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改进政策分析用VAR模型的联邦基金利率预测AI 解读

Federal-funds rate-forecast errors from vector autoregressive (VAR) models used for monetary policy analysis and fitted by ordinary least squares (OLS) are large relative to those from the futures market. Using three different structural VAR models, we show that forecasts based on a shrinkage estimator dominate the OLS-based forecasts--even after restricting the lag length and/or imposing exact unit-root restrictions--and are broadly comparable to the futures-market…

季节涵盖的形式化及其在德国宏观模型中的应用AI 解读

In this article, I apply the encompassing principle to test whether a model that has been estimated with seasonally adjusted (SA) data can encompass a model that is based on nonseasonally adjusted (NSA) data. Building on and extending the work of Ericsson, Hendry and Tran, who analyzed this question in a single-equation framework, I shall suggest how to test whether an SA model that is estimated as a system of simultaneous equations can "seasonally encompass" an NSA model.…

含测量误差与工具变量的恩格尔曲线估计：贝叶斯分析AI 解读

In this article, we consider the Bayesian estimation of Engel curves specified as the Working–Leser form with the measurement errors on both the left and the right sides. It is noteworthy that in the Bayesian approach no additional variation data (i.e., instrumental variables) are required in contrast with the non-Bayesian approach. We present the Bayesian estimation procedure in both models without an instrumental variable and with an instrumental variable. We also compare…

预测数据应聚合、合并，还是两者都不采用？AI 解读

It is well known that, even if all forecasters are rational, unbiasedness tests using consensus forecasts are inconsistent because forecasters have private information. However, if all forecasters face a common realization, pooled estimators are also inconsistent. In contrast, we show that when predictions and realizations are integrated and cointegrated, microhomogeneity ensures that consensus and pooled estimators are consistent. Therefore, contrary to claims in the…

高阶序列相关下基于回归的季节单位根检验性质AI 解读

We analyze the behavior of widely used regression-based tests for seasonal unit roots when the shocks are serially correlated. We show, in the quarterly case, that the common assumption that serial correlation may be accommodated by augmenting the test regression with appropriate lagged seasonal differences is only partially correct. The limiting null distributions of t statistics for unit roots at the zero and Nyquist frequencies are corrected by the lag augmentation, but…

使用有效矩方法检验汇率目标区模型AI 解读

The objectives of this article are threefold: (1) to test target zone models using more efficient and direct econometric methodology than previous research, (2) to identify an implicit band, if it exists, from observed data and to test target-zone models based on the estimated implicit band rather than the stated official band, and (3) to examine whether the exchange rate can be modeled as a managed float system with a central parity that lacks a band. We find strong…

结构突变、不完全信息与股票价格AI 解读

This article presents empirical evidence on the existence of structural breaks in the fundamentals process underlying U.S. stock prices. I develop an asset-pricing model that represents breaks in the context of a Markov switching process with an expanding set of nonrecurring states. Different hypotheses on how investors form expectations about future dividends after a break are proposed and analyzed. A model in which investors do not have full information about the…

利用金融与经济变量预测股票收益的非线性可预测性AI 解读

In a recent article by Qi, neural networks trained by Bayesian regularization were used to predict excess returns on the S&P 500. The article concluded that the switching portfolio based on the recursive neural-network forecasts generates higher accumulated wealth with lower risks than that based on linear regression. Unfortunately, attempts to replicate the results were unsuccessful. Replicated results using the same software, approach and data detailed by Qi indicate that,…

使用巴特沃斯滤波器估计经济时间序列的趋势与周期AI 解读

Long-term trends and business cycles are usually estimated by applying the Hodrick and Prescott (HP) filter to X-11 seasonally adjusted data. A two-stage procedure is proposed in this article to improve this methodology. The improvement is based on (a) using Butterworth or band-pass filters specifically designed for the problem at hand as an alternative to the HP filter, (b) applying the selected filter to estimated trend cycles instead of to seasonally adjusted series, and…

干扰参数仅在备择下存在时针对不等式约束的检验AI 解读

In this article we develop improved statistical tests for situations satisfying the following two nonstandard conditions simultaneously: (a) Some nuisance parameters become unidentified under the null hypothesis, and (b) the alternative hypothesis is restricted in the sense that it has inequality constraints/multiparameter one-sided hypotheses. In the statistical and econometric literature, inference problems under these two nonstandard conditions have been studied…

可能非平稳时间序列的非对称性检验AI 解读

Tests for asymmetric adjustment in possibly nonstationary, nearly nonstationary, or stationary time series data are developed. The asymmetry is modeled by the momentum threshold autoregressive model of Enders and Granger and an extension of it. The tests are t-type tests and Wald tests based on instrumental-variable estimators and are asymptotically normal or chi-squared regardless of stationarity/nonstationarity of data-generating processes. This is in contrast to the fact…

含随机回归变量方程的设定分析AI 解读

We encompass the (closely related) problems of testing for structural restrictions and for valid orthogonality conditions into a single-equation framework in which the familiar specification techniques of the linear regression model can be applied. Identifying the endogenous variables that induce "simultaneous equation bias" will improve the efficiency of estimation, since only those variables need to be instrumented.

