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GARCH 过程的时间聚合AI 解读

The authors derive low frequency, say weekly, models implied by high frequency, say daily, ARMA models with symmetric GARCH errors. They show that low frequency models exhibit conditional heteroskedasticity of the GARCH form as well. The parameters in the conditional variance equation of the low frequency model depend upon mean, variance, and kurtosis parameters of the corresponding high frequency model. Moreover, strongly consistent estimators of the parameters in the high…

估计线性动态模型的脉冲响应、阶跃响应与方差分解的渐近分布AI 解读

Formulas are derived for computing asymptotic covariance matrices of sets of impulse responses, step responses, or variance decompositions of estimated dynamic simultaneous-equations models in vector autoregressive moving-average (VARMA) form. Computed covariances would be used to test linear restrictions on sets of impulse responses, step responses, or variance decompositions. The results unify and extend previous formulas to handle any model in VARMA form, provide accurate…

未知变化点下参数不稳定与结构变化的检验AI 解读

This paper considers tests for parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models that are suitable for estimation by generalized method of moments procedures. The asymptotic distributions of the test statistics considered here are nonstandard because the change point parameter only appears under the alternative hypothesis and not under the null. The tests considered here are shown to have nontrivial…

高阶单整系统中协整向量的简便估计量AI 解读

Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald statistics constructed from these estimators have asymptotic x [superscript] 2 distributions. These and previously proposed estimators of cointegrating vectors are used to study long-run U.S. money (M1) demand. M1 demand is found to be stable over 1900-1989;…

极度不显著的 F 比率AI 解读

OCCASIONALLY IN EMPIRICAL WORK, a highly insignificant test statistic is encountered. A rule that the null hypothesis not be rejected when the value of a statistic falls below a threshold which is given by the tester's desired Type I error probability 8 < implies a fortiori that the null is not rejected when the probability that the statistic is smaller than the realized value is less than 8. We suggest an interpretation of this outcome in time series problems. For ease of…

稳态学习与纳什均衡AI 解读

The authors study the steady states of a system in which players learn about the strategies their opponents are playing by updating their Bayesian priors in light of their observations. Players are matched.at random to play a fixed extensive-form game and each player observes the realized actions in his own matches but not the intended off-path play of his opponents or the realized actions in other matches. Because players are assumed to live finite lives, there are steady…

二元响应模型的有效半参数估计量AI 解读

This paper proposes an estimator for discrete choice models that makes no assumption concerning the functional form of th e choice probability function where this function can be characterized by an index. The estimator is shown to be consistent, asymptotically normally distributed, and to achieve the semiparametric efficiency bound. Monte Carlo evidence indicates that there may be only modest efficiency losses relative to maximum likelihood estimation when the distribution…

条件方差中的共同持久性AI 解读

A common finding in many of the recent empirical studies with the ARCH class of models applied to high frequency financial data concerns the apparent persistence of shocks for forecast of the future conditional variances. It is likely that several different variables share this same implied long-run component, however. In that situation, the variables are defined to be copersistent in variance. Conditions for copersistence to occur in the linear multivariate GARCH model are…

一阶自回归／单位根模型的精确中位无偏估计AI 解读

First-order autoregressive/unit root models with independent identically distributed normal errors are considered, including those without an intercept, those with an intercept, and those with an intercept and time trend. The autoregressive parameter is allowed to lie in the interval (-1, 1], which includes the unit root case. Exactly median-unbiased estimators and exact confidence intervals of the autoregressive parameter are introduced. Corresponding exactly…

最大秩相关估计量的极限分布AI 解读

Han's maximum rank correlation estimator is shown to be square-root n-consistent and asymptotically normal. The proof rests on a general method for determining the asymptotic distribution of a maximization estimator, a simple U-statistic decomposition, and a uniform bound for degenerate U-processes. A consistent estimator of the asymptotic covariance matrix is provided, along with a result giving the explicit form of this matrix for any model within the scope of the maximum…

非对称信息下大型交换经济的渐近效率AI 解读

The authors provide conditions on an exchange economy with asymmetric information that guarantee that when the economy is replicated sufficiently often, there will be an allocation that is incentive compatible, individually rational, and nearly efficient. The main theorem covers both the case in which aggregate uncertainty remains when the economy is replicated and the case in which replication eliminates aggregate uncertainty. In addition, the authors demonstrate how their…

