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抗异常值的小域估计AI 解读

Summary Recently proposed outlier robust small area estimators can be substantially biased when outliers are drawn from a distribution that has a different mean from that of the rest of the survey data. This naturally leads one to consider an outlier robust bias correction for these estimators. We develop this idea, proposing two different analytical mean-squared error estimators for the ensuing bias-corrected outlier robust estimators. Simulations based on realistic…

动态网络的可分离模型AI 解读

Summary Models of dynamic networks—networks that evolve over time—have manifold applications. We develop a discrete time generative model for social network evolution that inherits the richness and flexibility of the class of exponential family random-graph models. The model—a separable temporal exponential family random-graph model—facilitates separable modelling of the tie duration distributions and the structural dynamics of tie formation. We develop likelihood-based…

多重不等式假设检验的平滑指示函数方法AI 解读

This paper proposes a class of origin-smooth approximators of indicators underlying the sum-of-negative-part statistic for testing multiple inequalities. The need for simulation or bootstrap to obtain test critical values is thereby obviated. A simple procedure is enabled using fixed critical values. The test is shown to have correct asymptotic size in the uniform sense that supremum finite-sample rejection probability over null-restricted data distributions tends…

In the presence of heteroscedasticity and autocorrelation of unknown forms, the covariance matrix of the parameter estimator is often estimated using a nonparametric kernel method that involves a lag truncation parameter. Depending on whether this lag truncation parameter is specified to grow at a slower rate than or the same rate as the sample size, we obtain two types of asymptotic approximations: the small-b asymptotics and the fixed-b asymptotics. Using techniques for…

可能误设的半非参数时间序列模型的筛推断AI 解读

This paper establishes the asymptotic normality of plug-in sieve M estimators of possibly irregular functionals of semi-nonparametric time series models. We show that, even when the sieve score process is not a martingale difference sequence, the asymptotic variance in the case of irregular functionals is the same as those for independent data. Using an orthonormal series long run variance estimator, we construct a “pre-asymptotic” Wald statistic and show that it is…

多工具变量与异方差下的过度识别限制检验AI 解读

This paper gives a test of overidentifying restrictions that is robust to many instruments and heteroskedasticity. It is based on a jackknife version of the overidentifying test statistic. Correct asymptotic critical values are derived for this statistic when the number of instruments grows large, at a rate up to the sample size. It is also shown that the test is valid when the number of instruments is fixed and there is homoskedasticity. This test improves on recently…

格兰杰因果的几何与长期性质AI 解读

This paper extends multivariate Granger causality to take into account the subspaces along which Granger causality occurs as well as long run Granger causality. The properties of these new notions of Granger causality, along with the requisite restrictions, are derived and extensively studied for a wide variety of time series processes including linear invertible processes and VARMA. Using the proposed extensions, the paper demonstrates that: (i) mean reversion in L2 is an…

利用大型数据集估计经济周期转折点AI 解读

Dating business cycles entails ascertaining economy-wide turning points. Broadly speaking, there are two approaches in the literature. The first approach, which dates to Burns and Mitchell (1946), is to identify turning points individually in a large number of series, then to look for a common date that could be called an aggregate turning point. The second approach, which has been the focus of more recent academic and applied work, is to look for turning points in a few, or…

有界时间序列的单位根检验AI 解读

Many key economic and financial series are bounded either by construction or through policy controls. Conventional unit root tests are potentially unreliable in the presence of bounds, since they tend to over-reject the null hypothesis of a unit root, even asymptotically. So far, very little work has been undertaken to develop unit root tests which can be applied to bounded time series. In this paper we address this gap in the literature by proposing unit root tests which…

经验似然统计函数研究AI 解读

We consider the empirical likelihood method for estimation of distribution and quantile functions where side information is incorporated through moment conditions. We systematically study the asymptotic properties of the estimators, such as the uniform strong laws of large numbers and weak convergence over classes of functions. Two Monte Carlo examples are also given to illustrate the practical utility of the method.

基于高频数据的似然扩散模型选择：渐近分析AI 解读

We provide a new asymptotic analysis of model selection procedure that compares likelihoods of two candidate diffusion models. Our asymptotic analysis relies on two dimensional asymptotic expansions with shrinking sampling interval Δ and increasing sampling span T, and clarifies the different roles of drift and diffusion functions in the selection of diffusion models. In particular, we show that the model with superior diffusion function specification is always preferred to…

贝叶斯假设检验的一种新方法AI 解读

In this paper a new Bayesian approach is proposed to test a point null hypothesis based on the deviance in a decision-theoretical framework. The proposed test statistic may be regarded as the Bayesian version of the likelihood ratio test and appeals in practical applications with three desirable properties. First, it is immune to Jeffreys’ concern about the use of improper priors. Second, it avoids Jeffreys–Lindley’s paradox, Third, it is easy to compute and its threshold…

