AI 解读

This paper derives a functional central limit theorem for the partial sums of fractionally integrated processes, otherwise known as I ( d ) processes for | d | < 1/2. Such processes have long memory, and the limit distribution is the so-called fractional Brownian motion, having correlated increments even asymptotically. The underlying shock variables may themselves exhibit quite general weak dependence by being near-epoch-dependent functions of mixing processes. Several weak…

备择假设下存在断点时 Dickey–Fuller t 检验的行为AI 解读

This paper analyzes the limiting behavior of Dickey–Fuller t -tests when the true generating model is stationary around a broken linear trend. The cases of a break in level and a break in slope are considered separately and found to generate qualitatively different outcomes. In the asymptotic analysis, appropriate normalizations are applied to the break sizes. This leads to theoretical results that generate interesting predictions for sample sizes and break amounts of…

函数型中心极限定理与随机积分的弱收敛（一）AI 解读

This paper gives new conditions for the functional central limit theorem, and weak convergence of stochastic integrals, for near-epoch-dependent functions of mixing processes. These results have fundamental applications in the theory of unit root testing and cointegrating regressions. The conditions given improve on existing results in the literature in terms of the amount of dependence and heterogeneity permitted, and in particular, these appear to be the first such…

非参数回归中的变量显著性检验AI 解读

A procedure for testing the significance of a subset of explanatory variables in a nonparametric regression is proposed. Our test statistic uses the kernel method. Under the null hypothesis of no effect of the variables under test, we show that our test statistic has an nh p 2 /2 standard normal limiting distribution, where p 2 is the dimension of the complete set of regressors. Our test is one-sided, consistent against all alternatives and detects local alternatives…

I(2) 系统中两阶段估计量的渐近效率AI 解读

This paper derives the distribution of the two stage estimator of cointegrating parameters in I (2) systems, abbreviated 2SI2, under several assumptions regarding the drift of the process. The asymptotic distribution is compared with that of the maximum likelihood (ML) estimator derived in Johansen (1997, Scandinavian Journal of Statistics 24, 433–462). It is found that the two asymptotic distributions are the same, thus showing that the 2SI2 estimator is asymptotically as…

广义可加非参数回归模型的有效估计AI 解读

We define new procedures for estimating generalized additive nonparametric regression models that are more efficient than the Linton and Härdle (1996, Biometrika 83, 529–540) integration-based method and achieve certain oracle bounds. We consider criterion functions based on the Linear exponential family, which includes many important special cases. We also consider the extension to multiple parameter models like the gamma distribution and to models for conditional…

《计量经济学中的半参数方法》书评AI 解读

Semiparametric and nonparametric estimation have attracted a great deal of attention from statisticians and theoretical econometricians in the past decade. Various new models have been proposed, and new methods for estimating those models have been suggested. These new models and methods are scattered in various academic journals and are not easily accessible to other researchers. Moreover, the new methods are technical, not easily understood by nonexperts such as graduate…

存在误分类的二元选择模型识别AI 解读

Misclassification in binary choice (binomial response) models occurs when the dependent variable is measured with error, that is, when an actual “one” response is sometimes recorded as a zero and vice versa. This paper shows that binary response models with misclassification are semiparametrically identified, even when the probabilities of misclassification depend in unknown ways on model covariates and the distribution of the errors is unknown.

多方程模型的半参数估计AI 解读

This paper proposes a semiparametric estimator for multiple equations multiple index (MEMI) models. Examples of MEMI models include several sample selection models and the multinomial choice model. The proposed estimator minimizes the average distance between the dependent variable unconditional and conditional on an index. The estimator is √N-consistent and asymptotically normally distributed. The paper also provides a Monte Carlo experiment to evaluate the finite-sample…

加性非线性 ARX 时间序列的非参数估计：局部线性拟合与投影AI 解读

We consider the estimation and identification of the components (endogenous and exogenous) of additive nonlinear ARX time series models. We employ a local polynomial fitting scheme coupled with projections. We establish the weak consistency (with rates) and the asymptotic normality of the projection estimates of the additive components. Expressions for the asymptotic bias and variance are given.

