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变系数分位数回归AI 解读

Quantile regression provides a framework for modeling statistical quantities of interest other than the conditional mean. The regression methodology is well developed for linear models, but less so for nonparametric models. We consider conditional quantiles with varying coefficients and propose a methodology for their estimation and assessment using polynomial splines. The proposed estimators are easy to compute via standard quantile regression algorithms and a stepwise knot…

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污染治理成本与美国各州外商直接投资流入：非参数再评估AI 解读

Keller and Levinson (2002) utilize state-level panel data on inflows of foreign direct investment along with an innovative measure of relative pollution abatement costs to assess the impact of environmental stringency on capital flows. Using standard parametric panel data models, the authors find moderate evidence that capital flows are sensitive to abatement costs. Using recently developed nonparametric methods, we assess the robustness of this conclusion. The nonparametric…

未知形式条件异方差下时间序列条件均值模型的改进广义谱检验AI 解读

Dynamic economic theories usually have implications on and only on the conditional mean dynamics of economic processes. Using a generalized spectral derivative approach, Hong and Lee (2005, Review of Economic Studies 72, 499–541) recently proposed a new class of omnibus nonparametric specification tests for linear and nonlinear time series conditional mean models, where the dimension of the conditioning information set may be infinite. The tests can detect a wide range of…

近历元依赖条件下的局部线性拟合AI 解读

Local linear fitting of nonlinear processes under strong (i.e., α-) mixing conditions has been investigated extensively. However, it is often a difficult step to establish the strong mixing of a nonlinear process composed of several parts such as the popular combination of autoregressive moving average (ARMA) and generalized autoregressive conditionally heteroskedastic (GARCH) models. In this paper we develop an asymptotic theory of local linear fitting for near epoch…

简单线性模型的预测与估计：真的如此简单吗？AI 解读

Consider the simple normal linear regression model for estimation/prediction at a new design point. When the slope parameter is not obviously nonzero, hypothesis testing and information criteria can be used for identifying the right model. We compare the performances of such methods both theoretically and empirically from different perspectives for more insight. The testing approach at the conventional size of 0.05, in spite of being the “standard approach,” performs poorly…

异质面板中的共同随机趋势与聚合AI 解读

In nonstationary heterogeneous panels where the number of units is finite and where each unit cointegrates, a large number of conditions needs to be satisfied for cointegration to be preserved in the aggregate relationship. In reality, the conditions most likely will not hold. This paper takes a closer look at what happens when the conditions are violated. In this case, the question of whether an aggregate relationship is observationally equivalent to a cointegrating…

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生产过程两阶段半参数模型的估计与推断AI 解读

A plethora of papers have used multi-stage estimation procedures where nonparametric estimates of productive efficiency are obtained in the first stage and then regressed on environmental variables in a subsequent stage in attempts to account for exogenous factors that might affect firms’ performance. None of these papers have described a coherent data-generating process (DGP). Moreover, conventional approaches to inference employed in these papers are invalid due to…

分位数处理效应的有效半参数估计AI 解读

This paper develops estimators for quantile treatment effects under the identifying restriction that selection to treatment is based on observable characteristics. Identification is achieved without requiring computation of the conditional quantiles of the potential outcomes. Instead, the identification results for the marginal quantiles lead to an estimation procedure for the quantile treatment effect parameters that has two steps: nonparametric estimation of the propensity…

动态离散博弈的序贯估计AI 解读

This paper studies the estimation of dynamic discrete games of incomplete information. Two main econometric issues appear in the estimation of these models: the indeterminacy problem associated with the existence of multiple equilibria, and the computational burden in the solution of the game. We propose a class of pseudo maximum likelihood (PML) estimators that deals with these problems and we study the asymptotic and finite sample properties of several estimators in this…

关于共同周期、共同趋势与收敛的札记AI 解读

This article compares and contrasts structural time series models and the common features methodology. The way in which trends are handled is highlighted by describing a recent structural time series model that allows convergence to a common growth path. Postsample data are used to test its forecasting performance for income per head in U.S. regions. A test for common cycles is proposed, its asymptotic distribution is given, and small-sample properties are studied by Monte…

协同结构突变（Co-breaking）AI 解读

This article has two aims. First, we provide a synopsis of the literature on co-breaking that has developed in several, seemingly disconnected, strands. We establish a consistent terminology, collect theoretical results, delimit co-breaking to cointegration and common features, and review recent contributions to co-breaking regressions and the budding analysis of co-breaking rank. Second, we present new results in the field, particularly, on the importance of co-breaking for…

