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条件政策预测的有效性检验AI 解读

Central Banks regularly make forecasts, such as the Fed's Greenbook forecast, that are conditioned on hypothetical paths for the policy interest rate. While there are good public policy reasons to evaluate the quality of such forecasts, up until now, the most common approach has been to ignore their conditional nature and apply standard forecast efficiency tests. In this paper we derive tests for the efficiency of conditional forecasts. Intuitively, these tests involve…

大型多方程马尔可夫切换模型的推断方法AI 解读

Inference for multiple-equation Markov-chain models raises a number of difficulties that are unlikely to appear in smaller models. Our framework allows for many regimes in the transition matrix, without letting the number of free parameters grow as the square as the number of regimes, but also without losing a convenient form for the posterior distribution. Calculation of marginal data densities is difficult in these high-dimensional models. This paper gives methods to…

最小二乘预测平均AI 解读

This paper proposes forecast combination based on the method of Mallows Model Averaging (MMA). The method selects forecast weights by minimizing a Mallows criterion. This criterion is an asymptotically unbiased estimate of both the in-sample mean-squared error (MSE) and the out-of-sample one-step-ahead mean-squared forecast error (MSFE). Furthermore, the MMA weights are asymptotically mean-square optimal in the absence of time-series dependence. We show how to compute MMA…

贝弗里奇—纳尔逊分解与其他永久—暂时分解的关系AI 解读

The Beveridge-Nelson (BN) decomposition is a model-based method for decomposing time series into permanent and transitory components. When constructed from an ARIMA model, it is closely related to decompositions based on unobserved components (UC) models with random walk trends and covariance stationary cycles. The decomposition when extended to I(2) models can also be related to non-model-based signal extraction filters such as the HP filter. We show that the BN…

含持久协变量的ARCH过程的时间序列性质AI 解读

We investigate the time series properties of a volatility model, whose conditional variance is specified as in ARCH with an additional persistent covariate. The included covariate is assumed to be an integrated or nearly integrated process, with its effect on volatility given by a wide class of nonlinear volatility functions. In the paper, such a model is shown to generate many important characteristics that are commonly observed in financial time series. In particular, the…

全球收益率曲线动态与互动：动态 Nelson–Siegel 方法AI 解读

The popular Nelson-Siegel [Nelson, C.R., Siegel, A.F., 1987. Parsimonious modeling of yield curves. Journal of Business 60, 473-489] yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold-Li [Diebold, F.X., Li, C., 2006. Forecasting the term structure of government bond yields. Journal of Econometrics 130, 337-364] have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large…

弱工具变量回归中的有效双侧非相似不变检验AI 解读

As Nelson and Startz [Nelson, C.R., Startz, R., 1990a. The distribution of the instrumental variable estimator and its t ratio when the instrument is a poor one. Journal of Business 63, S125-S140; Nelson, C.R., Startz, R., 1990b. Some further results on the exact small sample properties of the instrumental variables estimator. Econometrica 58, 967-976] dramatically demonstrated, standard hypothesis tests and confidence intervals in instrumental variables regression are…

大量预测变量下的预测：贝叶斯收缩能否替代主成分？AI 解读

This paper considers Bayesian regression with normal and double-exponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range of prior choices. Moreover, we study conditions for consistency of the forecast based on Bayesian regression as the cross-section and the sample size become large. This analysis…

状态切换过程的趋势—周期分解AI 解读

We present a new approach to trend/cycle decomposition of time series that follow regime-switching processes. The proposed approach, which we label the "regime-dependent steady-state" (RDSS) decomposition, is motivated as the appropriate generalization of the Beveridge and Nelson decomposition [Beveridge, S., Nelson, C.R., 1981. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the…

马尔可夫切换与贝弗里奇—纳尔逊分解：美国产出持续性是否改变？AI 解读

We show that, for a class of univariate and multivariate Markov-switching models, exact calculation of the Beveridge-Nelson (BN) trend/cycle components is possible. The key to exact BN trend/cycle decomposition is to recognize that the latent first-order Markov-switching process in the model has an AR(1) representation, and that the model can be cast into a state-space form. Given the state-space representation, we show that impulse-response function analysis can be…

贝叶斯模型平均与汇率预测AI 解读

Exchange rate forecasting is hard and the seminal result of Meese and Rogoff [Meese, R., Rogoff, K., 1983. Empirical exchange rate models of the seventies: Do they fit out of sample? Journal of International Economics 14, 3-24] that the exchange rate is well approximated by a driftless random walk, at least for prediction purposes, still stands despite much effort at constructing other forecasting models. However, in several other macro and financial forecasting…

使用定向预测变量预测经济时间序列AI 解读

This paper studies two refinements to the method of factor forecasting. First, we consider the method of quadratic principal components that allows the link function between the predictors and the factors to be non-linear. Second, the factors used in the forecasting equation are estimated in a way to take into account that the goal is to forecast a specific series. This is accomplished by applying the method of principal components to 'targeted predictors' selected using…

