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矩条件模型的一类新渐近有效估计量AI 解读

In this paper, we propose a new class of asymptotically efficient estimators for moment condition models. These estimators share the same higher order bias properties as the generalized empirical likelihood estimators and once bias corrected, have the same higher order efficiency properties as the bias corrected generalized empirical likelihood estimators. Unlike the generalized empirical likelihood estimators, our new estimators are much easier to compute. A simulation…

时间聚合下的分数阶单整估计AI 解读

A result characterizing the effect of temporal aggregation in the frequency domain is known for arbitrary stationary processes and generalized for difference-stationary processes here. Temporal aggregation includes cumulation of flow variables as well as systematic (or skip) sampling of stock variables. Next, the aggregation result is applied to fractionally integrated processes. In particular, it is investigated whether typical frequency domain assumptions made for…

隐马尔可夫模型的非参数模型检验及其金融计量应用AI 解读

We address the nonparametric model validation problem for hidden Markov models with partially observable variables and hidden states. We achieve this goal by constructing a nonparametric simultaneous confidence envelope for transition density function of the observable variables and checking whether the parametric density estimate is contained within such an envelope. Our specification test procedure is motivated by a functional connection between the transition density of…

未知依赖下借助自助法的白噪声谱检验AI 解读

To test for the white noise null hypothesis, we study the Cramér-von Mises test statistic that is based on the sample spectral distribution function. Since the critical values of the test statistic are difficult to obtain, we propose a blockwise wild bootstrap procedure to approximate its asymptotic null distribution. Using a Hilbert space approach, we establish the weak convergence of the difference between the sample spectral distribution function and the true spectral…

多元已实现核：噪声与非同步交易下协变动的一致半正定估计AI 解读

We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement error of certain types and can also handle non-synchronous trading. It is the first estimator which has these three properties which are all essential for empirical work in this area. We derive the large sample asymptotics of this estimator and assess its accuracy using a…

基于无穷小生成算子的扩散模型鞅检验方法AI 解读

I develop an omnibus specification test for diffusion models based on the infinitesimal operator. The infinitesimal operator based identification of the diffusion process is equivalent to a "martingale hypothesis" for the processes obtained by a transformation of the original diffusion model. My test procedure is then constructed by checking the "martingale hypothesis" via a multivariate generalized spectral derivative based approach that delivers a N(0,1) asymptotical null…

从二元响应数据估计潜在分布特征AI 解读

We propose estimators of features of the distribution of an unobserved random variable W. What is observed is a sample of Y,V,X where a binary Y equals one when W exceeds a threshold V determined by experimental design, and X are covariates. Potential applications include bioassay and destructive duration analysis. Our empirical application is referendum contingent valuation in resource economics, where one is interested in features of the distribution of values W…

含弱识别干扰参数的 GMM 新投影推断方法AI 解读

Projection-based tests for subsets of parameters are useful because they do not over-reject the true parameter values when either it is difficult to estimate the nuisance parameters or their identification status is questionable. However, they are also often criticized for being overly conservative. We overcome this conservativeness by introducing a new projection-based test that is more powerful than the traditional projection-based tests. The new test is even…

二元响应模型的一族经验似然函数与估计量AI 解读

The minimum discrimination information principle is used to identify an appropriate parametric family of probability distributions and the corresponding maximum likelihood estimators for binary response models. Estimators in the family subsume the conventional logit model and form the basis for a set of parametric estimation alternatives with the usual asymptotic properties. Sampling experiments are used to assess finite sample performance.

基于相似性的预测方法AI 解读

Assume we are asked to predict a real-valued variable yt based on certain characteristics , and on a database consisting of for i=1,...,n. Analogical reasoning suggests to combine past observations of x and y with the current values of x to generate an assessment of y by similarity-weighted averaging. Specifically, the predicted value of y, , is the weighted average of all previously observed values yi, where the weight of yi, for every i=1,...,n, is the similarity between…

竞争性储藏模型的实证相关性AI 解读

The empirical relevance of models of competitive storage arbitrage in explaining commodity price behavior has been seriously challenged in a series of pathbreaking papers by (Deaton and Laroque, 1992), (Deaton and Laroque, 1995) and (Deaton and Laroque, 1996). Here we address their major criticism, that the model is in general unable to explain the degree of serial correlation observed in the prices of twelve major commodities. First, we present a simple numerical version of…

“随机意义上更厌恶风险”：风险下随机离散选择的情境理论AI 解读

Microeconometric treatments of discrete choice under risk are typically homoscedastic latent variable models. Specifically, choice probabilities are given by preference functional differences (given by expected utility, rank-dependent utility, etc.) embedded in cumulative distribution functions. This approach has a problem: Estimated utility function parameters meant to represent agents' degree of risk aversion in the sense of Pratt (1964) do not imply a suggested…