序列相关的方差比检验何时最优？AI 解读

This paper considers a class of statistics that can be written as the ratio of the sample variance of a filtered time series to the sample variance of the original series. Any such statistic is shown to be optimal under normality for testing a null of white noise against some class of serially dependent alternatives. A simple characterization of the alternative class is provided. The results are used to show that a variance ratio test for mean reversion is an optimal test…

基于选择抽样的离散选择模型有效矩估计AI 解读

In this paper, a new estimator is proposed for discrete choice models with choice-based sampling. The estimator is efficient and can incorporate information on the marginal choice probabilities in a straightforward manner and for that case leads to a procedure that is computationally and intuitively more appealing than the estimators that have been proposed before. The idea is to start with a flexible parametrization of the distribution of the explanatory variables and then…

广义矩估计竞争模型的非嵌套检验AI 解读

Non-nested tests are proposed for competing models estimated by generalized method of moments. Results are presented for non-nested linear regression models with het- eroskedasticity and serial correlation of unknown form and differing instrument validity assumptions. Regression forms of the statistics are also presented. THIS PAPER IS CONCERNED with providing a procedure whereby non-nested models estimated by generalized method of moments (GMM) (Hansen (1982)) may be com-…

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多项 Probit 模型离散概率模拟矩的平滑方法AI 解读

THERE HAS BEEN MUCH INTEREST over the years in estimating discrete choice models. However, with the exception of multinomial logit models, agents have been restricted to few choices so that multivariate integrals could be feasibly integrated numerically.2 Pakes and Pollard (1989) and McFadden (1989) have independently developed the method of simulated moments (MSM) to deal with estimating a wide class of models of which high order discrete choice models are a subset. One of…

改进的异方差与自相关一致协方差矩阵估计量AI 解读

This paper considers a new class of heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators. The estimators considered are prewhitened kernel estimators with vector autoregressions employed in the prewhitening stage. The paper establishes consistency, rate of convergence, and asymptotic truncated mean squared error (MSE) results for the estimators when a fixed or automatic bandwidth procedure is employed. Conditions are obtained under which…

贝叶斯先验征询的诊断方法AI 解读

One elicitation diagnostic identifies a family of prior distributions that are so diffuse that they are practically equivalent to the "completely" diffuse prior. Another elicitation diagnostic identifies a family of prior distributions that concentrate enough mass in the neighborhood of zero that they are practically equivalent to the dogmatic prior that sets a parameter exactly equal to zero. If either question thus posed can be answered in the affirmative then there is no…

航空业进入模型的估计AI 解读

This paper considers the effect of an airline's scale of operation at an airport on the profitability of routes flown out of that airport. The empirical methodology uses the entry decisions of airlines as indicators of underlying profitability; the results extend the empirical literature on airport presence by providing a new set of estimates of the determinants of city-pair profitability. These estimates imply that city-pair profits increase in airport presence and decrease…

固定效应截断与删失回归的修剪最小绝对偏差与最小二乘估计AI 解读

This paper considers estimation of truncated.and censored regression models with fixed effects. Up until now, no estimator has been shown to be consistent as the cross-section dimension increases with the time dimension fixed. Trimmed least absolute deviations and trimmed least squares estimators are proposed for the case where the panel is of length two, and it is proven that they are consistent and asymptotically normal. It is not necessary to maintain parametric…

二元响应模型的平滑最大得分估计量AI 解读

This paper describes a semiparametric estimator for binary response models in which there may be arbitrary heteroskedasticity of unknown form. The estimator is obtained by maximizing a smoothed version of the objective function of C. Manski's maximum score estimator. The smoothing procedure is similar to that used in kernel nonparametric density estimation. The resulting estimator's rate of convergence in probability is the fastest possible under the assumptions that are…

半参数回归的效率界AI 解读

Efficiency bounds for conditional moment restrictions with a nonparametric component are derived. There is a given function of the data (a random sample from a distribution F) and a parameter. The restriction is that a conditional expectation of this function is zero at some point in the parameter space. The parameter has two parts: a finite-dimensional component and a general function evaluated at a subset of the conditioning variables. An example is a regression function…

二元阈值跨越与二元选择模型的非参数、分布无关估计AI 解读

In this paper, it is shown that it is possible to identify binary threshold crossing models and binary choice models without imposing any parametric structure either on the systematic function of observable exogenous variables or on the distribution of the random term. This identification result is employed to develop a fully nonparametric maximum likelihood estimator for both the function of observable exogenous variables and the distribution of the random term. The…

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