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尾部与非尾部记忆：极值及稳健统计的应用AI 解读

New notions of tail and nontail dependence are used to characterize separately extremal and nonextremal information, including tail log-exceedances and events, and tail-trimmed levels. We prove that near epoch dependence (McLeish, 1975; Gallant and White, 1988) and L 0 -approximability (Pötscher and Prucha, 1991) are equivalent for tail events and tail-trimmed levels, ensuring a Gaussian central limit theory for important extreme value and robust statistics under general…

区块自助法 HAC 稳健检验：朴素自助法的精细性质AI 解读

This paper studies the properties of naive block bootstrap tests that are scaled by zero frequency spectral density estimators (long-run variance estimators). The naive bootstrap is a bootstrap where the formula used in the bootstrap world to compute standard errors is the same as the formula used on the original data. Simulation evidence shows that the naive bootstrap can be much more accurate than the standard normal approximation. The larger the HAC bandwidth, the greater…

动态时间序列二元选择模型AI 解读

This paper considers dynamic time series binary choice models. It proves near epoch dependence and strong mixing for the dynamic binary choice model with correlated errors. Using this result, it shows in a time series setting the validity of the dynamic probit likelihood procedure when lags of the dependent binary variable are used as regressors, and it establishes the asymptotic validity of Horowitz’s smoothed maximum score estimation of dynamic binary choice models with…

非线性时间序列回归中均值与方差结构的联合设定检验AI 解读

This paper proposes a nonparametric simultaneous test for parametric specification of the conditional mean and variance functions in a time series regression model. The test is based on an empirical likelihood (EL) statistic that measures the goodness of fit between the parametric estimates and the nonparametric kernel estimates of the mean and variance functions. A unique feature of the test is its ability to distribute natural weights automatically between the mean and the…

评《含稳定过程的矩阵随机积分弱收敛》AI 解读

In this comment we identify a lacuna in a proof in the paper by M. Caner published in 1997 in Econometric Theory concerning the weak limit behavior of various expressions involving heavy-tailed multivariate vectors and the convergence of stochastic integrals. In a later paper (Caner, 1998) the results for these limit relations are used to formulate tests for cointegration with infinite variance errors.

单调性假设下分位数的非参数界：意大利教育回报应用AI 解读

Within the inferential context of predicting a distribution of potential outcomes P[y(t)] under a uniform treatment assignment t ∈ T, this paper deals with partial identification of the α-quantile of the distribution of interest Qα[y(t)] under relatively weak and credible monotonicity-type assumptions on the individual response functions and the population selection process. On the theoretical side, the paper adds to the existing results on non-parametric bounds on quantiles…

VAR 学习动态下前瞻模型的模拟检验AI 解读

In this paper we propose a simulation-based technique to investigate the finite sample performance of likelihood ratio (LR) tests for the nonlinear restrictions that arise when a class of forward-looking (FL) models typically used in monetary policy analysis is evaluated with vector autoregressive (VAR) models. We consider ‘one-shot’ tests to evaluate the FL model under the rational expectations hypothesis and sequences of tests obtained under the adaptive learning…

利用贝叶斯降秩多元模型预测大型数据集AI 解读

The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US time series with the most promising existing alternatives, namely, factor models, large-scale Bayesian VARs, and multivariate boosting. Specifically, we focus on classical reduced rank regression, a two-step procedure that applies, in turn, shrinkage and…

双层动态面板 Tobit 模型的模拟估计：已婚女性劳动供给AI 解读

In this paper a computationally practical simulation estimator is proposed for the two-tiered dynamic panel Tobit model originally developed by Cragg (1971). The log-likelihood function simulated through procedures based on a recursive algorithm formulated by the Geweke–Hajivassiliou–Keane simulator is maximized. The simulation estimators are then applied to study the labor supply of married women. The rich dynamic structure of the labor force participation decision as well…

年龄分布变化如何影响股票价格？一种非参数方法AI 解读

This paper examines whether variations in demographic structure have influenced stock prices. The study employs a nonparametric approach based on the Fourier Flexible Form representation, which relates variations in the entire age distribution to the normalized stock price under a flexible functional form. The main findings of this paper are that there is a significant impact from prime working-age consumers on the stock price, and that this impact is robust for all G5…

前景随机占优与马科维茨随机占优的检验统计量及应用AI 解读

Levy and Levy (2002, 2004) extend the stochastic dominance (SD) theory for risk averters and risk seekers by developing the prospect SD (PSD) and Markowitz SD (MSD) theory for investors with S‐shaped and reverse S‐shaped (RS‐shaped) utility functions, respectively. Davidson and Duclos (2000) develop SD tests for risk averters whereas Sriboonchitra et al. (2009) modify their statistics to obtain SD tests for risk seekers. In this paper, we extend their work by developing new…

含分段线性趋势的I(2)协整模型AI 解读

This paper presents likelihood analysis of the I(2) cointegrated vector autoregression which allows for piecewise linear deterministic terms. Limiting behaviour of the maximum likelihood estimators are derived, which is used to further derive the limiting distribution of the likelihood ratio statistic for the cointegration ranks, extending Nielsen and Rahbek. The provided asymptotic theory extends also the results in Johansen et al. where asymptotic inference is discussed in…

离散观测扩散过程的拟极大似然估计AI 解读

This paper introduces a quasi‐maximum likelihood estimator for discretely observed diffusions when a closed‐form transition density is unavailable. Higher‐order Wagner–Platen strong approximation is used to derive the first two conditional moments and a normal density function is used in estimation. Simulation study shows that the proposed estimator has high numerical precision and good numerical robustness. This method is applicable to a large class of diffusions.

