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资产配置中动态相关性的检验与价值评估AI 解读

We evaluate alternative models of variances and correlations with an economic loss function. We construct portfolios to minimize predicted variance subject to a required return. It is shown that the realized volatility is smallest for the correctly specified covariance matrix for any vector of expected returns. A test of relative performance of two covariance matrices is based on work of Diebold and Mariano. The method is applied to stocks and bonds and then to highly…

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已实现方差与市场微观结构噪声AI 解读

We study market microstructure noise in high-frequency data and analyze its implications for the realized variance (RV) under a general specification for the noise. We show that kernel-based estimators can unearth important characteristics of market microstructure noise and that a simple kernel-based estimator dominates the RV for the estimation of integrated variance (IV). An empirical analysis of the Dow Jones Industrial Average stocks reveals that market microstructure…

利用间距检验面板数据的横截面相关性AI 解读

This article provides tools for characterizing the extent of cross-section correlation in panel data when we do not know a priori how many and which series are correlated. Our tests are based on the probability integral transformation of the ordered correlations. We first split the transformed correlations by their size into two groups, then evaluate the variance ratio of the two subsamples. The problem of testing cross-section correlation thus becomes one of identifying…

空间响应面的梯度及其在城市土地价值中的应用AI 解读

For point-referenced spatial data, we often create explanatory models that introduce regression structure with error consisting of a spatial term and a white noise term. Here we consider more flexible regression structures that allow spatially varying regression coefficients. The resulting mean becomes a spatial response surface that is a linear combination of the components of the spatially varying coefficient vector. Of possible interest in this setting would be gradients…

用三元 Copula 建模样本选择与处理效应AI 解读

Simultaneous nonlinear econometric models with discrete outcomes are often difficult to implement. This article considers the use of the copula approach for a model with three jointly determined outcomes. It also deals with the discrete case in which outcomes include a mixture of dichotomous choices and discrete count data. We apply this technique to study self-selection and interdependence between health insurance and health care demand among married couples. The full model…

自回归条件持续期模型的评价AI 解读

This article contains two novelties. First, a unified framework for testing and evaluating the adequacy of an estimated autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model and the time-varying ACD model, are introduced and their properties discussed. New misspecification tests for the ACD class of models are introduced. These are Lagrange multiplier and Lagrange multiplier–type tests against…

统计发布机构做对了吗？数据理性与经济周期不对称AI 解读

This article provides new evidence on the rationality of early releases of industrial production (IP) and producer price index (PPI) data. Rather than following the usual practice of examining only first available and fully revised data, we examine the entire revision history for each variable. Thus we are able to assess, for example, whether earlier releases of data are in any sense “less” rational than later releases, and when data become rational. Our findings suggest…

实际消费、收入与财富之间的关系AI 解读

Many studies relate real nondurables and services consumption to real income and wealth, with the latter measures obtained by deflating with a price index for total consumption expenditures. This procedure is appropriate only if real nondurables and services consumption is a constant multiple of aggregate real consumption outlays, which is not the case in U.S. data. We develop an alternative approach that exploits the fact that the ratio of these series has historically been…

特质波动率、股票市场波动率与预期股票收益AI 解读

We find that the value-weighted idiosyncratic stock volatility and aggregate stock market volatility jointly exhibit strong predictive power for excess stock market returns. The stock market risk–return relation is found to be positive, as stipulated by the capital asset pricing model; however, idiosyncratic volatility is negatively related to future stock market returns. Also, idiosyncratic volatility appears to be a pervasive macrovariable, and its forecasting abilities…

允许横截面依赖的购买力平价面板平稳性检验AI 解读

We investigate the purchasing power parity (PPP) hypothesis for a group of 17 countries using a new panel-based test of stationarity that allows for arbitrary cross-sectional dependence. We treat the short-run time series dynamics nonparametrically and thus avoid the need to fit separate, and potentially misspecified, models for the individual series. The statistic is simple to compute and uses standard normal critical values, even in the presence of a wide range of…

面板数据有助于解决购买力平价之谜吗？AI 解读

Although Rogoff described the “remarkable consensus” of 3- to 5-year half-lives of purchasing power parity (PPP) deviations among studies using long-horizon data, recent works using panel methods with post-1973 data report shorter half-lives of 2 to 2.5 years. But these studies do not use appropriate techniques to measure persistence. We extend median-unbiased estimation methods to the panel context, calculate both point estimates and confidence intervals, and provide strong…

永久与暂时创新切换的不可观测成分模型AI 解读

This article proposes an unobserved-component model in which component innovations are governed by a state variable that follows a Markov process. The proposed model is capable of describing both stationary and nonstationary behaviors of real data and allows the random innovations to have permanent and transitory effects in different periods. The model also permits a deterministic trend with or without breaks and hence bridges the gap between the trend-stationary model and a…

购买力平价偏离半衰期的置信区间AI 解读

Existing point estimates of half-life deviations from purchasing power parity (PPP), around 3–5 years, suggest that the speed of convergence is extremely slow. This article assesses the degree of uncertainty around these point estimates by using local-to-unity asymptotic theory to construct confidence intervals that are robust to high persistence in small samples. The empirical evidence suggests that the lower bound of the confidence interval is between four and eight…

特征价格回归时间虚拟变量法与单调性公理AI 解读

This article demonstrates that the well-known and much applied hedonic regression time-dummy method, used to construct quality-adjusted price indexes, fails the monotonicity axioms from index theory. The article outlines the hedonic time-dummy method and defines the monotonicity axioms in this context. A simple numerical example is used to illustrate the failure of monotonicity. The reasons for this failure are identified and discussed. The frequency of the violation of…

随机系数品牌选择模型中的购买频率偏差AI 解读

Conventional random-coefficients models of conditional brand choice using panel data ignore the dependence of the random-coefficients distribution on the purchase frequencies. We show that this leads to biased estimates and propose a conditional likelihood approach to obtain unbiased estimates. Unlike alternative approaches that require observation of “no-purchase” occasions, our proposed method relies only on purchase data. Furthermore, our approach does not require that…

优越预测能力检验AI 解读

We propose a new test for superior predictive ability. The new test compares favorably to the reality check (RC) for data snooping, because it is more powerful and less sensitive to poor and irrelevant alternatives. The improvements are achieved by two modifications of the RC. We use a studentized test statistic that reduces the influence of erratic forecasts and invoke a sample-dependent null distribution. The advantages of the new test are confirmed by Monte Carlo…

条件分位数预测的评价与组合AI 解读

We propose an encompassing test for comparing conditional quantile forecasts in an out-of-sample framework. Our test provides a basis for forecast combination when encompassing is rejected. Its central features are (1) use of the “tick” loss function, (2) a conditional approach to out-of-sample evaluation, and (3) derivation in an environment with asymptotically nonvanishing estimation uncertainty. Our approach is valid under general conditions; the forecasts can be based on…

检验可预测性的交易策略方法AI 解读

We propose a market timing test for conditional mean independence of financial returns. The new excess predictability (EP) test statistic has an interpretation of a properly normalized return of a certain trading strategy. We discuss similarities of the EP test to the popular directional accuracy (DA) test of Pesaran and Timmermann. Power properties of the EP test are advantageous, and size properties are comparable to those of the DA test. We illustrate application of the…