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横截面相关下的面板单位根检验：有限样本表现与应用AI 解读

This paper examines the finite sample properties of three testing regimes for the null hypothesis of a panel unit root against stationary alternatives in the presence of cross-sectional correlation. The regimes of Bai and Ng (2004), Moon and Perron (2004) and Pesaran (2007) are assessed in the presence of multiple factors and also other non-standard situations. The behaviour of some information criteria used to determine the number of factors in a panel is examined and new…

非线性动态矩条件模型的分块广义经验似然推断AI 解读

This paper shows how the blockwise generalized empirical likelihood method can be used to obtain valid asymptotic inference in non-linear dynamic moment conditions models for possibly non-stationary weakly dependent stochastic processes. The results of this paper can be used to construct test statistics for overidentifying moment restrictions, for additional moments, and for parametric restrictions expressed in mixed implicit and constraint form. Monte Carlo simulations seem…

随机效应异方差 Probit 模型的贝叶斯估计AI 解读

Bayesian analysis is given of a random effects binary probit model that allows for heteroscedasticity. Real and simulated examples illustrate the approach and show that ignoring heteroscedasticity when it exists may lead to biased estimates and poor prediction. The computation is carried out by an efficient Markov chain Monte Carlo sampling scheme that generates the parameters in blocks. We use the Bayes factor, cross-validation of the predictive density, the deviance…

寻找金融时间序列中的偏度AI 解读

In this paper, we study marginal and conditional skewness in financial returns for nine time series of major international stock indices. For this purpose, we develop a new variant of the GARCH model with dynamic skewness and kurtosis. Our empirical results indicate that there is no evidence of marginal asymmetry in the nine time series under consideration. We do however find significant time-varying conditional skewness. The economic significance of conditional skewness is…

含潜在时间序列的非参数回归AI 解读

In this paper we investigate a class of semi-parametric models for panel data sets where the cross-section and time dimensions are large. Our model contains a latent time series that is to be estimated and perhaps forecasted along with a non-parametric covariate effect. Our model is motivated by the need to be flexible with regard to the functional form of covariate effects but also the need to be practical with regard to forecasting of time series effects. We propose…

时间聚合后多元GARCH过程的因果关系与预测AI 解读

This paper discusses the effects of temporal aggregation on causality and forecasting in multivariate GARCH processes. It is shown that spurious instantaneous causality in variance will only appear in degenerated cases, but that spurious Granger causality will be more common. For forecasting volatility, it is generally advisable to aggregate forecasts of the disaggregate series rather than forecasting the aggregated series directly, and unlike for vector autoregressive…

无单调性非可分模型中局部平均导数的识别与估计AI 解读

In many structural economic models there are no good arguments for additive separability of the error. Recently, this motivated intensive research on non-separable structures. For instance, in equation case was considered, and it was established that in the absence of the frequently employed monotonicity assumption local average structural derivatives (LASD) are still identified. In this paper, we introduce an estimator for the LASD. The estimator we propose is based on…

联立方程模型中集中参数大小的评估AI 解读

This paper provides the practitioner with a method of ascertaining when the concentration parameter in a simultaneous equations model is small. We provide some exact distribution theory for a proposed statistic and show that the statistic possesses the minimal desirable characteristics of a test statistic when used to test that the concentration parameter is zero. The discussion is then extended to consider how to test for weak instruments using this statistic as a basis for…

常条件相关 GARCH 模型中的波动交互检验AI 解读

In this paper, we propose a Lagrange multiplier test for volatility interactions among markets or assets. The null hypothesis is the Constant Conditional Correlation generalized autoregressive conditional heteroskedasticity (GARCH) model in which volatility of an asset is described only through lagged squared innovations and volatility of its own. The alternative hypothesis is an extension of that model in which volatility is modelled as a linear combination not only of its…

方差、偏度与峰度时变的风险价值：NIG-ACD 模型AI 解读

A new model for financial returns with time varying variance, skewness and kurtosis based on the Normal Inverse Gaussian (NIG) distribution is proposed. The new model and two previously suggested NIG models are evaluated by their Value at Risk (VaR) forecasts on a long series of daily Standard and Poor's 500 returns. All three models perform very well compared with extant models and clearly outperform a Gaussian GARCH model. Moreover, the results show that only the new model…

误差截面相关对短动态面板估计的影响AI 解读

This paper explores the impact of error cross-sectional dependence (modelled as a factor structure) on a number of widely used IV and generalized method of moments (GMM) estimators in the context of a linear dynamic panel data model. It is shown that, under such circumstances, the standard moment conditions used by these estimators are invalid -- a result that holds for any lag length of the instruments used. Transforming the data in terms of deviations from time-specific…

Student-t扰动下马尔可夫转换门槛非对称GARCH模型的贝叶斯估计AI 解读

A Bayesian estimation of a regime-switching threshold asymmetric GARCH model is proposed. The specification is based on a Markov-switching model with Student-t innovations and K separate GJR(1,1) processes whose asymmetries are located at free non-positive threshold parameters. The model aims at determining whether or not: (i) structural breaks are present within the volatility dynamics; (ii) asymmetries (leverage effects) are present, and are different between regimes and…

