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基于近似 Bahadur 斜率比较结构突变检验的相对功效AI 解读

We compare the asymptotic relative efficiency of the Exp, Mean, and Sup functionals of the Wald, LM and LR tests for structural change analyzed by Andrews [Andrews, D.W.K., 1993. Tests for parameter instability and structural change with unknown change point. Econometrica 61, 821-856.] and Andrews and Ploberger [Andrews, D.W.K., Ploberger, W., 1994. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62, 1383-1414.]. We derive the…

弱工具变量下得分检验自助法的有效性AI 解读

It is well-known that size adjustments based on bootstrapping the t-statistic perform poorly when instruments are weakly correlated with the endogenous explanatory variable. In this paper, we provide a theoretical proof that guarantees the validity of the bootstrap for the score statistic. This theory does not follow from standard results, since the score statistic is not a smooth function of sample means and some parameters are not consistently estimable when the…

检验重要性抽样背后的假设AI 解读

Importance sampling is used in many areas of modern econometrics to approximate unsolvable integrals. Its reliable use requires the sampler to possess a variance, for this guarantees a square root speed of convergence and asymptotic normality of the estimator of the integral. However, this assumption is seldom checked. In this paper we use extreme value theory to empirically assess the appropriateness of this assumption. Our main application is the stochastic volatility…

《计量经济学杂志》的三十五年AI 解读

The paper discusses how the Journal of Econometrics started and has grown over the years. It analyzes a trend in the research areas of the published articles and reviews some of the important papers that have been published. It concludes with an assessment of the future of the journal.

可预测收益与资产配置：持怀疑态度的投资者是否应择时？AI 解读

We investigate optimal portfolio choice for an investor who is skeptical about the degree to which excess returns are predictable. Skepticism is modeled as an informative prior over the R2 of the predictive regression. We find that the evidence is sufficient to convince even an investor with a highly skeptical prior to vary his portfolio on the basis of the dividend-price ratio and the yield spread. The resulting weights are less volatile and deliver superior out-of-sample…

混合分类与连续数据的分布相等非参数检验AI 解读

In this paper we consider the problem of testing for equality of two density or two conditional density functions defined over mixed discrete and continuous variables. We smooth both the discrete and continuous variables, with the smoothing parameters chosen via least-squares cross-validation. The test statistics are shown to have (asymptotic) normal null distributions. However, we advocate the use of bootstrap methods in order to better approximate their null distribution…

含解释变量的线性动态面板模型截面依赖检验AI 解读

This paper proposes a new testing procedure for detecting error cross section dependence after estimating a linear dynamic panel data model with regressors using the generalised method of moments (GMM). The test is valid when the cross-sectional dimension of the panel is large relative to the time series dimension. Importantly, our approach allows one to examine whether any error cross section dependence remains after including time dummies (or after transforming the data in…

VAR 维度对 OLS 偏差、方差与最小均方误差估计的有限样本影响AI 解读

Vector autoregressions (VARs) are important tools in time series analysis. However, relatively little is known about the finite-sample behaviour of parameter estimators. We address this issue, by investigating ordinary least squares (OLS) estimators given a data generating process that is a purely nonstationary first-order VAR. Specifically, we use Monte Carlo simulation and numerical optimisation to derive response surfaces for OLS bias and variance, in terms of VAR…

利用高频数据估计含跳跃的连续时间随机波动率模型AI 解读

This paper proposes a method of inference for general stochastic volatility models containing price jumps. The estimation is based on treating realized multipower variation statistics calculated from high-frequency data as their unobservable (fill-in) asymptotic limits. The paper provides easy-to-check conditions under which the error in estimation resulting from this approximation is op(1) and additional ones under which it is , where T is the number of days in the sample.…

非平稳时间序列的函数系数模型AI 解读

This paper studies functional coefficient regression models with nonstationary time series data, allowing also for stationary covariates. A local linear fitting scheme is developed to estimate the coefficient functions. The asymptotic distributions of the estimators are obtained, showing different convergence rates for the stationary and nonstationary covariates. A two-stage approach is proposed to achieve estimation optimality in the sense of minimizing the asymptotic mean…

基于模拟的竞争性结构计量模型选择AI 解读

This paper proposes a formal model selection test for choosing between two competing structural econometric models. The procedure is based on a novel lack-of-fit criterion, namely, the simulated mean squared error of predictions (SMSEP), taking into account the complexity of structural econometric models. It is asymptotically valid for any fixed number of simulations, and allows for any estimator which has a asymptotic normality or is n[alpha]-consistent for [alpha]>1/2. The…

非对称指数幂分布的性质与估计AI 解读

The new distribution class, Asymmetric Exponential Power Distribution (AEPD), proposed in this paper generalizes the class of Skewed Exponential Power Distributions (SEPD) in a way that in addition to skewness introduces different decay rates of density in the left and right tails. Our parametrization provides an interpretable role for each parameter. We derive moments and moment-based measures: skewness, kurtosis, expected shortfall. It is demonstrated that a maximum…