因子模型中原始冲击数量的确定AI 解读

A widely held but untested assumption underlying macroeconomic analysis is that the number of shocks driving economic fluctuations, q, is small. In this article we associate q with the number of dynamic factors in a large panel of data. We propose a methodology to determineq without having to estimate the dynamic factors. We first estimate a VAR in r static factors, where the factors are obtained by applying the method of principal components to a large panel of data, then…

多元广义正交因子 GARCH 模型AI 解读

We propose a factor generalized autoregressive conditional heteroscedasticity (GARCH) model and develop test procedures for checking the correctness of the number of factors. Maximum likelihood estimation of the model is straightforward once computationally simple preliminary estimates are obtained. Motivated by the empirical application of the article, a mixture of Gaussian distributions is considered in addition to the conventional Gaussian likelihood. Interestingly, some…

更及时、更有用的先行指标指数AI 解读

Effectively predicting cyclical movements in the economy is a major challenge. The U.S. leading index (LI) has long been used to analyze and predict economic fluctuations. We describe and test a new procedure for making the LI more timely. The new LI significantly outperforms its older counterpart. It offers substantial gains in real-time, out-of-sample forecasts of changes in aggregate economic activity (real GDP, the index of coincident indicators, and industrial…

澳大利亚股票收益的波动率预测AI 解读

This article develops multivariate factor models for forecasting volatility in Australian stocks. We suggest estimation procedures for approximate factor models that are robust to jumps when the cross-sectional dimension is not very large, and also work with volatility measures that have been constructed so that they contain no jump components. Out-of-sample forecast analysis shows that multivariate factor models of volatility outperform univariate models, but there is…

欧元区的国际联系：全球 VAR 分析AI 解读

Abstract This paper presents a quarterly global model combining individual country vector error‐correcting models in which the domestic variables are related to the country‐specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy, over the period 1979–2003. It advances research in this area in a number of directions. In particular, it provides a theoretical framework where the GVAR is derived as an…

协整自回归模型中的共同依赖周期AI 解读

Abstract This paper investigates codependent cycles, i.e., transitory components that react to common stimuli in a similar, although not necessarily synchronous fashion. Unlike previous studies, the methodology of this paper allows FIML estimation of the restricted VAR/VECM and therefore the extraction of the unobserved codependent cyclical components via a Beveridge‐Nelson decomposition. It is further shown that the number and order of cofeature combinations that yield the…

住房流动随机研究究竟说明了什么？AI 解读

During the past 20 years, social scientists using observational studies have generated a large and inconclusive literature on neighborhood effects. Recent workers have argued that estimates of neighborhood effects based on randomized studies of housing mobility, such as the “Moving to Opportunity” (MTO) demonstration, are more credible. These estimates are based on the implicit assumption of no interference between units; that is, a subject's value on the response depends…

在遗传连锁分析中纳入不同异质性水平的贝叶斯方法AI 解读

A widely used approach for dealing with locus heterogeneity in linkage analysis is based on mixture likelihood, in which a single mixing (heterogeneity) parameter represents the probability that each family is of linked type. However, in general, different types of families exhibit different heterogeneity levels. To incorporate this variability, we propose a new approach wherein each family has its own heterogeneity parameter representing the probability that it is of linked…

食品风险评估中分析数据左删失的非参数建模AI 解读

Contaminants and natural toxicants such as mycotoxins may be present in various food items that may be considered dangerous to human health if the cumulative intake remains above the toxicologic safe references. This intake or exposure can be estimated using both consumption surveys and analytical data that record the contamination levels of food. Analytical data often present some left censorship, that is, data below some limit of detection or quantification. This article…

多元次序统计量的伴随变量及其判断后分层应用AI 解读

We generalize the definition of a concomitant of an order statistic in the multivariate case, develop general expressions for its density, and establish related properties. We study the concomitant of a normal random vector in detail and discuss methods for calculating its moments. Furthermore, we apply the theory to develop new estimators of the mean from a judgment poststratified sample, where poststrata are formed by rank classes of auxiliary variables. Our estimators are…

混合模型复杂度的稳健估计AI 解读

In many applications, it is important to find the mixture with fewest number of components, known as the mixture complexity, that provides a satisfactory fit to the data. This article focuses on developing an estimator of mixture complexity that is consistent when the form of component densities are unknown but are postulated to be members of some parametric family and is simultaneously robust against model misspecification. We treat the estimation of mixture complexity as a…