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含 I(2) 过程的协整系统估计AI 解读

This paper considers the properties of systems likelihood procedures for cointegrated systems when the I(2) variables are present. Two alternative methods are proposed: one is based on the full system likelihood, whereas another is based on the subsystem likelihood. By eliminating all unit roots in the system by the use of prior information concerning the presence of unit roots, these procedures yield estimates whose asymptotic distributions are mixed normal, free from…

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金融市场学习过程的计量经济学AI 解读

The asymptotic behavior of the sample paths of two popular statistics that test market efficiency are investigated when markets learn to have rational expectations. Two cases are investigated, where, should markets start out at a rational expectations equilibrium, both statistics would asymptotically generate standard Brownian motions. In a first case, where agents are Bayesian and payoffs exogenous, the statistics have identical sample paths, but they are not standard…

联立方程系统中的多变量广义 ARCHAI 解读

This paper presents theoretical results on the formulation and estimation of multivariate generalized ARCH models within simultaneous equations systems. A new parameterization of the multivariate ARCH process is proposed, and equivalence relations are discussed for the various ARCH parameterizations. Constraints sufficient to guarantee the positive definiteness of the conditional covariance matrices are developed, and necessary and sufficient conditions for covariance…

分位数回归估计量的 BootstrapAI 解读

The asymptotic variance matrix of the quantile regression estimator depends on the density of the error. For both deterministic and random regressors, the bootstrap distribution is shown to converge weakly to the limit distribution of the quantile regression estimator in probability. Thus, the confidence intervals constructed by the bootstrap percentile method have asymptotically correct coverage probabilities.

以稳定过程为备择的非平稳性新检验AI 解读

It was recently shown (Abadir, 1993b) that nonstationarity causes the limiting distributions of the Wald ( W ) and Lagrange multiplier ( LM ) statistics to become different from each other. This paper demonstrates that such a divergence between the two distributions can be used as an indicator of the presence of a unit root. A test based on this idea is devised by modifying the normalized autocorrelation coefficient ( NAC ). It is then shown to be an improvement on NAC in…

I(2) 变量协整的统计分析AI 解读

This paper discusses inference for I(2) variables in a VAR model. The estimation procedure suggested consists of two reduced rank regressions. The asymptotic distribution of the proposed estimators of the cointegrating coefficients is mixed Gaussian, which implies that asymptotic inference can be conducted using the χ 2 distribution. It is shown to what extent inference on the cointegration ranks can be conducted using the tables already prepared for the analysis of…

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结构变化模型中的单位根检验AI 解读

This paper considers the unit root tests in models with structural change. Particular attention is given to their dependency on the limiting ratios of the subsample sizes between breaks. The dependency is analyzed in detail, and the invariant testing procedure based on a transformed model is developed. The required transformation is essentially identical to the generalized least-squares correction for heteroskedasticity. The limiting distributions of the new tests do not…

统计学中鞍点展开的近似AI 解读

The saddlepoint approximation as developed by Daniels [3] is an extremely accurate method for approximating probability distributions. Econometric and statistical applications of the technique to densities of statistics of interest are often hindered by the requirements of explicit knowledge of the c.g.f. and the need to obtain an analytical solution to the saddlepoint defining equation. In this paper, we show the conditions under which any approximation to the saddlepoint…

关于自回归建模的一则讨论AI 解读

This paper addresses the problem of estimating vector autoregressive models. An approach to handling nonstationary (integrated) time series is briefly discussed, but the main emphasis is upon the estimation of autoregressive approximations to stationary processes. Three alternative estimators are considered–the Yule-Walker, least-squares, and Burg-type estimates–and a complete analysis of their asymptotic properties in the stationary case is given. The results obtained, when…

线性潜变量模型中不同最小距离估计量的渐近最优性AI 解读

In the context of linear latent-variable models, and a general type of distribution of the data, the asymptotic optimality of a subvector of minimum-distance estimators whose weight matrix uses only second-order moments is investigated. The asymptotic optimality extends to the whole vector of parameter estimators, if additional restrictions on the third-order moments of the variables are imposed. Results related to the optimality of normal (pseudo) maximum likelihood methods…

两个分布的二阶随机占优检验AI 解读

A distribution function F is said to stochastically dominate another distribution function G in the second-order sense if , for all x . Second-order stochastic dominance plays an important role in economics, finance, and accounting. Here a statistical test has been constructed to test , for some x ∈ [ a , b ], against the hypothesis , for all x ∈ [ a , b ], where a and b are any two real numbers. The test has been shown to be consistent and has an upper bound α on the…

针对半参数备择检验参数模型AI 解读

This paper describes a method for testing a parametric model of the mean of a random variable Y conditional on a vector of explanatory variables X against a semiparametric alternative. The test is motivated by a conditional moment test against a parametric alternative and amounts to replacing the parametric alternative model with a semiparametric model. The resulting semiparametric test is consistent against a larger set of alternatives than are parametric conditional…

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含非零初值、局部漂移与趋势的近单位根模型：最小二乘估计与检验的渐近分布AI 解读

This paper considers the distribution of the Dickey-Fuller test in a model with non-zero initial value and drift and trend. We show how stochastic integral representations for the limiting distribution can be derived either from the local to unity approach with local drift and trend or from the continuous record asymptotic results of Sørensen [29]. We also show how the stochastic integral representations can be utilized as the basis for finding the corresponding…

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结合数据驱动模型选择的单位根后验赔率检验AI 解读

The Kalman filter is used to derive updating equations for the Bayesian data density in discrete time linear regression models with stochastic regressors. The implied “Bayes model” has time varying parameters and conditionally heterogeneous error variances. A σ-finite Bayes model measure is given and used to produce a new-model-selection criterion (PIC) and objective posterior odds tests for sharp null hypotheses like the presence of a unit root. This extends earlier work by…

可能含非平稳过程的时间序列模型中的贝叶斯渐近理论AI 解读

Asymptotic normality of the Bayesian posterior is a well-known result for stationary dynamic models or nondynamic models. This paper extends the analysis to a time series model with a possible nonstationary process. We spell out conditions under which asymptotic normality of the posterior is obtained even if the true data-generation process is a nonstationary process.

单位根假设的贝叶斯涵盖检验AI 解读

The object of this paper is to report, for a simple testing problem of a unit root hypothesis, some experience regarding the numerical problems involved by using a Bayesian encompassing test, i.e., a Bayesian procedure that treats the null and the alternative hypotheses as different models, the null one and the alternative one, that share a same sample space but with different parameter spaces. Numerical procedures and efficient simulations are discussed briefly, and the…

以平稳性为原假设的残差检验及美国宏观时间序列应用AI 解读

This paper proposes residual-based tests for the null of level- and trend-stationarity, which are analogs of the LM test for an MA unit root. Asymptotic distributions of the tests are nonstandard, but they are expressed in a unified manner by expressing stochastic integrals. In addition, the tests are shown to be consistent. By expressing the distributions expressed as a function of a chi-square variable with one degree of freedom, the exact limiting probability density and…