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不可逆非高斯 MA(q) 过程的识别与估计AI 解读

Traditional estimation procedures, such as OLS or Box-Jenkins ARIMA modelling, which are based on second-order properties, are incapable of distinguishing among autocorrelation-equivalent MA model specifications; this ambiguity is usually resolved by imposing therestriction of invertibility. This paper presents an estimation procedure based on higher-order moments which is capable of distinguishing between these alternative specifications without recourse to the…

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以平稳性为原假设、单位根为备择的检验AI 解读

We propose a test of the null hypothesis that an observable series is stationary around a deterministic trend. The series is expressed as the sum of deterministic trend, random walk, and stationary error, and the test is the LM test of the hypothesis that the random walk has zero variance. The asymptotic distribution of the statistic is derived under the null and under the alternative that the series is difference-stationary. Finite sample size and power are considered in a…

异方差协整AI 解读

This paper develops an asymptotic theory of estimation and inference in ‘cointegrated’ regression models with errors displaying nonstationary variances. Least squares estimates are shown to be consistent at a T12 rate. Hypothesis testing requires the use of a robust covariance matrix estimate, in contrast to earlier work on cointegrated regressions. The inference theory is not nuisance-free, but preliminary investigations indicate that approximation by the normal…

联立方程模型的过度识别与预定性检验AI 解读

A set of simultaneous equations that is a part of a larger complete system is considered. One hypothesis concerning this set of equations is that it is overidentified as a block by a block of zero restrictions. Another hypothesis is that a subset of the current endogenous variables is uncorrelated with the disturbances in the set of simultaneous equations (‘econometric predeterminedness’). Likelihood ratio, Lagrange multiplier, and Wald tests are derived for the…

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带端点约束的多项式分布滞后与超前项估计AI 解读

This paper considers the use of the polynomial distributed lag (PDL) technique when the lag length is estimated rather than fixed. We focus on the case where the degree of the polynomial is fixed, the polynomial is constrained to be zero at a certain lag length q, and q is estimated along with the other parameters. We extend the traditional PDL setup by allowing q to be real-valued rather than integer-valued, and we derive the asymptotic covariance matrix of all the…

存在确定性趋势时协整向量的有效估计与检验AI 解读

Estimation and inference in cointegrated models is examined in the presence of deterministic trends in the data. It is suggested that trends be excluded in the levels regression for maximal efficiency. Fully modified test statistics are asymptotically chi-square. A chi-square test for the validity of trend exclusion is presented. The asymptotic distributions of standard cointegration test statistics are shown to depend both upon regressor trends and estimation detrending…

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让噪声数据发挥作用AI 解读

Maximum-likelihood estimators of production technologies are developed that deal with missing data and measurement errors, making alternative assumptions regarding the endogeneity of labor and missing data patterns. The estimators yield indices of the returns to scale, mean square deviation from the efficient frontier, and (when labor is treated as endogenous) mean square deviation from efficient factor mixes. To gauge the performance of the alternative estimators, they are…

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