非平稳时间序列的动态因子模型拟合AI 解读

Factor modelling of a large time series panel has widely proven useful to reduce its cross-sectional dimensionality. This is done by explaining common co-movements in the panel through the existence of a small number of common components, up to some idiosyncratic behaviour of each individual series. To capture serial correlation in the common components, a dynamic structure is used as in traditional (uni- or multivariate) time series analysis of second order structure, i.e.…

对横截面依赖稳健的面板单位根区块自助检验AI 解读

In this paper we consider the issue of unit root testing in cross-sectionally dependent panels. We consider panels that may be characterized by various forms of cross-sectional dependence including (but not exclusive to) the popular common factor framework. We consider block bootstrap versions of the group-mean (Im et al., 2003) and the pooled (Levin et al., 2002) unit root coefficient DF tests for panel data, originally proposed for a setting of no cross-sectional…

动态因子模型中的结构突变检验AI 解读

In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest procedures for testing for structural breaks. It is shown that structural breaks severely inflate the number of factors identified by the usual information criteria. The hypothesis of a structural break is tested by using LR, LM and Wald statistics. The LM test (which performs best in our…

无限维 VAR 与因子模型AI 解读

This paper proposes a novel approach for dealing with the 'curse of dimensionality' in the case of infinite-dimensional vector autoregressive (IVAR) models. It is assumed that each unit or variable in the IVAR is related to a small number of neighbors and a large number of non-neighbors. The neighborhood effects are fixed and do not change with the number of units (N), but the coefficients of non-neighboring units are restricted to vanish in the limit as N tends to infinity.…

风险投资分阶段融资的成因与后果AI 解读

This paper examines the causes and consequences of venture capital (VC) stage financing. Using information about the physical location of an entrepreneurial firm and the geographic distance between the VC investor and the firm, I show that VC investors located farther away from an entrepreneurial firm tend to finance the firm using a larger number of financing rounds, shorter durations between successive rounds, and investing a smaller amount in each round. However, VC…

人多力量大：网络如何帮助摆脱职业陷阱AI 解读

The "new classical" theory states that families in low-skill occupations with low levels of human capital can stay poor from one generation to the next, while families in high-skill occupations with correspondingly high levels of human capital stay wealthy, despite being endowed with the same level of ability on average. This paper proposes an informal institutional mechanism--the community-based network--through which families belonging to the same neighbourhood or kinship…

共同价值二价拍卖结构模型的贝叶斯推断AI 解读

Structural econometric auction models with explicit game-theoretic modeling of bidding strategies have been quite a challenge from a methodological perspective, especially within the common value framework. We develop a Bayesian analysis of the hierarchical Gaussian common value model with stochastic entry introduced by Bajari and Hortaçsu. A key component of our approach is an accurate and easily interpretable analytical approximation of the equilibrium bid function,…

识别伪长记忆的检验AI 解读

This paper proposes a test statistic for the null hypothesis that a given time series is a stationary long-memory process against the alternative hypothesis that it is affected by regime change or a smoothly varying trend. The proposed test is in the frequency domain and is based on the derivatives of the profiled local Whittle likelihood function in a degenerating neighborhood of the origin. The assumptions used are mild, allowing for non-Gaussianity or conditional…

波动率跳跃AI 解读

The article undertakes a nonparametric analysis of the high-frequency movements in stock market volatility using very finely sampled data on the VIX volatility index compiled from options data by the CBOE. We derive theoretically the link between pathwise properties of the latent spot volatility and the VIX index, such as presence of continuous martingale and/or jumps, and further show how to make statistical inference about them from the observed data. Our empirical results…

利用阈值加权与分位数加权评分规则比较密度预测AI 解读

We propose a method for comparing density forecasts that is based on weighted versions of the continuous ranked probability score. The weighting emphasizes regions of interest, such as the tails or the center of a variable’s range, while retaining propriety, as opposed to a recently developed weighted likelihood ratio test, which can be hedged. Threshold- and quantile-based decompositions of the continuous ranked probability score can be illustrated graphically and provide…

求解动态经济模型的数值稳定且准确的随机模拟方法AI 解读

We develop numerically stable and accurate stochastic simulation approaches for solving dynamic economic models. First, instead of standard least-squares approximation methods, we examine a variety of alternatives, including least-squares methods using singular value decomposition and Tikhonov regularization, least-absolute deviations methods, and principal component regression method, all of which are numerically stable and can handle ill-conditioned problems. Second,…