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利用加速重要性采样器模拟估计动态离散选择面板模型AI 解读

With long time series for dynamic discrete choice panel models, the Geweke--Hajivassiliou--Keane sampler has been observed to have large biases and root-mean-square errors. The Richard--Zhang accelerated importance sampler is extended for the simulation estimation of such models. It is demonstrated to be adequate and can improve upon the Geweke--Hajivassiliou--Keane sampler for lengthy time-series panels by Monte Carlo means. Empirical applications of the proposed method on…

The nonlinear fixed-effects model has two shortcomings, one practical and one methodological. The practical obstacle relates to the difficulty of computing the MLE of the coefficients of non-linear models with possibly thousands of dummy variable coefficients. In fact, in many models of interest to practitioners, computing the MLE of the parameters of fixed effects model is feasible even in panels with very large numbers of groups. The result, though not new, appears not to…

We derive the limiting behaviour of Dickey–Fuller’s (1981),F‐statistics when the trend‐break alternative is the crash model that allows for a one time shift in the intercept. We show that both F‐statistics are consistent against the crash alternative hypothesis. The power of the F‐statistics in finite samples is studied and compared to that of the Dickey–Fuller (1979) statistics, namely, the pseudo t‐ratio and the normalized estimator.

嵌套样本两阶段估计的标准误修正AI 解读

Data at different levels of aggregation are often used in two-stage estimation, with estimates obtained at the higher level of aggregation entering the estimation at the lower level of aggregation. An example is customers within markets: first-stage estimates on market data provide variables that enter the second-stage model on customers. We derive the asymptotic covariance matrix of the second-stage estimates for situations such as these. We implement the formulae in the…

以差分平稳为原假设的持久性变化检验AI 解读

Economists have recognized the possibility that a time series may change structure from trend-stationarity to difference-stationarity, or vice versa. Taking difference-stationarity as the null hypothesis, we develop tests for this possibility, where neither the location nor direction of any possible change under the alternative hypothesis need be specified. Copyright Royal Economic Society, 2003

风险价值的半参数估计AI 解读

Value at Risk (VaR) is a fundamental tool for managing market risks. It measures the worst loss to be expected of a portfolio over a given time horizon under normal market conditions at a given confidence level. Calculation of VaR frequently involves estimating the volatility of return processes and quantiles of standardized returns. In this paper, several semiparametric techniques are introduced to estimate the volatilities of the market prices of a portfolio. In addition,…

全因子多元 GARCH 模型AI 解读

A new multivariate time series model with time varying conditional variances and covariances is presented and analysed. A complete analysis of the proposed model is presented consisting of parameter estimation, model selection and volatility prediction. Classical and Bayesian techniques are used for the estimation of the model parameters. It turns out that the construction of our proposed model allows easy maximum likelihood estimation and construction of well-mixing Markov…

This paper deals with cross section dependence, homogeneity restrictions and small sample bias issues in dynamic panel regressions. To address the bias problem we develop a panel approach to median unbiased estimation that takes account of cross section dependence. The estimators given here considerably reduce the effects of bias and gain precision from estimating cross section error correlation. This paper also develops an asymptotic theory for tests of coefficient…

马尔可夫体制转换下单位根检验的渐近性质AI 解读

processes observationally equivalent and that unit root tests virtually have no power to detect stationary processes around switching trends, although autocorrelation-robust unit root tests are not affected by size distortions. Conversely, Markov switches in the mean of the transitory components do not change the usual asymptotic properties of the tests. Finally, it is shown that in large samples Markov-switching variances cause neither size distortions nor inconsistency of…

模型设定错误下断点估计量的一般一致性AI 解读

This paper considers the asymptotic behavior of the break-point estimator when some or all of the variables in a structural-break model are misspecified. An obvious example is misspecifying a linear model as a log--log model. The results given here cover a large number of data transformations, including transformation of the independent variables, dependent variable and transformation of both variables at the same time. The true data generating process can be stationary or…

探索经济时间序列：贝叶斯图形方法AI 解读

Many macroeconomic time series exhibit non-stationary behaviour. When modelling such series an important problem is to assess the nature of this non-stationary behaviour. Initial interest centred on two types of linear non-stationary models, namely those for which the removal of a trend induces stationarity and those for which taking the first difference produces a stationary series. The latter are referred to as unit root models. More recently, other models such as state…

小国进口价格决定机制的I(2)协整分析AI 解读

This paper develops a procedure for testing hypotheses on the full set of cointegration parameters of the I(2) model. It applies this procedure to the analysis of small-country import price determination, extending the standard empirical framework to allow for variables integrated of order two. The empirical analysis of Danish data for 1975--1995 yields a fully specified long-run structure of the I(2) model in terms of stationary pricing-to-market and inventory relations, a…

