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具有群组层面异质性的离散时间持续期模型AI 解读

Dynamic discrete choice panel data models have received a great deal of attention. In those models, the dynamics is usually handled by including the lagged outcome as an explanatory variable. In this paper we consider an alternative model in which the dynamics is handled by using the duration in the current state as a covariate. We propose estimators that allow for group-specific effect in parametric and semiparametric versions of the model. The proposed method is…

持续期驱动长程依赖过程的渐近理论AI 解读

We consider processes with second order long range dependence resulting from heavy tailed durations. We refer to this phenomenon as duration-driven long range dependence (DDLRD), as opposed to the more widely studied linear long range dependence based on fractional differencing of an iid process. We consider in detail two specific processes having DDLRD, originally presented in Taqqu and Levy (1986), and Parke (1999). For these processes, we obtain the limiting distribution…

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连续时间证券市场事件建模：基于强度的多元点过程模型AI 解读

A continuous time econometric modelling framework for multivariate financial market event (or ‘transactions’) data is developed in which the model is specified via the vector conditional intensity. Generalised Hawkes models are introduced that incorporate inhibitory events and dependence be- tween trading days. Novel omnibus specification tests based on a multivariate random time change theorem are proposed. A bivariate point process model of the timing of trades and…

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同期门限自回归模型：估计、检验与预测AI 解读

This paper proposes a contemporaneous smooth transition threshold autoregressive model (C-STAR) as a modification of the smooth transition threshold autoregressive model surveyed in Teräsvirta (1998), in which the regime weights depend on the ex ante probability that a latent regime-specific variable will exceed a threshold value. We argue that the contemporaneous model is well-suited to rational expectations applications (and pricing exercises), in that it allows the…

季节性单位根假设的有效检验AI 解读

In this paper we derive, under the assumption of Gaussian errors with known error covariance matrix, asymptotic local power bounds for seasonal unit root tests for both known and unknown deterministic scenarios and for an arbitrary seasonal aspect. We demonstrate that the optimal test of a unit root at a given spectral frequency behaves asymptotically independently of whether unit roots exist at other frequencies or not. We also develop modified versions of the optimal tests…

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基于已实现极差的积分方差估计AI 解读

We provide a set of probabilistic laws for estimating the quadratic variation of continuous semimartingales with realized range-based variance -- a statistic that replaces every squared return of realized variance with a normalized squared range. If the entire sample path of the process is available, and under a set of weak conditions, our statistic is consistent and has a mixed Gaussian limit, whose precision is five times greater than that of realized variance. In…

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条件异方差下的广义秩估计量AI 解读

In this paper, we extend the classical idea of Rank-estimation of parameters from homoscedastic problems to heteroscedastic problems. In particular, we define a class of rank estimators of the parameters associated with the conditional mean function of an autoregressive model through a three-steps procedure and then derive their asymp- totic distributions. The class of models considered includes Engel’s ARCH model and the threshold heteroscedastic model. The class of…

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