论文检索

模型误设下期望 Kullback–Leibler 差异的改进估计AI 解读

In case of misspecification, the Akaike information criterion (AIC; Akaike, 1973, in Petrov & Csaki, eds., Second International Symposium on Information Theory, pp. 267–281. Budapest: Akademia Kiado) is an asymptotically biased estimator of the expected Kullback–Leibler discrepancy. This paper gives simple expressions for the bias that can be used to construct improved estimators. However, for the examples that are considered in detail it turns out that model selection…

Bootstrap 检验的检验水平失真AI 解读

We provide a theoretical framework in which to study the accuracy of bootstrap P values, which may be based on a parametric or nonparametric bootstrap. In the parametric case, the accuracy of a bootstrap test will depend on the shape of what we call the critical value function. We show that, in many circumstances, the error in rejection probability of a bootstrap test will be one whole order of magnitude smaller than that of the corresponding asymptotic test. We also propose…

使用模拟似然函数的统计推断AI 解读

This paper considers classical test statistics, namely, the likelihood ratio, efficient score, and Wald statistics, for econometric models under simulation estimation. The simulated likelihood ratio, simulated efficient score, and simulated Wald test statistics are shown to be asymptotically equivalent. Because the simulated score vector can be asymptotically biased, limiting distributions of these simulated statistics can be asymptotically noncentral χ2 distributed. This…

水平序列记忆参数估计中的长短记忆条件异方差AI 解读

Semiparametric estimates of long memory seem useful in the analysis of long financial time series because they are consistent under much broader conditions than parametric estimates. However, recent large sample theory for semiparametric estimates forbids conditional heteroskedasticity. We show that a leading semiparametric estimate, the Gaussian or local Whittle one, can be consistent and have the same limiting distribution under conditional heteroskedasticity as under the…

单整时间序列非线性变换的渐近理论AI 解读

An asymptotic theory for stochastic processes generated from nonlinear transformations of nonstationary integrated time series is developed. Various nonlinear functions of integrated series such as ARIMA time series are studied, and the asymptotic distributions of sample moments of such functions are obtained and analyzed. The transformations considered in the paper include a variety of functions that are used in practical nonlinear statistical analysis. It is shown that…

相关离散随机变量的一般估计方法AI 解读

In this paper a method is presented to estimate correlated discrete random variables with known univariate distribution functions up to some parameters. We also present an empirical illustration on Dutch recreational data.

自回归过程的柯西估计量及单位根检验与置信区间AI 解读

For autoregressive processes, we propose new estimators whose pivotal statistics have the standard normal limiting distribution for all ranges of the autoregressive parameters. The proposed estimators are approximately median unbiased. For seasonal time series, the new estimators give us unit root tests that have limiting normal distribution regardless of period of the seasonality. Using the estimators, confidence intervals of the autoregressive parameters are constructed. A…

样本量与预测期同步增长时近单位根 AR(1) 模型的预测误差AI 解读

We develop asymptotic approximations to the distribution of forecast errors from an estimated AR(1) model with no drift when the true process is nearly I (1) and both the forecast horizon and the sample size are allowed to increase at the same rate. We find that the forecast errors are the sums of two components that are asymptotically independent. The first is asymptotically normal whereas the second is asymptotically nonnormal. This throws doubt on the suitability of a…

单位根检验统计量的校正因子AI 解读

Despite the fact that it is not correct to speak of Bartlett corrections in the case of nonstationary time series, this paper shows that a Bartlett-type correction to the likelihood ratio test for a unit root can be an effective tool to control size distortions. Using well-known formulae, we obtain second-order (numerical) approximations to the moments and cumulants of the likelihood ratio, which makes it possible to calculate a Bartlett-type factor. It turns out that the…

近不稳定 AR(p) 过程的渐近推断AI 解读

In this paper nearly unstable AR( p ) processes (in other words, models with characteristic roots near the unit circle) are studied. Our main aim is to describe the asymptotic behavior of the least-squares estimators of the coefficients. A convergence result is presented for the general complex-valued case. The limit distribution is given by the help of some continuous time AR processes. We apply the results for real-valued nearly unstable AR( p ) models. In this case the…

创新项属于柯西分布正常吸引域时的零自相关检验AI 解读

We consider the asymptotic null distribution of the empirical autocorrelation function when the innovations of a moving average process belong to the normal domain of attraction of a Cauchy law. A series expansion for the density of the limiting null distribution is developed, and some critical values of the tests are computed numerically.

含随机趋势成分回归模型中最大似然估计量的渐近性质AI 解读

This paper investigates the asymptotic properties of the maximum marginal likelihood estimator for a regression model with a stochastic trend component when the signal-to-noise ratio is near zero. In particular, the local level model in Harvey (1989, Forecasting, Structural Time Series Models and the Kalman Filter, Cambridge: Cambridge University Press) and its variants where a time trend or an intercept is included are considered. A local-to-zero parameterization is…

单位根原假设下若干检验统计量的渐近矩AI 解读

For three models of linear autoregression the moments of the asymptotic distributions of the test statistics for testing the unit root are obtained in the null case, when the true drift or trend is lacking.