未知异方差与非线性依赖下线性中位数回归的有限样本无分布推断AI 解读

We construct finite-sample distribution-free tests and confidence sets for the parameters of a linear median regression, where no parametric assumption is imposed on the noise distribution. The set-up studied allows for non-normality, heteroscedasticity, non-linear serial dependence of unknown forms as well as for discrete distributions. We consider a mediangale structure--the median-based analogue of a martingale difference--and show that the signs of mediangale sequences…

半参数协整秩选择AI 解读

. The limit distribution of the AIC criterion, which is inconsistent, is also obtained. The analysis provides a general limit theory for semiparametric reduced rank regression under weakly dependent errors. The method does not require the specification of a full model, is convenient for practical implementation in empirical work, and is sympathetic with semiparametric estimation approaches to co-integration analysis. Some simulation results on the finite sample performance…

矩不等式置信区间端点的自助法与 m out of n 自助法失效AI 解读

This paper analyses the finite-sample and asymptotic properties of several bootstrap and m out of n bootstrap methods for constructing confidence interval (CI) endpoints in models defined by moment inequalities. In particular, we consider using these methods directly to construct CI endpoints. By considering two very simple models, the paper shows that neither the bootstrap nor the m out of n bootstrap is valid in finite samples or in a uniform asymptotic sense in general…

样本选择模型的两步级数估计AI 解读

Sample selection models are important for correcting the effects of non-random sampling. This paper is about semiparametric estimation using a series approximation to the correction term. Regression spline and power series approximations are considered. Asymptotic normality and consistency of an asymptotic variance estimator are shown. Copyright (C) The Author(s). Journal compilation (C) Royal Economic Society 2009

单调工具变量的进一步分析AI 解读

Econometric analyses of treatment response often use instrumental variable (IV) assumptions to identify treatment effects. The traditional IV assumption holds that mean response is constant across the sub-populations of persons with different values of an observed covariate. Manski and Pepper (2000) introduced monotone instrumental variable assumptions, which replace equalities with weak inequalities. This paper presents further analysis of the monotone instrumental variable…

动态线性模型的分布无关设定检验AI 解读

-process of the residuals. This transformation approximates the martingale component of the process so that it converges weakly to the standard Brownian motion under the null hypothesis. One feature of our setup is that we do not require to specify the dynamic structure of the regressors. Due to this, the transformation employs a semi-parametric correction that does not restrict the class of local alternatives that our tests can detect, in contrast with other works using…

近弱工具变量下的有效 GMMAI 解读

This paper is in the line of the recent literature on weak instruments, which, following the seminal approach of Stock and Wright captures weak identification by drifting population moment conditions. In contrast with most of the existing literature, we do not specify a priori which parameters are strongly or weakly identified. We rather consider that weakness should be related specifically to instruments, or more generally to the moment conditions. In addition, we focus…

基于 Copula 的非线性分位数自回归AI 解读

Parametric copulas are shown to be attractive devices for specifying quantile autoregressive models for nonlinear time-series. Estimation of local, quantile-specific copula-based time series models offers some salient advantages over classical global parametric approaches. Consistency and asymptotic normality of the proposed quantile estimators are established under mild conditions, allowing for global misspecification of parametric copulas and marginals, and without…

函数型数据的拟合优度检验AI 解读

Economic data are frequently generated by stochastic processes that can be modelled as occurring in continuous time. That is, the data are treated as realizations of a random function (functional data). Sometimes an economic theory model specifies the process up to a finite-dimensional parameter. This paper develops a test of the null hypothesis that a given functional data set was generated by a specified parametric model of a continuous-time process. The alternative…

空间依赖的大样本推断AI 解读

We consider cross-sectional data that exhibit no spatial correlation, but are feared to be spatially dependent. We demonstrate that a spatial version of the stochastic volatility model of financial econometrics, entailing a form of spatial autoregression, can explain such behaviour. The parameters are estimated by pseudo-Gaussian maximum likelihood based on log-transformed squares, and consistency and asymptotic normality are established. Asymptotically valid tests for…

季节单位根检验与初始条件的作用AI 解读

In the context of regression-based (quarterly) seasonal unit root tests, we examine the impact of initial conditions (one for each quarter) of the process on test power. We investigate the behaviour of the well-known OLS detrended HEGY seasonal unit root tests together with their quasi-differenced (QD) detrended analogues, when the initial conditions are not asymptotically negligible. We show that the asymptotic local power of a test at a given frequency depends on the value…

高持久性数据下时变平滑转换自回归模型线性检验的临界值AI 解读

In this paper, we derive asymptotic distributions for linearity tests in time-varying smooth transition autoregressive models in the presence of a unit root. The limiting distributions are non-standard because of the unit root assumption, and it is shown that the linearity hypothesis is rejected far too often (up to 30.9% of the times at a 5% significance level) when using critical values from a chi-square distribution. Copyright The Author(s). Journal compilation Royal…