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相关面板中基于残差的协整检验AI 解读

In the paper, we propose residual based tests for cointegration in general panels with cross-sectional dependency, endogeneity and various heterogeneities. The residuals are obtained from the usual least squares estimation of the postulated cointegrating relationships from each individual unit, and the nonlinear IV panel unit root testing procedure is applied to the panels of the fitted residuals using as instruments the nonlinear transformations of the adaptively fitted…

随机实验中处理效应分位数的置信区间AI 解读

In this paper, we explore partial identification and inference for the quantile of treatment effects for randomized experiments. First, we propose nonparametric estimators of sharp bounds on the quantile of treatment effects and establish their asymptotic properties under general conditions. Second, we construct confidence intervals for the bounds and the true quantile by using the approach in Chernozhukov et al. (2009). Third, under additional conditions, we develop a new…

贝叶斯平均、预测与非嵌套模型选择AI 解读

This paper studies the asymptotic relationship between Bayesian model averaging and post-selection frequentist predictors in both nested and nonnested models. We derive conditions under which their difference is of a smaller order of magnitude than the inverse of the square root of the sample size in large samples. This result depends crucially on the relation between posterior odds and frequentist model selection criteria. Weak conditions are given under which consistent…

受扰动分数过程的局部多项式 Whittle 估计AI 解读

We propose a semiparametric local polynomial Whittle with noise estimator of the memory parameter in long memory time series perturbed by a noise term which may be serially correlated. The estimator approximates the log-spectrum of the short-memory component of the signal as well as that of the perturbation by two separate polynomials. Including these polynomials we obtain a reduction in the order of magnitude of the bias, but also inflate the asymptotic variance of the long…

非平稳非线性回归的部分参数估计AI 解读

This paper proposes an estimation method for a partial parametric model with multiple integrated time series. Our estimation procedure is based on the decomposition of the nonparametric part of the regression function into homogeneous and integrable components. It consists of two steps: In the first step we parameterize and fit the homogeneous component of the nonparametric part by the nonlinear least squares with other parametric terms in the model, and use in the second…

基于无条件经验似然的非嵌套条件矩限制检验AI 解读

We propose non-nested hypothesis tests for conditional moment restriction models based on the method of generalized empirical likelihood (GEL). By utilizing the implied GEL probabilities from a sequence of unconditional moment restrictions that contains equivalent information of the conditional moment restrictions, we construct Kolmogorov–Smirnov and Cramér–von Mises type moment encompassing tests. Advantages of our tests over Otsu and Whang’s (2011) tests are: (i) they are…

样本选择模型中的处理效应及其非参数估计AI 解读

In a sample-selection model with the ‘selection’ variable Q and the ‘outcome’ variable Y∗, Y∗ is observed only when Q=1. For a treatment D affecting both Q and Y∗, three effects are of interest: ‘participation’ (i.e., the selection) effect of D on Q, ‘visible performance’ (i.e., the observed outcome) effect of D on Y≡QY∗, and ‘invisible performance’ (i.e., the latent outcome) effect of D on Y∗. This paper shows the conditions under which the three effects are identified,…

连续状态分布的函数型回归AI 解读

In this paper, we consider a regression model to study the distributional relationship between economic variables. Unlike the classical regression dealing exclusively with mean relationship, our model can be used to analyze the entire dependent structure in distribution. Technically, we treat density functions as random elements and represent the regression relationship as a compact linear operator in the Hilbert spaces of square integrable functions. We propose a consistent…

非参数工具变量估计中的设定检验AI 解读

In nonparametric instrumental variable estimation, the function being estimated is the solution to an integral equation. A solution may not exist if, for example, the instrument is not valid. This paper discusses the problem of testing the null hypothesis that a solution exists against the alternative that there is no solution. We give necessary and sufficient conditions for existence of a solution and show that uniformly consistent testing of an unrestricted null hypothesis…

第一价格拍卖的分位数非参数推断AI 解读

We propose a quantile-based nonparametric approach to inference on the probability density function (PDF) of the private values in first-price sealed-bid auctions with independent private values. Our method of inference is based on a fully nonparametric kernel-based estimator of the quantiles and PDF of observable bids. Our estimator attains the optimal rate of Guerre et al. (2000), and is also asymptotically normal with an appropriate choice of the bandwidth.

跨州银行业与跨州贸易：实体一体化是否跟随金融一体化？AI 解读

We conjecture that banks present in two regions charge the appropriate risk premiums for trade-related projects between these markets, whereas higher rates are charged for projects involving shipments to markets where they are absent. These differences affect regional trade flows. US interstate banking deregulation serves as a natural experiment to test our model's implication with the Commodity Flow Survey data. Difference-in-differences estimates suggest that the trade…

金融资产跳跃识别：非参数跳跃检验的比较AI 解读

We perform a comprehensive Monte Carlo comparison between nine alternative procedures available in the literature to detect jumps in financial assets using high-frequency data. We evaluate size and power properties of the procedures under alternative sampling frequencies, persistence in volatility, jump size and intensity, and degree of contamination with microstructure noise. The overall best performance is shown by the Andersen, Bollerslev, and Dobrev (2007 Andersen, T.…