约束平滑样条AI 解读

We use smoothing splines to introduce prior information in nonparametric models. The type of information we consider is based on the belief that the regression curve is similar in shape to a parametric model. The resulting estimator is a convex sum of a fit to data and the parametric model, and it can be seen as shrinkage of the smoothing spline toward the parametric model. We analyze its rates of convergence and we provide some asymptotic distribution theory. Because the…

线性与对数线性回归中嵌套及非嵌套检验的解析功效比较AI 解读

This paper compares several tests for linear and loglinear regression models where both the dependent and independent variables are transformed. It is shown that the Lagrange multiplier test proposed by Godfrey and Wickens (1981, Review of Economic Studies 48, 487–496) in the framework of the Box–Cox regression model has the highest asymptotic power of the compared tests. The extended projection test of MacKinnon, White, and Davidson (1983, Journal of Econometrics 11,…

二元选择模型中位置参数的半参数估计AI 解读

This paper considers the estimation of a location parameter in the binary choice model with some weak distributional assumptions imposed on the error term in the latent regression model. Two estimators are proposed here, both of which are two-step estimators; in the first step, the slope parameters are consistently estimated by existing methods; in the second step, the location parameter is consistently estimated based on a moment condition. The estimators are shown to be…

VAR 过程协整秩似然比检验的局部功效AI 解读

Likelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear trends have been accounted for in some of the tests. In this paper we provide a general framework for deriving the local power properties of these tests. Thereby it is possible to assess the virtue of utilizing varying amounts of prior information by making…

基于自适应最大似然估计的单位根检验AI 解读

Adaptive maximum likelihood estimators of unit roots in autoregressive processes with possibly non-Gaussian innovations are considered. Unit root tests based on the adaptive estimators are constructed. Limiting distributions of the test statistics are derived, which are linear combinations of two functionals of Brownian motions. A Monte Carlo simulation reveals that the proposed tests have improved powers over the classical Dickey–Fuller tests when the distribution of the…

1997 年计量经济学会澳大利亚地区会议AI 解读

The Econometric Society Australasian Meeting in 1997 was hosted by the economics department at the University of Melbourne on July 2 to 4 with Peter Bardsley (economics) and Vance L. Martin (econometrics) as cochairpersons. Special features consisted of a star-studded lineup of invited speakers, the inaugural E.J. Hannan lecture, a range of special seminars in economic theory and econometric theory, and a number of nonacademic but spirited special events that took place both…

平稳可逆连续时间马尔可夫过程的可嵌入性检验AI 解读

Given an observation of a discrete-time process { Y i , i = 0... n } assumed to be Markov, stationary, and time reversible, we develop a (conservative) test procedure of embeddability by a continuous-time reversible Markov process. The test statistic is derived from a set of moment inequality restrictions implied by the spectral properties of such continuous-time processes. Most interesting is that the embeddability condition of interest is a direct extension of the…

利用降秩结构的贝叶斯联立方程分析AI 解读

Diffuse priors lead to pathological posterior behavior when used in Bayesian analyses of simultaneous equation models (SEM's). This results from the local nonidentification of certain parameters in SEM's. When this a priori known feature is not captured appropriately, it results in an a posteriori favoring of certain specific parameter values that is not the consequence of strong data information but of local nonidentification. We show that a proper consistent Bayesian…

生产效率得分的非参数 DEA 估计量收敛性札记AI 解读

Efficiency scores of production units are measured by their distance to an estimated production frontier. Nonparametric data envelopment analysis estimators are based on a finite sample of observed production units, and radial distances are considered. We investigate the consistency and the speed of convergence of these estimated efficiency scores (or of the radial distances) in the very general setup of a multi-output and multi-input case. It is shown that the speed of…

季节自回归模型的矩母函数及进一步精确结果AI 解读

This paper derives the joint moment generating function of quadratic forms occurring in seasonal autoregressive models under stationary, unit root, and explosive specifications. The results are then used to investigate the impact of the seasonal periodicity parameter on various distributional results for both the normalized ordinary least squares coefficient and t -ratio and its effects on the asymptotic bias of parameter estimates.

金融市场计量经济学AI 解读

The abundance of high-frequency financial data and the rapid development of computer hardware have combined to transform financial economics into, arguably, the most empirically oriented field within the social sciences. At the same time, as a result of the difficulty of conducting genuine market experiments, empirical finance remains firmly grounded in the tradition of model-driven statistical inference that is characteristic of economics. Even so, the richness of data has…