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含马尔可夫转换异方差的不可观测成分时间序列模型：状态变化与通胀不确定性AI 解读

In this article, I first extend the standard unobserved-component time series model to include Hamilton's Markov-switching heteroscedasticity. This will provide an alternative to the unobserved-component model with autoregressive conditional heteroscedasticity, as developed by Harvey, Ruiz, and Sentana and by Evans and Wachtel. I then apply a generalized version of the model to investigate the link between inflation and its uncertainty (U.S. data, gross national product…

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评论：自适应预测AI 解读

I am not surprised by how far behind our profession is in calculating interval forecasts. After all, interval forecast is a concept not well formulated nor well understood by statisticians. On the other hand, I am amazed by Chatfield's expectation and his recommendation. Will he be satisfied when Formulas (4.1) and (4.2) are routinely used in practice? Will he be satisfied when the forecast intervals are sufficiently wide to cover all the data points in out-of-sample…

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预测区间的计算AI 解读

Several general approaches to calculating interval forecasts are described and compared. They include the use of theoretical formulae based on a fitted probability model, various "approximate" formulae (which should be avoided), and empirically-based, simulation, and resampling procedures. Some gener al comments are made as to why prediction intervals tend to be too narr ow in practice to encompass the required proportion of future observations. An example demonstrates the…

宏观经济时间序列的形态统计分析：是否存在经济周期？AI 解读

A. Burns and W. Mitchell (1946) considered business cycles as recurrent patterns in macroeconomic time series. This article develo ps formal ways of identifying the occurrence of such patterns and testi ng their significance. In particular, it calculates the probability tha t a linear time-series model that fits the data well can generate the patterns observed in macroeconomic time series.

由总体收入份额弹性估计汽车总需求的收入弹性AI 解读

The conventional approach to estimating the income responsiveness of a product's sales involves collecting data on sale s as a function of income and product prices and then estimating a dem and model. In many cases, it is very difficult to either collect the required data or reliably estimate the demand model. This article develops an alternative approach toward estimating these income-responsiveness parameters using only the average income of th e product's buyers and the…

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不可逆时间序列模型的检验及应用AI 解读

This paper is concerned with testing for noninvertible time-series models. For a stationary but noninvertible autoregressive moving average model, the author constructs a derived process that is nonstationary but invertible with a nonstationary factor identical to the noninvertible factor of the original time series. The author then proposes a test procedure for testing noninvertibility using various unit-root test statistics available i n the literature. The limiting…

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参数服从 ARIMA 过程的 ARIMA 模型AI 解读

This article introduces a general class of nonlinear and nonstationary time-series models whose basic scheme is an autoregressive integrated moving average (ARIMA). The main feature i s that the parameters are assumed to behave like a vector ARIMAx model in which the exogenous (x) component is represented by the regressors o f the observable process. For this class, a general algorithm of identification-estimation is outlined based on the sampling information alone. The…

不可逆模型的检验及应用AI 解读

This article is concerned with testing for noninvertibie time series models. For a stationary but noninvertibie autoregressive moving average model, I construct a derived process that is non-stationary but invertible with a nonstationary factor identical to the noninvertibie factor of the original time series. I then propose a test procedure for testing noninvertibility using various unit-root test statistics available in the literature. The limiting distributions of the…

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购买力平价的分数协整分析AI 解读

A generalized.notion of cointegration, called fractional cointegration, is introduced to examine the long-run purchasing power parity hypothesis. By allowing deviations from equilibrium to follow a fractional process, the fractional cointegration analysis can capture a wider range of mean reversion behavior than standard cointegration analyses. This gain in flexibil ity in modeling mean-reverting dynamics is found to be important for evaluating long-run purchasing power…

ARCH 与 GARCH 回归扰动的局部最大平均功效得分检验AI 解读

This paper considers testing for autoregressive conditional heteroskedasticity and generalized autoregressive conditional heteroskedasticity disturbances in the linear regression model. These testing problems are one-sided in nature; a fact ignored by the Lagrange multiplier test. A test that exploits this one-sided aspect is constructed based on the sum of the scores. The size and power properties of two versions of this test under normal and leptokurtic disturbances are…

均值与方差发生马尔可夫状态切换的自回归时间序列：Gibbs 抽样贝叶斯推断AI 解读

The authors examine autoregressive time series models subject to regime switching. A Bayesian framework is develope d in which the unobserved.states, one for each time point, are treated as missing data and then analyzed using the Gibbs sampler. This approac h is straightforward because the conditional posterior distribution of the parameters given the states, and the conditional posterior distribution of the states given the parameters, are amenable to simulation. The…

汇率的长记忆AI 解读

Using the Geweke-Porter-Hudak test, the author finds evidence of long memory in exchange-rate data. This implies t hat the empirical evidence of unit roots in exchange rates may not be robust to long-memory alternatives. Fractionally integrated autoregressive moving average models are estimated by both the time-domain exact maximum likelihood method and the frequency-domain approximate maximum likelihood method. Impulse-response functions and forecasts based.on these…

时间序列水平突变的检测AI 解读

This article demonstrates the difficulty that traditional outlier detection methods, such as that of R. S. Tsay, have in identifying level shifts in time series. Initializing the outlier/level-shift search with an estimated autoregressive moving average model lowers the power of the level-shift detection statisti cs. Furthermore, the rule employed by these methods for distinguishing between level shifts and innovation outliers does not work well in t he presence of level…

二元选择模型的半非参数估计及其劳动参与应用AI 解读

The authors adapt the estimation method proposed by A. R. Gallant and D. N. Nychka (1987) to binary-choice models. They present Monte Carlo and asymptotic comparisons with the probit estimator and discuss optimization algorithms, choice of starting values, and strategies f or choosing the number of parameters used in approximating the density. Seminonparametric estimation is almost as efficient as probit estimation in normal samples and performs better in nonnormal sample s.…

参数模型中的独立性检验：应用与示例AI 解读

Tests of independence between variables in discrete and continuous bivariate and multivariate regression equations are derived using series expansions of joint distributions in terms of marginal distributions and their related orthonormal polynomials. Th e tests are conditional moment tests based on covariances between pair s of orthonormal polynomials. Examples include tests of serial independence against bilinear and/or autoregressive conditional heteroskedasticity…

重返论争前线AI 解读

This study updates previous work by the author providing quantitative evidence of the professional impact of the Bayesian viewpoint as measured by the percentage of pages devoted to Bayesian articles in leading statistics and econometrics journals over the period 1982–1991.

评 Otter《多元时间序列中的典型相关及一年期与多年期宏观预测应用》AI 解读

(1992). Comments on “Canonical Correlation in Multivariate Time Series Analysis With an Application to One-Year-Ahead and Multiyear- Ahead Macroeconomic Forecasting,” by P. W. Otter. Journal of Business & Economic Statistics: Vol. 10, No. 4, pp. 470-471.

多元化经济的测量：前沿方法AI 解读

The purpose of this paper is to improve the statistical analysis of multiproduct firm behavior. The authors offer a new empirical technique that can be used to directly analyze issues such as subadditivity, expansion path subadditivity, economies of scope, and economies of diversification. Previous applied work has used "nonfrontier" estimation techniques. The authors show how to introduce frontier approaches to multiproduct cost analysis, which can be applied to any of…