系统抽样与时间聚合对离散时间长记忆过程及有限样本性质的影响AI 解读

This study investigates the effects of varying sampling intervals on the long memory characteristics of certain stochastic processes. We find that although different sampling intervals do not affect the decay rate of discrete time long memory autocorrelation functions in large lags, the autocorrelation functions in short lags are affected significantly. The level of the autocorrelation functions moves upward for temporally aggregated processes and downward for systematically…

经济时间序列预测AI 解读

The prediction of future events and developments is an exciting and perhaps mysterious task, often associated with the aura of prophets and seers instead of probabilistic models and computer screens. The reality of macroeconomic forecasting, however, is quite mundane. Predictions of macroeconomic aggregates play an important role in the decision making of private enterprises, central banks, and governments. In general, forecasts become less popular if they turn out to be…

预先指定协整向量时单方程协整检验的功效AI 解读

In this paper I present an alternative derivation of the asymptotic distribution of Kremers, Ericsson, and Dolado's (1992, Oxford Bulletin of Economics and Statistics 54, 325–348) conditional error correction model (ECM)–based t -test for cointegration with a single prespecified cointegrating vector. This alternative distribution, which is identical to the distribution of Hansen's (1995, Econometric Theory 11, 1148–1171) covariate augmented t -test for a unit root, is valid…

含截距 VAR 过程的协整秩检验AI 解读

Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius (1990, Oxford Bulletin of Economics and Statistics , 52, 169–210) and others we also consider an alternative class of tests that is based on estimating the trend parameters of the deterministic term in a different way. The asymptotic local power of these tests is derived and compared to that of…

分数单整误差下趋势变量的估计AI 解读

This paper considers the problems of estimation and inference in the linear regression model with fractionally integrated errors. The ordinary least squares (OLS) and the first differenced (FD) estimators are studied. Relative to the OLS estimators, a substantial increase in the convergence rates of the coefficient estimator for the stochastic regressor can be achieved by the FD estimators when the error term is nonstationary. However, the preceding decisive results can not…

长程依赖下随机加权经验过程的线性化及非线性回归分位数应用AI 解读

This paper discusses some asymptotic uniform linearity results of randomly weighted empirical processes based on long range dependent random variables. These results are subsequently used to linearize nonlinear regression quantiles in a nonlinear regression model with long range dependent errors, where the design variables can be either random or nonrandom. These, in turn, yield the limiting behavior of the nonlinear regression quantiles. As a corollary, we obtain the…

ARFIMA 模型中基于似然的小样本推断AI 解读

The autoregressive fractionally integrated moving average (ARFIMA) model has become a popular approach for analyzing time series that exhibit long-range dependence. For the Gaussian case, there have been substantial advances in the area of likelihood-based inference, including development of the asymptotic properties of the maximum likelihood estimates and formulation of procedures for their computation. Small-sample inference, however, has not to date been studied. Here we…

求取 ARMA 模型自协方差的新方法：精确形式解AI 解读

Karanasos (1998) presented a new method for computing the theoretical autocovariance function (acf) of the following univariate autoregressive moving average (ARMA) model: Φ( L ) y t = Θ( L )ε t where Φ( L ) = 1 − φ 1 L − … − φ p L p , Θ( L ) = 1 − θ 1 L − … − θ q L q

异方差与自相关一致协方差矩阵估计量的强一致性证明AI 解读

A strong consistency result for heteroskedasticity and autocorrelation consistent covariance matrix estimators is proven in this paper. In addition, an error in a weak consistency proof for such estimators in the econometrics literature and a correction of that result is provided.

非正态误差分布下的 LM 检验AI 解读

The paper considers different versions of the Lagrange multiplier (LM) tests for autocorrelation and/or for conditional heteroskedasticity. These versions differ in terms of the residuals, and of the functions of the residuals, used to build the tests. In particular, we compare ordinary least squares versus least absolute deviation (LAD) residuals, and we compare squared residuals versus their absolute value. We show that the LM tests based on LAD residuals are…

近积分季节自回归模型中单位根检验统计量的渐近分布AI 解读

Seasonal autoregressive models with an intercept or linear trend are discussed. The main focus of this paper is on the models in which the intercept or trend parameters do not depend on the season. One of the most important results from this study is the asymptotic distribution for the ordinary least squares estimator of the autoregressive parameter obtained under nearly integrated condition, and another is the approximation to the limiting distribution of the t -statistic…

新西兰计量经济学研究组首次会议纪要AI 解读

The inaugural meeting of the NZESG was held in February 1997 and comprised 14 papers, a software demonstration, and a roundtable panel discussion. Around 15 participants attended throughout, with stronger attendance on the first day.

不完整面板下的联立方程估计AI 解读

This paper compares the performance of several single and system estimators of a two equation simultaneous model with unbalanced panel data. The Monte Carlo design varies the degree of unbalancedness in the data and the variance components ratio due to the individual effects. One useful result for applied researchers is that the feasible error components 2SLS and 3SLS procedures based on simple ANOVA type estimators of the variance components perform well with incomplete…