预测回归中的状态特定可预测性AI 解读

Predictive regressions are linear specifications linking a noisy variable such as stock returns to past values of a very persistent regressor with the aim of assessing the presence of predictability. Key complications that arise are the potential presence of endogeneity and the poor adequacy of asymptotic approximations. In this article, we develop tests for uncovering the presence of predictability in such models when the strength or direction of predictability may…

使用柯西估计量的异方差面板单位根检验AI 解读

The Cauchy estimator of an autoregressive root uses the sign of the first lag as instrumental variable. The resulting IV t-type statistic follows a standard normal limiting distribution under a unit root case even under unconditional heteroscedasticity, if the series to be tested has no deterministic trends. The standard normality of the Cauchy test is exploited to obtain a standard normal panel unit root test under cross-sectional dependence and time-varying volatility with…

预测能力检验与功效稳健化AI 解读

One of the approaches to compare forecasting methods is to test whether the risk from a benchmark prediction is smaller than the others. The test can be embedded into a general problem of testing inequality constraints using a one-sided sup functional. Hansen showed that such tests suffer from asymptotic bias. This article generalizes this observation, and proposes a hybrid method to robustify the power properties by coupling a one-sided sup test with a complementary test.…

基于Copula的非参数条件独立检验及其格兰杰因果应用AI 解读

This article proposes a new nonparametric test for conditional independence that can directly be applied to test for Granger causality. Based on the comparison of copula densities, the test is easy to implement because it does not involve a weighting function in the test statistic, and it can be applied in general settings since there is no restriction on the dimension of the time series data. In fact, to apply the test, only a bandwidth is needed for the nonparametric…

数据修订条件下的 VAR 估计与预测AI 解读

We show that Howrey’s method for producing economic forecasts when data are subject to revision is easily generalized to handle the case where data are produced by a sophisticated statistical agency. The proposed approach assumes that government estimates are efficient with a finite lag. It takes no stand on whether earlier revisions are the result of “news” or of reductions in “noise.” We present asymptotic performance results in the scalar case and illustrate the technique…

离散观测下布朗协变与共同跳跃的分离识别AI 解读

When the covariance between the risk factors of asset prices is due to both Brownian and jump components, the realized covariation (RC) approaches the sum of the integrated covariation (IC) with the sum of the co-jumps, as the observation frequency increases to infinity, in a finite and fixed time horizon. In this paper the two components are consistently separately estimated within a semimartingale framework with possibly infinite activity jumps. The threshold (or…

非平稳波动下单位根检验的自助法联合检验AI 解读

Three important issues surround testing for a unit root in practice: uncertainty as to whether or not a linear deterministic trend is present in the data; uncertainty as to whether the initial condition of the process is (asymptotically) negligible or not, and the possible presence of nonstationary volatility in the data. Assuming homoskedasticity, Harvey, Leybourne, and Taylor (2011, Journal of Econometrics , forthcoming) propose decision rules based on a four-way union of…

短记忆、长记忆及负记忆时间序列学生化均值的固定带宽渐近理论AI 解读

This paper considers the problem of variance estimation for the sample mean in the context of long memory and negative memory time series dynamics, adopting the fixed-bandwidth approach now popular in the econometrics literature. The distribution theory generalizes the short memory results of Kiefer and Vogelsang (2005, Econometric Theory 21, 1130–1164). In particular, our results highlight the dependence on the kernel (we include flat-top kernels), whether or not the kernel…

工具变量局部违反外生性时检验的渐近尺寸失真AI 解读

In the linear instrumental variables model with possibly weak instruments we derive the asymptotic size of testing procedures when instruments locally violate the exogeneity assumption. We study the tests by Anderson and Rubin (1949, The Annals of Mathematical Statistics 20, 46–63), Moreira (2003, Econometrica 71, 1027–1048), and Kleibergen (2005, Econometrica 73, 1103–1123) and their generalized empirical likelihood versions. These tests have asymptotic size equal to…

平稳高斯过程记忆参数极大似然估计的渐近理论AI 解读

Consistency, asymptotic normality, and efficiency of the maximum likelihood estimator for stationary Gaussian time series were shown to hold in the short memory case by Hannan (1973, Journal of Applied Probability 10, 130–145) and in the long memory case by Dahlhaus (1989, Annals of Statistics 34, 1045–1047). In this paper we extend these results to the entire stationarity region, including the case of antipersistence and noninvertibility.

参数条件分布的积分条件矩检验AI 解读

In this paper we propose consistent integrated conditional moment tests for the validity of parametric conditional distribution models, based on the integrated squared difference between the empirical characteristic function of the actual data and the characteristic function implied by the model. To avoid numerical evaluation of the conditional characteristic function of the model distribution, a simulated integrated conditional moment test is proposed. As an empirical…

因子模型的有效估计AI 解读

This paper considers the factor model X t = Λ F t + e t . Assuming a normal distribution for the idiosyncratic error e t conditional on the factors { F t }, conditional maximum likelihood estimators of the factor and factor-loading spaces are derived. These estimators are called generalized principal component estimators (GPCEs) without the normality assumption. This paper derives asymptotic distributions of the GPCEs of the factor and factor-loading spaces. It is shown that…