ARIMA 模型的预测区间AI 解读

The problem of constructing prediction intervals for linear time series (ARIMA) models is examined. The aim is to find prediction intervals that incorporate an allowance for sampling error associated with parameter estimates. The effect of constraints on parameters arising from stationarity and invertibility conditions is also incorporated. Two new methods, based on varying degrees of first-order Taylor approximations, are proposed. These are compared in a simulation study…

以异方差季节单整为备择的季节单位根检验AI 解读

This article considers the problem of testing for a nonstochastic seasonal unit root in a seasonally observed time series process against the alternative of a randomized seasonal root with mean unity; that is, the process displays heteroscedastic seasonal integration. The alternative hypothesis allows for potentially frequently occurring changes of regime in the process under investigation, allowing for more volatile forms of seasonal nonstationarity. We discuss a family of…

扩散模型的 MCMC 分析及其金融应用AI 解读

This article proposes a new method for estimation of parameters in diffusion processes from discrete observations. The method is based on Markov-chain Monte Carlo methodology and applies to a wide class of models including systems with unobservable state variables and nonlinearities. The method is applied to the estimation of parameters in one-factor (CEV) interest-rate models and a two-factor model with a latent stochastic volatility component (SV). The CEV model is found…

协整与阈值调整AI 解读

This article proposes an extension to the Engle-Granger testing strategy by permitting asymmetry in the adjustment toward equilibrium in two different ways. We demonstrate that our test has good power and size properties over the Engle-Granger test when there are asymmetric departures from equilibrium. We consider an application--namely, whether there exists cointegration among interest rates for instruments with different maturities. This issue has been widely tested with…

投资融资约束的跨期变化AI 解读

This article is concerned with understanding how financial constraints on investment vary over the business cycle and whether these constraints are related to macroeconomic policies. These issues are investigated within the framework of a time-varying parameter model using U.S. company panel data from 1971 to 1993. A preliminary investigation of parameter stability in investment equations using cross-sectional estimation techniques indicates a pattern of parameter variation…

面板数据中选择动态的检验AI 解读

This article applies different approaches to distinguish state dependence from unobserved heterogeneity and serial correlation and, hence, test for state dependence in consumer brand choices. First, we apply a simple method proposed by Chamberlain, which involves lagged exogenous variables only. Second, we also estimate a lagged-dependent-variable specification proposed by Wooldridge. Third, we use the estimation approach suggested by Wooldridge to estimate a model with both…

存在回答误差与未应答时的估计AI 解读

Error in survey data originates from failure to contact the sample and from false answers to verifiable questions. These errors may be systematic and associated with uncooperative or unreliable respondents. Zabel modeled attrition in the Survey of Income and Program Participation and found systematic demographic and design effects. Bollinger and David modeled response error and identified correlations to income per capita. In this analysis, we link missing interviews in a…

小样本中的尾部指数估计AI 解读

Financial returns are known to be nonnormal and tend to have fat-tailed distributions. This article presents a simple methodology that accurately estimates the degree of tail fatness, characterized by the tail index, in small samples. Our method is a weighted average of Hill estimators for different threshold values that corrects for the small-sample bias apparent in the latter. Using this estimator we produce tail-index estimates for returns on exchange rates that are close…

自回归模型的自助法后再自助法预测区间AI 解读

The use of the Bonferroni prediction interval based on the bootstrap-after-bootstrap is proposed for autoregressive (AR) models. Monte Carlo simulations are conducted using a number of AR models including stationary, unit-root, and near-unit-root processes. The major finding is that the bootstrap-after-bootstrap provides a superior small-sample alternative to asymptotic and standard bootstrap prediction intervals. The latter are often too narrow, substantially…

基于部分累计数据预测累计总量AI 解读

We present a Bayesian solution to forecasting a time series when few observations are available. The quantity to predict is the accumulated value of a positive, continuous variable when partially accumulated data are observed. These conditions appear naturally in predicting sales of style goods and coupon redemption. A simple model describes the relation between partial and total values, assuming stable seasonality. Exact analytic results are obtained for point forecasts and…

解释时间序列数据中的长期与短期相互作用AI 解读

In this article, I extend the concept of separate cointegration to include the common-feature trend-cycle decomposition approach. This combined approach operates a reduction of the parameter space and permits the identification of the time series long- and short-run constituent factors. A careful assessment of their reciprocal relations, in turn, allows for the answering of potentially interesting economic questions. To show the usefulness of the proposed methodology, I…

协整向量线性约束的 Bootstrap 检验AI 解读

We consider a computer-intensive method for inference on cointegrating vectors in maximum likelihood cointegration analysis. Simulation studies show that the size distortion for the asymptotic likelihood ratio test can be considerable for small samples. Itis demonstrated that a parametric bootstrap frequently results in a nearly exact α-level test. Furthermore, response surface regression is used to examine small-sample properties of the asymptotic test. In particular, using…