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随机条件持续期模型的替代估计方法AI 解读

This paper examines the estimation of the Stochastic Conditional Duration model by the empirical characteristic function and the generalized method of moments when maximum likelihood is unavailable. The joint characteristic function for the durations along with general expressions for the moments are derived, leading naturally to estimation via the empirical characteristic function and generalized method of moments. In a Monte Carlo study as well as an empirical application,…

含随机个体效应与序列相关误差的线性面板估计：平稳与非平稳情形AI 解读

This paper studies the asymptotic properties of standard panel data estimators in a simple panel regression model with random error component disturbances. Both the regressor and the remainder disturbance term are assumed to be autoregressive and possibly non-stationary. Asymptotic distributions are derived for the standard panel data estimators including ordinary least squares (OLS), fixed effects (FE), first-difference (FD) and generalized least squares (GLS) estimators…

对数变换模型中的半参数导数估计AI 解读

This paper considers a regression model with a log-transformed dependent variable. The log transformed model is estimated by simple least squares, but computing the conditional mean of the dependent variable on the original scale given the explanatory variables requires knowing the conditional distribution of the error term in the transformed model. We show how to obtain a consistent estimator for the conditional mean and its derivatives without specifying the conditional…

非参数密度估计量的渐近与形态表现：比较研究AI 解读

Motivated by finance applications, we assessed the performance of several univariate density estimation methods, focusing on their ability to deal with heavy-tailed target densities. Four approaches, a fixed bandwidth kernel estimator, an adaptive bandwidth kernel estimator, the Hermite series (SNP) estimator of Gallant and Nychka, and the logspline estimator of Kooperberg and Stone, are compared. We conclude that the logspline and adaptive kernel methods provide superior…

工具变量线性方程中的 Bootstrap 推断AI 解读

We study several tests for the coefficient of the single right-hand-side endogenous variable in a linear equation estimated by instrumental variables. We show that writing all the test statistics--Student's t, Anderson--Rubin, the LM statistic of Kleibergen and Moreira (K), and likelihood ratio (LR)--as functions of six random quantities leads to a number of interesting results about the properties of the tests under weak-instrument asymptotics. We then propose several new…

We consider a continuous time Markov switching model (MSM) which is widely used in mathematical finance. The aim is to estimate the parameters given observations in discrete time. Since there is no finite dimensional filter for estimating the underlying state of the MSM, it is not possible to compute numerically the maximum likelihood parameter estimate via the well known expectation maximization (EM) algorithm. Therefore in this paper, we propose a method of moments based…

适用于大量截面单位面板数据的自助法程序AI 解读

This paper considers the issue of bootstrap resampling in panel data sets. The availability of data sets with large temporal and cross-sectional dimensions suggests the possibility of new resampling schemes. We suggest one possibility which has not been widely explored in the literature. It amounts to constructing bootstrap samples by resampling whole cross-sectional units with replacement. In cases where the data do not exhibit cross-sectional dependence but exhibit…

函数形式与异方差的广义LM检验AI 解读

We present a generalized LM test of heteroscedasticity allowing the presence of data transformation and a generalized LM test of functional form allowing the presence of heteroscedasticity. Both generalizations are meaningful as non-normality and heteroscedasticity are common in economic data. A joint test of functional form and heteroscedasticity is also given. These tests are further "studentized" to account for possible excess skewness and kurtosis of the errors in the…

横截面相关下的面板向量自回归AI 解读

This paper studies estimation in panel vector autoregression (VAR) under cross-sectional dependence. The time series are allowed to be an unknown mixture of stationary and unit root processes with possible cointegrating relations. The cross-sectional dependence is modeled with a factor structure. We extend the factor analysis in Bai and Ng (2002, Econometrica 70, 91--221) to vector processes. The fully modified (FM) estimator in Phillips (1995) is used for estimation in…

存在无关变量时回归函数的k近邻非参数估计AI 解读

We show that when estimating a non-parametric regression model, the k-nearest-neighbour non-parametric estimation method has the ability to remove irrelevant variables provided one uses a product weight function with a vector of smoothing parameters, and the least-squares cross-validation method is used to select the smoothing parameters. Simulation results are consistent with our theoretical analysis and show that the performance of the k-nn estimator is comparable to the…

设定错误下多重结构突变模型断点估计量的一般一致性AI 解读

This paper considers the estimation of multiple-structural-break models under specification errors. A common example in economics is that the true model is measured in level, but a linear-log model is estimated. We show that, under specification errors, if there are more than one break points and if a single-break model is estimated, the estimated break point is consistent for one of the true break points. This consistency result applies to models with multiple regressors…

GARCH 模型估计：何时选择哪种方法？AI 解读

The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in modelling time series with time varying volatility. These include financial data, which can be particularly heavy tailed. It is well understood now that the tail heaviness of the innovation distribution plays an important role in determining the relative performance of the two competing estimation methods, namely the maximum quasi-likelihood estimator based…

