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周期整合自回归过程中的季节单位根检验AI 解读

This paper examines the implications of applying the Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238) (HEGY) seasonal root tests to a process that is periodically integrated. As an important special case, the random walk process is also considered, where the zero-frequency unit root t -statistic is shown to converge to the Dickey–Fuller distribution and all seasonal unit root statistics diverge. For periodically integrated processes and a…

多元时间序列因果性的稳健最优检验AI 解读

Here, we derive optimal rank-based tests for noncausality in the sense of Granger between two multivariate time series. Assuming that the global process admits a joint stationary vector autoregressive (VAR) representation with an elliptically symmetric innovation density, both no feedback and one direction causality hypotheses are tested. Using the characterization of noncausality in the VAR context, the local asymptotic normality (LAN) theory described in Le Cam (1986,…

爆炸性协整系统的极限理论AI 解读

A limit theory is developed for multivariate regression in an explosive cointegrated system. The asymptotic behavior of the least squares estimator of the cointegrating coefficients is found to depend upon the precise relationship between the explosive regressors. When the eigenvalues of the autoregressive matrix Θ are distinct, the centered least squares estimator has an exponential Θ n rate of convergence and a mixed normal limit distribution. No central limit theory is…

条件异方差创新下多元 ARMA 模型的子空间估计AI 解读

This paper deals with the estimation of linear dynamic models of the autoregressive moving average type for the conditional mean for stationary time series with conditionally heteroskedastic innovation process. Estimation is performed using a particular class of subspace methods that are known to have computational advantages as compared to estimation based on criterion minimization. These advantages are especially strong for high-dimensional time series. Conditions to…

基于 Hellinger 距离的非参数条件独立检验AI 解读

We propose a nonparametric test of conditional independence based on the weighted Hellinger distance between the two conditional densities, f ( y | x , z ) and f ( y | x ), which is identically zero under the null. We use the functional delta method to expand the test statistic around the population value and establish asymptotic normality under β-mixing conditions. We show that the test is consistent and has power against alternatives at distance n −1/2 h − d /4 . The cases…

众数、加权众数与校准众数：基于多峰性检验的聚类证据AI 解读

Abstract We apply recent results from the statistics literature to test for multimodality of worldwide distributions of several (unweighted and population‐weighted) measures of labor productivity. Specifically, we employ Silverman (Bump) and Dip modality tests, calibrated to correct for their incorrect asymptotic levels. We show that test results are sensitive to the test statistic employed and to population weighting. But regardless of the statistical criterion used,…

新凯恩斯主义菲利普斯曲线的识别AI 解读

Abstract Phillips curves are central to discussions of inflation dynamics and monetary policy. The hybrid new Keynesian Phillips curve (NKPC) describes how past inflation, expected future inflation, and a measure of real aggregate demand drive the current inflation rate. This paper studies the (potential) weak identification of the NKPC under Generalized Method of Moments and traces this syndrome to a lack of higher‐order dynamics in exogenous variables. We employ analytic…

将随机效应模型置于生存分析框架AI 解读

Summary Logistic random-effects models are often employed in the analysis of correlated binary data. However, fitting these models is challenging, since the marginal distribution of the response variables is analytically intractable. Often, the random effects are treated as missing data for constructing traditional data augmentation algorithms. We create a novel alternative data augmentation scheme that simplifies the likelihood-based inference for logistic random-effects…

由二元性状数据推断带年代的祖先树及其语言分化应用AI 解读

Summary Binary trait data record the presence or absence of distinguishing traits in individuals. We treat the problem of estimating ancestral trees with time depth from binary trait data. Simple analysis of such data is problematic. Each homology class of traits has a unique birth event on the tree, and the birth event of a trait that is visible at the leaves is biased towards the leaves. We propose a model-based analysis of such data and present a Markov chain Monte Carlo…

非零正态均值的比例：通用预言等价与一致一致估计AI 解读

Summary Since James and Stein's seminal work, the problem of estimating n normal means has received plenty of enthusiasm in the statistics community. Recently, driven by the fast expansion of the field of large-scale multiple testing, there has been a resurgence of research interest in the n normal means problem. The new interest, however, is more or less concentrated on testing n normal means: to determine simultaneously which means are 0 and which are not. In this setting,…

不交叉分位数曲线的非参数估计AI 解读

Summary Since the introduction by Koenker and Bassett, quantile regression has become increasingly important in many applications. However, many non-parametric conditional quantile estimates yield crossing quantile curves (calculated for various p ∈ (0, 1)). We propose a new non-parametric estimate of conditional quantiles that avoids this problem. The method uses an initial estimate of the conditional distribution function in the first step and solves the problem of…

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效率分析的非参数无条件分位数估计：美联储支票处理业务应用AI 解读