相对于给定函数的二阶随机占优半非参数检验AI 解读

In an expected utility framework, assuming a decision maker operates under utility k([dot operator][theta]), for two risky alternatives X and Y with respective distribution functions F and G, alternative X is said to dominate alternative Y with respect to k([dot operator][theta]) if for all y. Utilizing the empirical distribution functions of F and G, a statistical test is presented to test the null hypothesis of indifference between X and Y given k([dot operator][theta])…

利用显示偏好数据识别风险偏好的全局问题AI 解读

The concept of parameter identification (for a given specification) is differentiated from global identification (which specification is right). First-order conditions for production under risk are shown to admit many alternative specification pairs representing risk preferences and either perceived price risk, production risk, or the deterministic production structure. Imposing an arbitrary specification on any of the latter three determines which risk preference…

可能非线性模型中的弱识别检验AI 解读

In this paper we propose a chi-square test for identification. Our proposed test statistic is based on the distance between two shrinkage extremum estimators. The two estimators converge in probability to the same limit when identification is strong, and their asymptotic distributions are different when identification is weak. The proposed test is consistent not only for the alternative hypothesis of no identification but also for the alternative of weak identification,…

基于数据比较已实现波动率估计量的精度AI 解读

This paper presents new methods for comparing the accuracy of estimators of the quadratic variation of a price process. I provide conditions under which the relative accuracy of competing estimators can be consistently estimated (as T-->[infinity]), and show that forecast evaluation tests may be adapted to the problem of ranking these estimators. The proposed methods avoid making specific assumptions about microstructure noise, and facilitate comparisons of estimators that…

多个可能误设扩散模型的预测密度构造与精度检验AI 解读

This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. We then construct tests that are in the spirit of Diebold and Mariano (1995) and White (2000). In order to establish the asymptotic properties of our tests, we also develop a recursive variant…

将断点回归推广至多个分配变量AI 解读

The recent scholarly attention to the regression-discontinuity design has focused exclusively on the application of a single assignment variable. In many settings, however, exogenously imposed cutoffs on several assignment variables define a set of different treatments. In this paper, we show how to generalize the standard regression-discontinuity approach to include multiple assignment variables simultaneously. We demonstrate that fitting this general, flexible…

高频数据的子抽样推断AI 解读

The main contribution of this paper is to propose a novel way of conducting inference for an important general class of estimators that includes many estimators of integrated volatility. A subsampling scheme is introduced that consistently estimates the asymptotic variance for an estimator, thereby facilitating inference and the construction of valid confidence intervals. The new method does not rely on the exact form of the asymptotic variance, which is useful when the…

数据修订建模：测量误差与真实值的动态AI 解读

Policy makers must base their decisions on preliminary and partially revised data of varying reliability. Realistic modeling of data revisions is required to guide decision makers in their assessment of current and future conditions. This paper provides a new framework with which to model data revisions. Recent empirical work suggests that measurement errors typically have much more complex dynamics than existing models of data revisions allow. This paper describes a…

通过间接推断估计稳定分布AI 解读

This article deals with the estimation of the parameters of an [alpha]-stable distribution with indirect inference, using the skewed-t distribution as an auxiliary model. The latter distribution appears as a good candidate since it has the same number of parameters as the [alpha]-stable distribution, with each parameter playing a similar role. To improve the properties of the estimator in finite sample, we use constrained indirect inference. In a Monte Carlo study we show…

匹配与半参数工具变量估计：距离型迁移指标及青年男性工资AI 解读

Our paper estimates the effect of US internal migration on wage growth for young men between their first and second job. Our analysis of migration extends previous research by: (i) exploiting the distance-based measures of migration in the National Longitudinal Surveys of Youth 1979 (NLSY79); (ii) allowing the effect of migration to differ by schooling level and (iii) using propensity score matching to estimate the average treatment effect on the treated (ATET) for movers…

单调性、凸性及其他形状约束下的非参数函数估计AI 解读

This paper uses free-knot and fixed-knot regression splines in a Bayesian context to develop methods for the nonparametric estimation of functions subject to shape constraints in models with log-concave likelihood functions. The shape constraints we consider include monotonicity, convexity and functions with a single minimum. A computationally efficient MCMC sampling algorithm is developed that converges faster than previous methods for non-Gaussian models. Simulation…

多元与一元扩散过程估计中的偏差AI 解读

Multivariate continuous time models are now widely used in economics and finance. Empirical applications typically rely on some process of discretization so that the system may be estimated with discrete data. This paper introduces a framework for discretizing linear multivariate continuous time systems that includes the commonly used Euler and trapezoidal approximations as special cases and leads to a general class of estimators for the mean reversion matrix. Asymptotic…