α 稳定分布与过程的间接估计AI 解读

The α-stable family of distributions constitutes a generalization of the Gaussian distribution, allowing for asymmetry and thicker tails. Its practical usefulness is coupled with a marked theoretical appeal, as it stems from a generalized version of the central limit theorem in which the assumption of the finiteness of the variance is replaced by a less restrictive assumption concerning a somehow regular behaviour of the tails. Estimation difficulties have however hindered…

New multivariate panel cointegration methods are used to analyze nominal exchange rates and prices in four major economies in Europe: France, Germany, Italy and the United Kingdom for the post‐Bretton Woods period. We test for purchasing power parity (PPP) between these four countries and find that the theoretical PPP relationship does not hold. However, the estimated unrestricted relationship is found to be remarkably close to the theoretical one (1, −1.5, 0.9 instead of 1,…

This paper proposes a bias-adjusted version of Breusch and Pagan (1980) Lagrange multiplier (LM) test statistic of error cross-section independence, in the case of panel models with strictly exogenous regressors and normal errors. The exact mean and variance of the test indicator of the LM test statistic are provided for the purpose of the bias-adjustments. It is shown that the centring of the LM statistic is correct for fixed T and N. Importantly, the proposed bias-adjusted…

含固定效应面板中混合 t 比率单位根检验的渐近局部功效AI 解读

. This latter test is equivalent to the well-known pooled t test proposed by Levin et al. (2002, Journal of Econometrics 108, 1--24), and its power depends only on the mean of the local-to-unity parameters. This implies that it has the same power against homogeneous and heterogeneous alternatives with the same mean autoregressive parameter. We then compare these tests to a panel version of the Sargan-Bhargava (1983, Econometrica 51, 153--74) statistic for a unit root and the…

检验尺寸至关重要：备择假设下的协方差矩阵估计AI 解读

The purpose of this paper is to investigate, using Monte Carlo methods, whether Hall's (2000) centred test of overidentifying restrictions for parameters estimated by generalized method of moments (GMM) is more powerful, once the test is size-adjusted, than the standard test introduced by Hansen (1982). The Monte Carlo evidence shows that very little size-adjusted power is gained over the standard uncentred calculation. Copyright Royal Economic Society 2007

动态系统中的协整搜索AI 解读

, which can be zero, stable cointegrating vectors against the alternative hypothesis of more than r0 cointegrating vectors existing in some subsample. The tests proposed follow Breitung (2002). They are non-parametric in nature and are invariant to linear transformations of the series. A distinctive feature is that they allow us to detect the hidden cointegration when the system is affected by an unknown number of regime changes of unknown timing. We analyse the limiting…

IV 与 JIVE 估计量的矩AI 解读

We develop a method based on the use of polar coordinates to investigate the existence of moments for instrumental variables and related estimators in the linear regression model. For generalized IV estimators, we obtain familiar results. For JIVE, we obtain the new result that this estimator has no moments at all. Simulation results illustrate the consequences of its lack of moments. Copyright Royal Economic Society 2007

固定效应面板数据模型的稳健估计量AI 解读

The presence of outlying observations in panel data can affect the classical estimates in a dramatic way. Nevertheless, the common practice seems to disregard the problem. The aim of this work is to study robust regression techniques in the fixed effects linear panel data framework. Robustness of the procedures is investigated by means of breakdown point computations and simulation experiments. A distinction between outlying blocks and cells in a panel is made. To show the…

波动率非对称建模：树结构多元 GARCH 模型的贝叶斯分析AI 解读

A new class of multivariate threshold GARCH models is proposed for the analysis and modelling of volatility asymmetries in financial time series. The approach is based on the idea of a binary tree where every terminal node parametrizes a (local) multivariate GARCH model for a specific partition of the data. A Bayesian stochastic method is developed and presented for the analysis of the proposed model consisting of parameter estimation, model selection and volatility…

非零阈值的 Tobit 模型AI 解读

The standard Tobit maximum likelihood estimator under zero censoring threshold produces inconsistent parameter estimates, when the constant censoring threshold γ is non-zero and unknown. Unfortunately, the recording of a zero rather than the actual censoring threshold value is typical of economic data. Non-trivial minimum purchase prices for most goods, fixed cost for doing business or trading, social customs such as those involving charitable donations, and informal…

受限最小二乘估计量对协方差误设的敏感性AI 解读

Traditional econometrics has long stressed the serious consequences of non-spherical disturbances for the estimation and testing procedures under the spherical disturbance setting, that is, the procedures become invalid and can give rise to misleading results. In practice, it is not unusual, however, to find that the parameter estimates do not change much after fitting the more general structure. This suggests that the usual procedures may well be robust to covariance…

利用长自回归估计脉冲响应函数AI 解读

This article proposes an alternative methodology to estimate impulse response functions without imposing parametric restrictions. The impulse responses are estimated by regressing the series of interest on estimated innovations, which are the residuals obtained from a prior-stage "long autoregression." We establish the consistency and asymptotic normality of the proposed estimator. Copyright Royal Economic Society 2007