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从非局部视角分析 CUSUM 及平方 CUSUM 结构变化检验的功效AI 解读

We consider the power properties of the CUSUM and CUSUM of squares tests in the presence of a one-time change in the parameters of a linear regression model. A result due to Ploberger and Krämer (1990) is that the CUSUM of squares test has only trivial asymptotic local power in this case, while the CUSUM test has non-trivial local asymptotic power unless the change is orthogonal to the mean regressor. The main theme of the paper is that such conclusions obtained from a local…

稀疏估计量与 Oracle 性质：Hodges 估计量问题的重现AI 解读

We point out some pitfalls related to the concept of an oracle property as used in Fan and Li (2001, 2002, 2004) which are reminiscent of the well-known pitfalls related to Hodges’ estimator. The oracle property is often a consequence of sparsity of an estimator. We show that any estimator satisfying a sparsity property has maximal risk that converges to the supremum of the loss function; in particular, the maximal risk diverges to infinity whenever the loss function is…

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非线性、非平稳性与伪预测AI 解读

Implications of nonlinearity, nonstationarity and misspeci...cation are considered from a forecasting perspective. My model allows for small departures from the martingale di¤erence sequence hypothesis by including a nonlinear component, formulated as a general, integrable transformation of the I(1) predictor. I assume that the true generating mechanism is unknown to the econometrician and he is therefore forced to use some approximating functions. I show that the linear…

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大规模面板中的斜率同质性检验AI 解读

This paper proposes a modified version of Swamy’s test of slope homogeneity for panel data models where the cross section dimension (N) could be large relative to the time series dimension (T). We exploit the cross section dispersion of individual slopes weighted by their relative precision. Using Monte Carlo experiments, we show that the test has the correct size and satisfactory power in panels with strictly exogenous regressors for various combinations of N and T. For…

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一种简单、稳健且高功效的线性趋势检验AI 解读

In this paper we develop a simple test procedure for a linear trend which does not require knowledge of the form of serial correlation in the data, is robust to strong serial correlation, and has a standard normal limiting null distribution under either I(0) or I(1) shocks. In contrast to other available robust linear trend tests, our proposed test achieves the Gaussian asymptotic local power envelope in both the I(0) and I(1) cases. For near-I(1) errors our proposed…

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稳健长期方差估计理论AI 解读

Long-run variance estimation can typically be viewed as the problem of estimating the scale of a limiting continuous time Gaussian process on the unit interval. A natural benchmark model is given by a sample that consists of equally spaced observations of this limiting process. The paper analyzes the asymptotic robustness of long-run variance estimators to contaminations of this benchmark model. It is shown that any equivariant long-run variance estimator that is consistent…

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线性时间序列回归中单一突变日期的置信集AI 解读

This paper considers the problem of constructing confidence sets for the date of a single break in a linear time series regression. We establish analytically and by small sample simulation that the currently standard method in econometrics to construct such confidence intervals has a coverage rate far below nominal levels when breaks are of moderate magnitude. Given that breaks of moderate magnitude are a theoretically and empirically highly relevant phenomenon, we proceed…

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一般缺失数据问题的逆概率加权估计AI 解读

I study inverse probability weighted M-estimation under a general missing data scheme. Examples include M-estimation with missing data due to a censored survival time, propensity score estimation of the average treatment effect in the linear exponential family, and variable probability sampling with observed retention frequencies. I extend an important result known to hold in special cases: estimating the selection probabilities is generally more efficient than if the known…

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