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横截面相关下的面板向量自回归AI 解读

This paper studies estimation in panel vector autoregression (VAR) under cross-sectional dependence. The time series are allowed to be an unknown mixture of stationary and unit root processes with possible cointegrating relations. The cross-sectional dependence is modeled with a factor structure. We extend the factor analysis in Bai and Ng (2002, Econometrica 70, 91--221) to vector processes. The fully modified (FM) estimator in Phillips (1995) is used for estimation in…

利用高维输出校准计算机模型AI 解读

This work focuses on combining observations from field experiments with detailed computer simulations of a physical process to carry out statistical inference. Of particular interest here is determining uncertainty in resulting predictions. This typically involves calibration of parameters in the computer simulator as well as accounting for inadequate physics in the simulator. The problem is complicated by the fact that simulation code is sufficiently demanding that only a…

相关与协方差矩阵的惩罚正态似然和岭正则化AI 解读

High dimensionality causes problems in various areas of statistics. A particular situation that rarely has been considered is the testing of hypotheses about multivariate regression models in which the dimension of the multivariate response is large. In this article a ridge regularization approach is proposed in which either the covariance or the correlation matrix is regularized to ensure nonsingularity irrespective of the dimensionality of the data. It is shown that the…

用多维选择性项目反应回归研究 SV40 致癌通路中的多基因甲基化AI 解读

Alteration of gene methylation patterns has been reported to be involved in the early onsets of many human malignancies. Many exogenous risk factors, such as cigarette smoke, dietary additives, chemical exposures, radiation, and biologic agents including viral infection, are involved in the methylation pathways of cancers. We propose a multidimensional selective item response regression model to describe and test how a risk factor may alter molecular pathways involving…

时间序列测量与复发事件的联合建模：空气质量与呼吸症状AI 解读

Exposure to ambient pollutants at concentrations above defined standards is a risk factor for respiratory symptoms, especially in sensitive children. Many studies have been undertaken to monitor air quality and to assess its association with respiratory symptoms. We propose a joint mixed-effects regression model of time series measures and recurrent events to analyze the air quality and respiratory symptom data from the Yale Mothers and Infants Health Study. Three mothers'…

通过共同因子建模多元时间序列AI 解读

We propose a new method for estimating common factors of multiple time series. One distinctive feature of the new approach is that it is applicable to some nonstationary time series. The unobservable, nonstationary factors are identified by expanding the white noise space step by step, thereby solving a high-dimensional optimization problem by several low-dimensional sub-problems. Asymptotic properties of the estimation are investigated. The proposed methodology is…

高维空间中参数回归模型的诊断AI 解读

We study tools for checking the validity of a parametric regression model. When the dimension of the regressors is large, many of the existing tests face the curse of dimensionality or require some ordering of the data. Our tests are based on the residual empirical process marked by proper functions of the regressors. They are able to detect local alternatives converging to the null at parametric rates. Parametric and nonparametric alternatives are considered. In the latter…

具有因子结构的面板单位根检验AI 解读

This paper considers various tests of the unit root hypothesis in panels where the cross-section dependence is due to common dynamic factors. Three situations are studied. First, the common factors and idiosyncratic components may both be nonstationary. In this case test statistics based on generalized least squares (GLS) possess a standard normal limiting distribution, whereas test statistics based on ordinary least squares (OLS) are invalid. Second, if the common component…

趋势检验AI 解读

The paper examines various tests for assessing whether a time series model requires a slope component. We first consider the simple t-test on the mean of first differences and show that it achieves high power against the alternative hypothesis of a stochastic nonstationary slope and also against a purely deterministic slope. The test may be modified, parametrically or nonparametrically, to deal with serial correlation. Using both local limiting power arguments and…

摘要暂缺

商业周期定年方法实时表现的比较AI 解读

We evaluate the ability of formal rules to establish U.S. business cycle turning point dates in real time. We consider two approaches, a nonparametric algorithm and a parametric Markov-switching dynamic-factor model. Using a new “real-time” dataset of coincident monthly variables, we find that both approaches would have accurately identified the NBER business cycle chronology had they been in use over the past 30 years, with the Markov-switching model most closely matching…

财务比率的多变量部分调整：贝叶斯层级方法AI 解读

Abstract In this paper we propose a multivariate extension of the partial adjustment model of financial ratios. To that end, we use a dynamic factor model which assumes that financial ratios measuring, essentially, the same economic–financial dimension of the firm evolve in a similar way, reflecting the evolution of the common factor. The proposed model is hierarchical with three levels. The first describes the relationship between each ratio and its common factor; the…