时间虚拟变量对质量特征均值独立时的特征价格指数估计AI 解读

. In addition to these, several interesting practical lessons are noted in doing the two-stage PLR model estimation. First, the cross validation (CV) used in the PLR model literature can fail if the mean-independence is ignored. Second, high order kernels can make the CV criterion function ill behaved. Third, product kernels work as well as spherically symmetric kernels. Fourth, nonparametric specification tests may work poorly due to a sample splitting problem with outliers…

使用阿基米德 Copula 建模样本选择AI 解读

By a theorem due to Sklar, a multivariate distribution can be represented in terms of its underlying margins by binding them together using a copula function. By exploiting this representation, the "copula approach" to modelling proceeds by specifying distributions for each margin and a copula function. In this paper, a number of families of copula functions are given, with attention focusing on those that fall within the Archimedean class. Members of this class of copulas…

内生抽样下混合模型估计的一则札记AI 解读

The main purpose of this paper is to highlight that, in the estimation of mixture models under endogenous sampling, the distribution of the unobservables can be specified either in the actual population or in the artificial population induced by the sampling method. Which of the two approaches is correct depends crucially on the population of interest. The importance of making the correct decision is illustrated with a simple application. Copyright Royal Economic Society,…

无需干扰参数的多项Probit估计AI 解读

A feasible multinomial estimation procedure is derived, which does not require parameterization of the elements in the covariance matrix. The estimation is carried out using a simulated expectation-maximization algorithm, where the covariance structure is evaluated based on a set of score functions, while the structural coefficients are derived using standard multinomial probit (MNP) conditional on the given covariance structure. This methodology is demonstrated using a…

非正交不可观测成分模型中针对随机游走成分的最优检验AI 解读

In this paper we consider the problem of testing the null hypothesis that a series has a constant level (possibly as part of a more general deterministic mean) against the alternative that the level follows a random walk. This problem has previously been studied by, inter alia, Nyblom and Makelainen (1983) in the context of the orthogonal Gaussian random walk plus noise model. This model postulates that the noise component and the innovations to the random walk are…

非平衡双向误差分量回归模型的替代估计量比较AI 解读

This paper considers the unbalanced two-way error component model studied by Wansbeek and Kapteyn (1989). Alternative analysis of variance (ANOVA), minimum norm quadratic unbiased and restricted maximum likelihood (REML) estimation procedures are proposed. The mean squared error performance of these estimators are compared using Monte Carlo experiments. Results show that for the estimates of the variance components, the computationally more demanding maximum likelihood (ML)…

自回归面板数据模型的投影估计量AI 解读

In this paper we explore a new approach to estimation for autoregressive panel data models, based on projecting the unobserved individual effects on the vector of observations on the lagged dependent variable. This approach yields estimators which coincide with known generalized method of moments estimators for models where stationarity is not imposed on the initial conditions and for models which satisfy mean stationarity. Our approach allows us to obtain a simple linear…

条件异方差模型的残差诊断AI 解读

We examine the residual-based diagnostics for univariate and multivariate conditional heteroscedasticity models. The tests are based on the parameter estimates of an autoregression with the squared standardized residuals or the cross products of the standardized residuals as dependent variables. As the regression involves estimated regressors the standard distribution theories of the ordinary least squares estimates do not apply. We provide the asymptotic variance of the…

时变参数随机波动率均值模型的矩与动态结构AI 解读

This paper introduces and discusses some of the statistical properties of a time-varying parameter stochastic volatility (SV) in mean model. We derive the autocovariance function of an observed series, under the assumption that the conditional variance follows a flexible parameterization, which nests the autoregressive SV and the exponential GARCH specifications. Furthermore, the mean parameter can be time varying. We also present the autocovariance functions of higher…

仅在备择假设下存在干扰参数时的推断界AI 解读

In hypothesis testing with nuisance parameters present only under the alternative two issues typically arise: (i) critical values are data dependent and so cannot be tabulated; (ii) we need to choose a functional over the nuisance parameter space. We address the first issue by providing easily computable bounds for the case of dependent and heterogeneous observations. We tackle the second issue by suggesting a weighted average statistic with weights given by the (quasi)…

随机场方法的线性检验与似然推断准确性考察AI 解读

We analyze the random field regression model approach recently suggested by Hamilton (2001, Econometrica, 69, 537--73). We show through extensive simulation studies that although the random field approach is indeed very closely related to the non-parametric spline smoother it seems to offer several advantages over the latter. First, tests for neglected nonlinearity based on Hamilton's random field approach seem to be more powerful than existing test statistics developed…

自回归条件异方差模型退化为随机游走的检验AI 解读

The autoregressive--ARCH (AR--ARCH) and autoregressive--GARCH (AR--GARCH) models, which allow for conditional heteroskedasticity and autoregression, reduce to random walk or white noise for some values of the parameters. We consider generalized versions of the AR--ARCH(1) and AR--GARCH(1,1) models, and, under mild assumptions, calculate the asymptotic distributions of pseudo-likelihood ratio statistics for testing hypotheses that reflect these reductions. These hypotheses…