多变量建模前的大规模数据共同运动分析AI 解读

For non-stationary vector autoregressive models (VAR hereafter, or VAR with moving average, VARMA hereafter), we show that the presence of common cyclical features or cointegration leads to a reduction of the order of the implied univariate autoregressive-integrated-moving average (ARIMA hereafter) models. This finding can explain why we identify parsimonious univariate ARIMA models in applied research although VAR models of typical order and dimension used in…

具有社会互动的同步博弈中的统计推断AI 解读

This paper studies inference in a continuous time game where an agent's decision to quit an activity depends on the participation of other players. In equilibrium, similar actions can be explained not only by direct influences but also by correlated factors. Our model can be seen as a simultaneous duration model with multiple decision makers and interdependent durations. We study the problem of determining the existence and uniqueness of equilibrium stopping strategies in…

含内生解释变量的马尔可夫转换模型Ⅱ：两步极大似然估计AI 解读

This paper proposes a two-step maximum likelihood estimation (MLE) procedure to deal with the problem of endogeneity in Markov-switching regression models. A joint estimation procedure provides us with an asymptotically most efficient estimator, but it is not always feasible, due to the 'curse of dimensionality' in the matrix of transition probabilities. A two-step estimation procedure, which ignores potential correlation between the latent state variables, suffers less from…

随机前沿模型中估计技术效率的分布AI 解读

We consider a stochastic frontier model with error [epsilon]=v-u, where v is normal and u is half normal. We derive the distribution of the usual estimate of u,E(u[epsilon]). We show that as the variance of v approaches zero, E(u[epsilon])-u converges to zero, while as the variance of v approaches infinity, E(u[epsilon]) converges to E(u). We graph the density of E(u[epsilon]) for intermediate cases. To show that E(u[epsilon]) is a shrinkage of u towards its mean, we derive…

具有单调功效的均值变化检验AI 解读

Several widely used tests for a changing mean exhibit nonmonotonic power in finite samples, due to "incorrect"Â estimation of nuisance parameters under the alternative. In this paper, we study the issue of nonmonotonic power in testing for changing mean. We investigate the asymptotic power properties of the tests, using a new framework where alternatives are characterized as having "large" changes. The asymptotic analysis provides a theoretical explanation to the power…

零假设与备择下均允许未知时点趋势突变的单位根检验AI 解读

Perron [Perron, P., 1989. The great crash, the oil price shock and the unit root hypothesis. Econometrica 57, 1361-1401] introduced a variety of unit root tests that are valid when a break in the trend function of a time series is present. The motivation was to devise testing procedures that were invariant to the magnitude of the shift in level and/or slope. In particular, if a change is present it is allowed under both the null and alternative hypotheses. This analysis was…

弹性估计的推断方法AI 解读

Elasticities are often estimated from the results of demand analysis. However, drawing inferences from them may involve assumptions that could influence the outcome. In this paper we investigate one of the most common forms of elasticity which is defined as a ratio of estimated relationships and demonstrate how the Fieller method for the construction of confidence intervals can be used to draw inferences. We estimate the elasticities of expenditure from Engel curves using a…

用距离函数估计需求：原始与对偶参数化AI 解读

Our purpose is to investigate the ability of different parametric forms to 'correctly' estimate consumer demands based on distance functions using Monte Carlo methods. Our approach combines economic theory, econometrics and quadratic approximation. We begin by deriving parameterizations for transformed quadratic functions which are linear in parameters and characterized by either homogeneity or which satisfy the translation property. Homogeneity is typical of Shephard…

具有异方差误差的神经网络需求系统AI 解读

In this paper we consider estimation of demand systems with flexible functional forms, allowing an error term with a general conditional heteroskedasticity function that depends on observed covariates, such as demographic variables. We propose a general model that can be estimated either by quasi-maximum likelihood (in the case of exogenous regressors) or generalized method of moments (GMM) if the covariates are endogenous. The specification proposed in the paper nests…

用于多项选择的贝叶斯混合 Logit–Probit 模型AI 解读

In this paper, we introduce a new flexible mixed model for multinomial discrete choice where the key individual- and alternative-specific parameters of interest are allowed to follow an assumption-free nonparametric density specification, while other alternative-specific coefficients are assumed to be drawn from a multivariate Normal distribution, which eliminates the independence of irrelevant alternatives assumption at the individual level. A hierarchical specification of…

消费者偏好弱可分性的非参数检验AI 解读

Two stochastic nonparametric procedures are developed to evaluate the significance of violations of weak separability. When the data have measurement error, we show that the necessary and sufficient weak separability conditions of Varian [Varian, H., 1983. Nonparametric tests of consumer behavior. Review of Economic Studies 50, 99-110] must also satisfy the Afriat inequalities. The tests detect weak separability with high probability for weakly separable data. In addition,…

增加重复横截面中的价格变异AI 解读

Insufficient price variation seriously hampers many applications of consumer demand models. This paper examines the empirical performance of a potential remedy for this problem that was suggested by [Lewbel, A., 1989. Identification and estimation of equivalence scales under weak separability. Review of Economic Studies 56, 311-316], the construction of individual specific price indices for bundles of goods. These individual specific price indices allow for a population with…