This paper examines the technical efficiency of U.S. Federal Reserve check processing offices over 1980–2003. We extend results from Park et al. (2000) and Daouia and Simar (2007) to develop an unconditional, hyperbolic, α-quantile estimator of efficiency. Our new estimator is fully non-parametric and robust with respect to outliers; when used to estimate distance to quantiles lying close to the full frontier, it is strongly consistent and converges at rate root-n, thus…

一类部分识别模型的渐近性质AI 解读

We propose inference procedures for partially identified population features for which the population identification region can be written as a transformation of the Aumann expectation of a properly defined set valued random variable (SVRV). An SVRV is a mapping that associates a set (rather than a real number) with each element of the sample space. Examples of population features in this class include interval-identified scalar parameters, best linear predictors with…

欠发达国家的正式与非正式风险分担：理论与经验证据AI 解读

We develop and estimate a model of dynamic interactions in which commitment is limited and contracts are incomplete to explain the patterns of income and consumption growth in village economies of less developed countries. Households can insure each other through both formal contracts and informal agreements, that is, self-enforcing agreements specifying voluntary transfers. This theoretical setting nests the case of complete markets and the case where only informal…

离散采样 Lévy 过程的费舍尔信息AI 解读

This paper studies the asymptotic behavior of Fisher's information for a Lévy process discretely sampled at an increasing frequency. As a result, we derive the optimal rates of convergence of efficient estimators of the different parameters of the process and show that the rates are often nonstandard and differ across parameters. We also show that it is possible to distinguish the continuous part of the process from its jumps part, and even different types of jumps from one…

This paper considers the estimation problem in dynamic games with finite actions. we derive the equation system that characterizes the markovian equilibria. the equilibrium equation system enables us to characterize conditions for identification. we consider a class of asymptotic least squares estimators defined by the equilibrium conditions. this class provides a unified framework for a number of well-known estimators including those by Hotz and Miller (1993) and by…

基于威布尔到达间隔的计数模型AI 解读

The widespread popularity and use of both the Poisson and the negative binomial models for count data arise, in part, from their derivation as the number of arrivals in a given time period assuming exponentially distributed interarrival times (without and with heterogeneity in the underlying base rates, respectively). However, with that clean theory come some limitations including limited flexibility in the assumed underlying arrival rate distribution and the inability to…

简单博弈中均衡假设的识别能力AI 解读

We examine the identification power that (Nash) equilibrium assumptions play in conducting inference about parameters in some simple games. We focus on three static games in which we drop the Nash equilibrium assumption and instead use rationalizability as the basis for strategic play. The first example examines a bivariate discrete game with complete information of the kind studied in entry models. The second example considers the incomplete-information version of the…

模仿组合、经济风险溢价与多贝塔模型检验AI 解读

We consider two formulations of the linear factor model (LFM) with nontraded factors. In the first formulation, LFM, risk premia and alphas are estimated by a cross-sectional regression of average returns on betas. In the second formulation, LFM*, the factors are replaced by their projections on the span of excess returns, and risk premia and alphas are estimated by time series regressions. We compare the two formulations and study the small-sample properties of estimates…

适用于大量截面单位面板数据的自助法程序AI 解读

This paper considers the issue of bootstrap resampling in panel data sets. The availability of data sets with large temporal and cross-sectional dimensions suggests the possibility of new resampling schemes. We suggest one possibility which has not been widely explored in the literature. It amounts to constructing bootstrap samples by resampling whole cross-sectional units with replacement. In cases where the data do not exhibit cross-sectional dependence but exhibit…

函数形式与异方差的广义LM检验AI 解读

We present a generalized LM test of heteroscedasticity allowing the presence of data transformation and a generalized LM test of functional form allowing the presence of heteroscedasticity. Both generalizations are meaningful as non-normality and heteroscedasticity are common in economic data. A joint test of functional form and heteroscedasticity is also given. These tests are further "studentized" to account for possible excess skewness and kurtosis of the errors in the…

设定错误下多重结构突变模型断点估计量的一般一致性AI 解读

This paper considers the estimation of multiple-structural-break models under specification errors. A common example in economics is that the true model is measured in level, but a linear-log model is estimated. We show that, under specification errors, if there are more than one break points and if a single-break model is estimated, the estimated break point is consistent for one of the true break points. This consistency result applies to models with multiple regressors…

用于降维的切片回归AI 解读

A new dimension-reduction method involving slicing the region of the response and applying local kernel regression to each slice is proposed. Compared with the traditional inverse regression methods [e.g., sliced inverse regression (SIR)], the new method is free of the linearity condition and has much better estimation accuracy. Compared with the direct estimation methods (e.g., MAVE), the new method is much more robust against extreme values and can capture the entire…