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非平稳 VAR 中脉冲响应与预测误差方差的渐近性质AI 解读

Estimated impulse responses and forecast error decompositions are shown to be inconsistent at long horizons in unrestricted VARs with some unit roots. Predictions from unrestricted VARs also do not converge to the optimal predictors over long forecast horizons. In contrast, reduced rank regressions produce impulse responses and forecast error variance estimates that are consistent and predictions that are asymptotically optimal, provided the cointegrating rank is correctly…

基于蒙特卡洛模拟的非线性非高斯状态空间建模AI 解读

We propose two nonlinear and nonnormal filters based on Monte Carlo simulation techniques. In terms of programming and computational requirements both filters are more tractable than other nonlinear filters that use numerical integration, Monte Carlo integration with importance sampling or Gibbs sampling. The proposed filters are extended to prediction and smoothing algorithms. Monte Carlo experiments are carried out to assess the statistical merits of the proposed filters.

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一般线性结构计量模型中的识别与 Kullback 信息AI 解读

In this paper we employ the Kullback information apparatus in (a) obtaining the strong consistency of the maximum likelihood (ML) estimator in the standard version of the general linear structural econometric model (GLSEM); (b) deriving very siccinctly the necessary and sufficient (nas) conditions for identification by the use of exclision restrictions. The arguments given in (a), however, are equally applicable to a wide class of nonlinear models and the arguments in (b)…

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理性预期、通货膨胀与名义利率AI 解读

There is a substantial empirical literature, beginning with Fama (1975), that utilizes regressions of the inflation rate in a given period on initial interest rates (or inflation differentials on the slope of the initial yield curve) to test the Fisher hypothesis and/or to provide forecasts of inflation. Both uses depend critically on the maintained hypothesis that asset market prices fully incorporate all relevant current information about future yields. This paper will…

少量理论约束下的商业周期分析：审视结构 VARAI 解读

This paper examines the usefulness of applying structural vector autoregressions (SVARs) to the study of business cycles. The SVAR approach aims to provide robust inferences, by imposing only weak theoretical restrictions. We illustrate that the robustness of conclusions drawn from SVAR exercises are questionable. We also examine the problem of identification failure in structural VAR models.

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政府预算约束的计量经济学含义AI 解读

Despite Christ's (1968) warnings, modern macroeconometric models for policy analysis still fail to treat the government budget constraint (GBC) adequately. I point out that the potential consequences of mistaken handling of the GBC become more severe as forward-looking behavior is incorporated in macroeconometric models. Furthermore, contrary to popular belief, careful treatment of the GBC is shown to be a matter of primary importance even in models of the short and medium…

样本规模对空间滞后算子冗余程度的影响AI 解读

This paper analyzes redundant paths in spatial lag operators. It is shown that the sample size and the order of spatial lag largely determine the occurrence rate of redundant paths in a spatial lag operator. A mathematical expression for the occurrence rate is derived. In a simulation study it is shown that the occurrence rate is a good measure for the severity of the error introduced in spatial models when one fails to eliminate redundant paths from the spatial lag operator.

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异方差时间序列的子抽样推断AI 解读

In this article, a general theory for the construction of confidence intervals or regions in the context of heteroskedastic-dependent data is presented. The basic idea is to approximate the sampling distribution of a statistic based on the values of the statistic computed over smaller subsets of the data. This method was first proposed by Politis and Romano (1994b) for stationary observations. We extend their results to heteroskedastic observations, and prove a general…

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