异方差与自相关稳健检验的表现：蒙特卡洛研究及 Fama–French 三因子模型应用AI 解读

Abstract This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Fama–French three‐factor model. The null that the intercepts are zero is tested for 5‐year, 10‐year and longer sub‐periods. The conventional HAR test with asymptotic P ‐values rejects the null for…

贝叶斯多元保序回归样条AI 解读

In many applications, interest focuses on assessing the relationship between a predictor and a multivariate outcome variable, and there may be prior knowledge about the shape of the regression curves. For example, regression functions that relate dose of a possible risk factor to different adverse outcomes can often be assumed to be nondecreasing. In such cases, interest focuses on (1) assessing evidence of an overall adverse effect, (2) determining which outcomes are most…

函数型观测独立性的 Portmanteau 综合检验AI 解读

In various fields, observations are curves over some natural time interval. These curves often arise from finely spaced measurements (e.g., in physical sciences and finance) or from smoothing unequally spaced sparse measurements. Recent years have seen the development of tools for analyzing such data in the growing field of functional data analysis. To validate the assumptions underlying these tools, it is important to verify that the functional observations form a simple…

转型建模与计量收敛检验AI 解读

A new panel data model is proposed to represent the behavior of economies in transition allowing for a wide range of possible time paths and individual heterogeneity. The model has both common and individual specific components and is formulated as a nonlinear time varying factor model. When applied to a micro panel, the decomposition provides flexibility in idiosyncratic behavior over time and across section, while retaining some commonality across the panel by means of an…

函数型主成分回归与函数型偏最小二乘AI 解读

Regression of a scalar response on signal predictors, such as near-infrared (NIR) spectra of chemical samples, presents a major challenge when, as is typically the case, the dimension of the signals far exceeds their number. Most solutions to this problem reduce the dimension of the predictors either by regressing on components [e.g., principal component regression (PCR) and partial least squares (PLS)] or by smoothing methods, which restrict the coefficient function to the…

营养流行病学中的结构化测量误差AI 解读

Preterm birth, defined as delivery before 37 completed weeks' gestation, is a leading cause of infant morbidity and mortality. Identifying factors related to preterm delivery is an important goal of public health professionals who wish to identify etiologic pathways to target for prevention. Validation studies are often conducted in nutritional epidemiology in order to study measurement error in instruments that are generally less invasive or less expensive than "gold…

技术的均衡偏向AI 解读

This paper presents three sets of results about equilibrium bias of technology. First, I show that when the menu of technological possibilities only allows for factor-augmenting technologies, the increase in the supply of a factor induces technological change relatively biased toward that factor—meaning that the induced technological change increases the relative marginal product of the factor becoming more abundant. Moreover, this induced bias can be strong enough to make…

高维小样本的几何表示在较弱条件下成立AI 解读

High-dimension, low-small-sample size datasets have different geometrical properties from those of traditional low-dimensional data. In their asymptotic study regarding increasing dimensionality with a fixed sample size, Hall et al. (2005) showed that each data vector is approximately located on the vertices of a regular simplex in a high-dimensional space. A perhaps unappealing aspect of their result is the underlying assumption which requires the variables, viewed as a…

可耗竭资源价格的均衡动态AI 解读

ABSTRACT We develop equilibrium models of exhaustible resource markets with endogenous extraction choices and prices. Our analysis demonstrates how adjustment costs can generate oil and gas forward price dynamics with two factors, consistent with the behavior these commodities exhibit in the Schwartz and Smith (2000) calibration. Our two‐factor model predicts that stochastic volatility will arise in these markets as a natural consequence of production adjustments, however,…

多元线性回归中的降维与系数估计AI 解读

Summary We introduce a general formulation for dimension reduction and coefficient estimation in the multivariate linear model. We argue that many of the existing methods that are commonly used in practice can be formulated in this framework and have various restrictions. We continue to propose a new method that is more flexible and more generally applicable. The method proposed can be formulated as a novel penalized least squares estimate. The penalty that we employ is the…

一般动态因子模型中的因子数量确定AI 解读

This article develops an information criterion for determining the number q of common shocks in the general dynamic factor model developed by Forni et al., as opposed to the restricted dynamic model considered by Bai and Ng and by Amengual and Watson. Our criterion is based on the fact that this number q is also the number of diverging eigenvalues of the spectral density matrix of the observations as the number n of series goes to infinity. We provide sufficient conditions…

股票持有者比非持有者更有效地分担风险吗？AI 解读

This paper analyzes the extent of risk-sharing among stockholders and nonstockholders. To evaluate the empirical importance of market incompleteness, it is essential to determine whether idiosyncratic shocks are important for the wealthy who have access to better insurance opportunities, but also face different risks, than the average household. We study a model where each period households decide whether to participate in the stock market by paying a fixed cost. Due to this…