贝弗里奇—纳尔逊分解的回顾与展望AI 解读

Beveridge and Nelson [Beveridge, Stephen, Nelson, Charles R., 1981. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the 'business cycle'. Journal of Monetary Economics 7, 151-174] proposed that the long-run forecast is a measure of trend for time series such as GDP that do not follow a deterministic path in the long run. They showed that if the series is stationary in first…

截断回归及其偏导数的局部似然估计：理论与应用AI 解读

In this paper we propose a very flexible estimator in the context of truncated regression that does not require parametric assumptions. To do this, we adapt the theory of local maximum likelihood estimation. We provide the asymptotic results and illustrate the performance of our estimator on simulated and real data sets. Our estimator performs as well as the fully parametric estimator when the assumptions for the latter hold, but as expected, much better when they do not…

回归分位数的结构变化检验AI 解读

Most studies in the structural change literature focus solely on the conditional mean, while under various circumstances, structural change in the conditional distribution or in conditional quantiles is of key importance. This paper proposes several tests for structural change in regression quantiles. Two types of statistics are considered, namely, a fluctuation type statistic based on the subgradient and a Wald type statistic, based on comparing parameter estimates obtained…

含单位根的 TAR-GARCH(1,1) 模型：线性性的渐近与自助法检验AI 解读

This paper derives the limiting distribution of the Lagrange Multiplier (LM) test for threshold nonlinearity in a TAR model with GARCH errors when one of the regimes contains a unit root. It is shown that the asymptotic distribution is nonstandard and depends on nuisance parameters that capture the degree of conditional heteroskedasticity and non-Gaussian nature of the process. We propose a bootstrap procedure for approximating the exact finite-sample distribution of the…

线性面板数据模型的联合序列相关检验AI 解读

This paper proposes a joint error serial correlation test to be applied to linear panel data models after generalised method of moments estimation. This new test is an alternative inferential tool to both the m2 test of [Arellano, M., Bond, S., 1991. Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. Review of Economic Studies 58, 277-297] and the overidentifying restrictions test. The proposed test, called the test,…

野生自助法：拒绝概率误差的改进AI 解读

The wild bootstrap is studied in the context of regression models with heteroskedastic disturbances. We show that, in one very specific case, perfect bootstrap inference is possible, and a substantial reduction in the error in the rejection probability of a bootstrap test is available much more generally. However, the version of the wild bootstrap with this desirable property is without the skewness correction afforded by the currently most popular version of the wild…

个体数与时期数均较大时固定效应空间动态面板的准极大似然估计AI 解读

This paper investigates the asymptotic properties of quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects, when both the number of individuals n and the number of time periods T are large. We consider the case where T is asymptotically large relative to n, the case where T is asymptotically proportional to n, and the case where n is asymptotically large relative to T. In the case where T is asymptotically large relative to n, the estimators…

结构离散马尔可夫决策模型的伪似然估计与自助推断AI 解读

This paper analyzes the higher-order properties of the estimators based on the nested pseudo-likelihood (NPL) algorithm and the practical implementation of such estimators for parametric discrete Markov decision models. We derive the rate at which the NPL algorithm converges to the MLE and provide a theoretical explanation for the simulation results in Aguirregabiria and Mira [Aguirregabiria, V., Mira, P., 2002. Swapping the nested fixed point algorithm: A class of…

满足有限个矩不等式的部分识别参数置信集AI 解读

This paper proposes a computationally simple way to construct confidence sets for a parameter of interest in models comprised of moment inequalities. Building on results from the literature on multivariate one-sided tests, I show how to test the hypothesis that any particular parameter value is logically consistent with the maintained moment inequalities. The associated test statistic has an asymptotic chi-bar-square distribution, and can be inverted to construct an…

最大加权得分估计量的精确计算AI 解读

We show that exact computation of a family of 'max weighted score' estimators, including Manski's max score estimator, can be achieved efficiently by reformulating them as mixed integer programs (MIP) with disjunctive constraints. The advantage of our MIP formulation is that estimates are exact and can be computed using widely available solvers in reasonable time. In a classic work-trip mode choice application, our method delivers exact estimates that lead to a different…

多单位拍卖的部分识别与可检验限制AI 解读

Bidders' values in discriminatory and uniform-price auctions are not necessarily point-identified under the assumptions of equilibrium bidding and independent private values, but meaningful policy analysis can proceed from bounds on bidder values. This paper provides upper and lower bounds on the set of values that can rationalize a given distribution of bids, under the additional (and standard) assumption of non-increasing marginal values. Novel testable implications of the…

随机波动率模型期权价格计算的高斯近似方案AI 解读

We consider European options on a price process that follows the log-linear stochastic volatility model. Two stochastic integrals in the option pricing formula are costly to compute. We derive a central limit theorem to approximate them. At parameter settings appropriate to foreign exchange data our formulas improve computation speed by a factor of 1000 over brute force Monte Carlo making MCMC statistical methods practicable. We provide estimates of model parameters from…