论文检索

摘要暂缺

似不相关回归中扰动同期相关性的精确检验AI 解读

This paper proposes finite-sample procedures for testing the SURE specification in multi-equation regression models, i.e. whether the disturbances in different equations are contemporaneously uncorrelated or not. We apply the technique of Monte Carlo (MC) tests [Dwass (1957), Barnard (1963)] to obtain exact tests based on standard LR and LM zero correlation tests. We also suggest a MC quasi-LR (QLR) test based on feasible generalized least squares (FGLS). We show that the…

摘要暂缺

摘要暂缺

摘要暂缺

非参数前沿估计：一种稳健方法AI 解读

A large amount of literature has been developed on how to specify and to estimate production frontiers or cost functions. Two different approaches have been mainly developed: the deterministic frontier model which relies on the assumption that all the observations are on a unique side of the frontier, and the stochastic frontier models where observational errors or random noise allows some observations to be outside of the frontier. In a deterministic frontier framework,…

摘要暂缺

摘要暂缺

摘要暂缺

摘要暂缺

无需向量自回归的简易协整秩检验AI 解读

This paper proposes a fully nonparametric test for cointegrating rank which does not require estimation of a vector autoregressive model. The test exploits the fact that the degeneracy in the moment matrix of the variables with mixed integration order corresponds to the notion of cointegration. With an appropriate standardization, the test statistics are shown to have a nuisance parameter free limiting distribution and to be consistent under reasonable conditions. Monte…

摘要暂缺

摘要暂缺

摘要暂缺

核平滑方法下的收益率曲线估计AI 解读

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is nonparametric and does not assume a particular functional form for the discount function although we do show how to impose various restrictions in the estimation. Our method is based on kernel smoothing and is defined as the minimum of some localized population moment condition. The solution to the sample problem is not…

摘要暂缺

长记忆与状态转换AI 解读

The theoretical and empirical econometric literatures on long memory and regime switching have evolved largely independently, as the phenomena appear distinct. We argue, in contrast, that they are intimately related, and we substantiate our claim in several environments, including a simple mixture model, Engle and Lee's (1999) stochastic permanent break model, and Hamilton's (1989) Markov switching model. In particular, we show analytically that stochastic regime switching…

嵌套模型的预测精度相等与预测涵盖检验AI 解读

We examine the asymptotic and finite-sample properties of tests for equal forecast accuracy and encompassing applied to 1-step ahead forecasts from nested parametric models. We first derive the asymptotic distributions of two standard tests and one new test of encompassing. Tables of asymptotically valid critical values are provided. Monte Carlo methods are then used to evaluate the size and power of the tests of equal forecast accuracy and encompassing. The simulations…

标普 100 波动率预测：隐含波动率与高频收益的增量信息AI 解读

The information content of implied volatilities and intraday returns is compared, in the context of forecasting index volatility over horizons from 1 to 20 days. Forecasts of two measures of realised volatility are obtained after estimating ARCH models using daily index returns, daily observations of the VIX index of implied volatility and sums of squares of 5-min index returns. The in-sample estimates show that nearly all relevant information is provided by the VIX index…

摘要暂缺

摘要暂缺

摘要暂缺

摘要暂缺

摘要暂缺