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日期精度：到日 53 篇 · 到月 2090 篇 · 到年 0 篇
Iterative Estimation in Partitioned Regression Models
Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power
重新思考单变量单位根检验：利用协变量提高功效
In the context of testing for a unit root in a univariate time series, the convention is to ignore information in related time series. This paper shows that this convention is quite costly, as large power gains can be achieved by including correlated stationary covariates in the regression equation. The paper derives the asymptotic distribution of ordinary least-squares estimates of the largest autoregressive root and its t-statistic. The asymptotic distribution is not the…
Efficient IV Estimation in Nonstationary Regression
非平稳回归中的有效工具变量估计
A limit theory for instrumental variables (IV) estimation that allows for possibly nonstationary processes was developed in Kitamura and Phillips (1992, Fully Modified IV, GIVE, and GMM Estimation with Possibly Non-stationary Regressors and Instruments, mimeo, Yale University). This theory covers a case that is important for practitioners, where the nonstationarity of the regressors may not be of full rank, and shows that the fully modified (FM) regression procedure of…
Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified
部分协整向量预先给定时的协整检验
Many economic models imply that ratios, simple differences, or “spreads” of variables are I(0). In these models, cointegrating vectors are composed of 1's, 0's, and —1's and contain no unknown parameters. In this paper, we develop tests for cointegration that can be applied when some of the cointegrating vectors are prespecified under the null or under the alternative hypotheses. These tests are constructed in a vector error correction model and are motivated as Wald tests…
Problems with the Asymptotic Theory of Maximum Likelihood Estimation in Integrated and Cointegrated Systems
单整与协整系统中极大似然估计渐近理论的困难
Problems with the asymptotic theory of nonlinear maximum likelihood estimation in integrated and cointegrated systems are discussed in this paper. One problem is that standard proofs of consistency generally do not apply; another one is that, even if the consistency has been established, it can be difficult to deduce the limiting distribution of a maximum likelihood estimator from a conventional Taylor series expansion of the score vector. It is argued in this paper that the…
Convergence of a Nonlinear Time Series Model
Eigenvalues of the Product of Nonnegative Definite Matrices
An Inequality between Perpendicular Least Squares and Ordinary Least Squares
A Bias Correction for Taken's Correlation Dimension Estimator
Difference Approach to the Adaptive Regression Model
Efficient Estimation under Heteroskedasticity
The Moore-Penrose Generalized Inverse of a Symmetric Matrix
The Limiting Distribution of the t Ratio Under a Unit Root
Spurious Break
伪结构突变
A quasi-maximum likelihood estimator of the break date is analyzed. Consistency of the estimator is demonstrated under very general conditions, provided that the data-generating process is not integrated. However, the asymptotic distribution of the estimator is quite different for time series that are integrated of order one. In that case, when there is no break, the analyst can be spuriously led to the estimation of a break near the middle of the time series.
Analytical Score Function for Irregularly Sampled Continuous Time Stochastic Processes with Control Variables and Missing Values
不规则采样、控制变量与缺失值下连续时间随机过程的解析得分函数
The unknown structural parameters of a continuous/discrete state space model are estimated by maximum likelihood in the presence of irregular sampling, missing values, and cross-sections of time series (panel data). Exogenous (control) variables are included, and the sampling scheme and missing data pattern can be different for each variable and system. Furthermore, the derived non-linear optimization algorithm with analytical score function can be used for the discrete time…
The Moving-Estimates Test for Parameter Stability
参数稳定性的移动估计检验
In this paper a new class of tests for parameter stability, the moving-estimates (ME) test, is proposed. It is shown that in the standard situation the ME test asymptotically equivalent to the maximal likelihood ratio test under the alternative of a temporary parameter shift. It is also shown that the asymptotic null distribution of the ME test is determined by the increments of a vector Brownian bridge and that under a broad class of alternatives the ME test is consistent…
A Nonparametric Conditional Moment Test for Structural Stability
结构稳定性的非参数条件矩检验
This paper considers a nonparametric conditional moment test of stability of an econometric model against the alternative of instability. The alternative hypothesis allows for more than one structural change, although in this case it has to be fairly smooth. This complements existing results for stability in a parametric setting. Also, it is shown that the test is always consistent, unlike the available “parametric” tests, which normally rely on the assumption of a correct…