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多元 ARCH 模型估计量的强一致性AI 解读

This paper deals with the asymptotic properties of quasi-maximum likelihood estimators for multivariate heteroskedastic models. For a general model, we give conditions under which strong consistency can be obtained; unlike in the current literature, the assumptions on the existence of moments of the error term are weak, and no study of the various derivatives of the likelihood is required. Then, for a particular model, the multivariate GARCH model with constant correlation,…

全球计量经济学机构发表活动排名：1989—1995年AI 解读

This paper updates Hall's (1987, Econometric Theory 3, 171–194; 1990, Econometric Theory 6, 1–16) rankings of academic institutions by publication activity in econometrics over the period 1989–1995. Fifteen leading international journals that publish econometrics articles are used to provide the database. The rankings are based on standardized page counts of articles published in these journals over the stated period. Separate rankings are provided for theoretical…

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含 I(1) 与 I(2) 变量的典范协整回归与协整检验AI 解读

This paper introduces tests for the null of cointegration in the presence of I (1) and I (2) variables. These tests use residuals from Park's (1992, Econometrica 60,119–143) canonical cointegrating regression (CCR) and the leads-and-lags regression of Saikkonen (1991, Econometric Theory 9,1–21) and Stock and Watson (1993, Econometrica 61, 783–820). Asymptotic theory for CCR in the presence of I (1) and I (2) variables is also introduced. The distributions of the…

检测动态时间序列趋势函数断点的 Wald 型检验AI 解读

In this paper, test statistics for detecting a break at an unknown date in the trend function of a dynamic univariate time series are proposed. The tests are based on the mean and exponential statistics of Andrews and Ploberger (1994, Econometrica 62, 1383–1414) and the supremum statistic of Andrews (1993, Econometrica 61, 821–856). Their results are extended to allow trending and unit root regressors. Asymptotic results are derived for both I (0) and I (1) errors. When the…

非对称损失下的最优预测AI 解读

Prediction problems involving asymmetric loss functions arise routinely in many fields, yet the theory of optimal prediction under asymmetric loss is not well developed. We study the optimal prediction problem under general loss structures and characterize the optimal predictor. We compute the optimal predictor analytically in two leading tractable cases and show how to compute it numerically in less tractable cases. A key theme is that the conditionally optimal forecast is…

Black–Scholes 期权价格、其他衍生品及对冲比率无偏估计量的存在性AI 解读

In this paper, we reexamine the question of statistical bias in the classic Black/Scholes option price where randomness is due to the use of the historical variance. We show that the only unbiased estimated option is an at the money option.

计量经济学中的弯曲指数模型AI 解读

Curved exponential models have the property that the dimension of the minimal sufficient statistic is larger than the number of parameters in the model. Many econometric models share this feature. The first part of the paper shows that, in fact, econometric models with this property are necessarily curved exponential. A method for constructing an explicit set of minimal sufficient statistics, based on partial scores and likelihood ratios, is given. The difference in…

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线性协整时间序列系统中的渐近推断AI 解读

This paper considers vector-valued nonstationary time series models, in particular, autoregressive models, whose nonstationarity is driven by a few nonstationary (induced by “unit roots”) trends, in such a way that some of the linear combinations of the components of the vector model will be stationary. Models of this form are called cointegrated models. These stationary linear combinations are called cointegrating relationships. Asymptotic inference problems associated with…

带宽选择、预白化与 Phillips–Perron 检验的功效AI 解读

This study examines several important practical issues concerning nonparametric estimation of the innovation variance for the Phillips-Perron (PP) test. A Monte Carlo study is conducted to evaluate the potential effects of kernel choice, databased bandwidth selection, and prewhitening on the power property of the PP test in finite samples. The Monte Carlo results are instructive. Although the kernel choice is found to make little difference, data-based bandwidth selection…

不要求严格外生性的乘法面板数据模型AI 解读

This paper considers estimation of multiplicative, unobserved components panel data models without imposing a strict exogeneity assumption on the conditioning variables. The method of moments estimators proposed have significant robustness properties. They require only a conditional mean assumption and apply to models with lagged dependent variables and to finite distributed lag models with arbitrary feedback from the explained to future values of the explanatory variables.…