仿射期限结构模型的可检验含义AI 解读

Affine term structure models have been used to address a wide range of questions in macroeconomics and finance. This paper investigates a number of their testable implications which have not previously been explored. We show that the assumption that certain specified yields are priced without error is testable, and find that the implied measurement or specification error exhibits serial correlation in all of the possible formulations investigated here. We further find that…

随机过程的可加和性：非线性过程单整概念的推广AI 解读

The order of integration is valid to characterize linear processes; but it is not appropriate for non-linear worlds. We propose the concept of summability (a re-scaled partial sum of the process being Op(1)) to handle non-linearities. The paper shows that this new concept, S(δ): (i) generalizes I(δ); (ii) measures the degree of persistence as well as of the evolution of the variance; (iii) controls the balancedness of non-linear relationships; (iv) opens the door to the…

数据线性变换下共同趋势的渐近不变性AI 解读

It is well known that if Xt is a nonstationary process and Yt is a linear function of Xt, then cointegration of Yt implies cointegration of Xt. We want to find an analogous result for common trends if Xt is generated by a finite order VAR with i.i.d. (0,Ωx) errors εxt. We first show that Yt has an infinite order VAR representation in terms of its white noise prediction errors, εyt, which are a linear process in εxt, the prediction error for Xt. We then apply this result to…

基于频域回归的季节单位根检验AI 解读

This paper develops univariate seasonal unit root tests based on spectral regression estimators. An advantage of the frequency domain approach is that it enables serial correlation to be treated non-parametrically. We demonstrate that our proposed statistics have pivotal limiting distributions under both the null and near seasonally integrated alternatives when we allow for weak dependence in the driving shocks. This is in contrast to the popular seasonal unit root tests of,…

面对结构突变的设定不足方程中的模型选择AI 解读

When a model under-specifies the data generation process, model selection can improve over estimating a prior specification, especially if location shifts occur. Impulse-indicator saturation (IIS) can ‘correct’ non-constant intercepts induced by location shifts in omitted variables, which leave slope parameters unaltered even when correlated with included variables. Location shifts in included variables induce changes in estimated slopes when there are correlated omitted…

GMM 估计中误设稳健自助法的渐近精化AI 解读

I propose a nonparametric iid bootstrap that achieves asymptotic refinements for t tests and confidence intervals based on GMM estimators even when the model is misspecified. In addition, my bootstrap does not require recentering the moment function, which has been considered as critical for GMM. Regardless of model misspecification, the proposed bootstrap achieves the same sharp magnitude of refinements as the conventional bootstrap methods which establish asymptotic…

处理效应模型中分布函数与分位数函数的估计和推断AI 解读

We propose inverse probability weighted estimators for the distribution functions of the potential outcomes under the unconfoundedness assumption and apply the inverse mapping to obtain the quantile functions. We show that these estimators converge weakly to zero mean Gaussian processes. A simulation method is proposed to approximate these limiting processes. Based on these results, we construct tests for stochastic dominance relations between the potential outcomes.…

参数框架下的模型等价性检验AI 解读

In empirical research, one commonly aims to obtain evidence in favor of restrictions on parameters, appearing as an economic hypothesis, a consequence of economic theory, or an econometric modeling assumption. I propose a new theoretical framework based on the Kullback–Leibler information to assess the approximate validity of multivariate restrictions in parametric models. I construct tests that are locally asymptotically maximin and locally asymptotically uniformly most…

线性分位数模型的设定分析AI 解读

This paper introduces a nonparametric test for the correct specification of a linear conditional quantile function over a continuum of quantile levels. These tests may be applied to assess the validity of post-estimation inferences regarding the effect of conditioning variables on the distribution of outcomes. We show that the use of an orthogonal projection on the tangent space of nuisance parameters at each quantile index both improves power and facilitates the simulation…

面板数据模型中个体效应与时间效应的矩检验AI 解读

This paper proposes two Hausman-type tests respectively for individual and time effects in a two-way error component regression model by comparing estimators of the variance of the idiosyncratic error at different robust levels. They are both robust to the presence of the other effect, and the test for the individual effect has a larger asymptotic power than the corresponding ANOVA F test when the effects are correlated with covariates. Tests jointly for both effects are…

针对非线性备择的线性动态面板模型检验AI 解读

The most popular econometric models in the panel data literature are the class of linear panel data models with unobserved individual- and/or time-specific effects. The consistency of parameter estimators and the validity of their economic interpretations as marginal effects depend crucially on the correct functional form specification of the linear panel data model. In this paper, a new class of residual-based tests is proposed for checking the validity of dynamic panel…

无需指定异质性分布的半参数持续时间模型估计AI 解读

This paper presents a new estimator for the mixed proportional hazard model that allows for a nonparametric baseline hazard and time-varying regressors. In particular, this paper allows for discrete measurement of the durations as happens often in practice. The integrated baseline hazard and all parameters are estimated at the regular rate, N, where N is the number of individuals. A hazard model is a natural framework for time-varying regressors. In particular, if a flow or…