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经验相似性AI 解读

An agent is asked to assess a real-valued variable Yp based on certain characteristics Xp = (Xp-super-1, ..., Xp-super-m), and on a database consisting of Xi-super-1, ... Xi-super-m, Yi) for i = 1, ..., n. A possible approach to combine past observations of X and Y with the current values of X to generate an assessment of Y is similarity-weighted averaging. It suggests that the predicted value of Y, Ȳp-super-s, be the weighted average of all previously observed values Yi,…

理解本质异质性模型中的工具变量AI 解读

This paper examines the properties of instrumental variables (IV) applied to models with essential heterogeneity, that is, models where responses to interventions are heterogeneous and agents adopt treatments (participate in programs) with at least partial knowledge of their idiosyncratic response. We analyze two-outcome and multiple-outcome models, including ordered and unordered choice models. We allow for transition-specific and general instruments. We generalize previous…

Burridge–Guerre 非参数单位根检验的推广AI 解读

In this note the nonparametric unit root test of Burridge and Guerre (1996, Econometric Theory, 12, 705–723), which is based on the standardized number of crossings of a level of a random walk, is extended in two ways, allowing for a deterministic trend in the process and more general innovations. The test has a well-known standard limit distribution. Monte Carlo experiments revealed the good finite-sample properties of the proposed test.The authors appreciate helpful…

内生解释变量单方程协整模型中的 fixed-b 渐近理论AI 解读

This note uses fixed bandwidth (fixed-b) asymptotic theory to suggest a new approach to testing cointegration parameters in a single-equation cointegration environment. It is shown that the standard tests still have asymptotic distributions that are free of serial correlation nuisance parameters regardless of the bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous.I thank Tim Vogelsang for his guidance, Pentti Saikkonen for the…

基于小波谱密度估计的多元时间序列序列相关检验AI 解读

A new one-sided test for serial correlation in multivariate time series models is proposed. The test is based on a comparison between a multivariate spectral density estimator and the spectral density under the null hypothesis of no serial correlation. Duchesne and Roy (2004, Journal of Multivariate Analysis 89, 148–180) considered a multivariate kernel-based spectral density estimator. However, when the spectral density exhibits irregular features (because of strong…

参数条件分布的非参数 Bootstrap 检验AI 解读

This paper proposes a bootstrap test for the correct specification of parametric conditional distributions. It extends Zheng's test (Zheng, 2000, Econometric Theory 16, 667–691) to allow for discrete dependent variables and for mixed discrete and continuous conditional variables. We establish the asymptotic null distribution of the test statistic with data-driven stochastic smoothing parameters. By smoothing both the discrete and continuous variables via the method of…

金融计量中双幂变差的极限定理AI 解读

In this paper we provide an asymptotic analysis of generalized bipower measures of the variation of price processes in financial economics. These measures encompass the usual quadratic variation, power variation, and bipower variations that have been highlighted in recent years in financial econometrics. The analysis is carried out under some rather general Brownian semimartingale assumptions, which allow for standard leverage effects.Ole E. Barndorff-Nielsen's work is…

条件分位数函数相等的相合非参数检验AI 解读

This paper proposes a consistent nonparametric test for testing for equality of unknown conditional quantile curves across subgroups within a survey data framework. Moreover, to improve the small-sample performance of the test, we propose a modified version of wild bootstrap procedure in a quantile context. Monte Carlo evidence shows that the performance of the test in small samples is adequate but is improved significantly when the bootstrap critical values are used.I thank…

动态回归模型的数据驱动非参数设定检验AI 解读

The paper introduces a new nonparametric specification test for dynamic regression models. The test combines chi-square statistics based on Fourier series regression. A data-driven choice of the regression order, which uses the square root of the number of Fourier coefficients, is proposed. The benefits of the new test are (1) the selection procedure produces explicit and chi-square critical values that give a finite-sample size close to the nominal size; (2) the test is…

气温序列趋势的半参数估计与检验AI 解读

The application of a partially linear model to global and hemispheric temperature series is proposed. Partially linear modelling allows the trend to take a very general form rather than imposing the restriction of linearity seen in existing studies. The removal of the linearity restriction is based on the fact that it is well accepted that a significant trend is present in global temperature series. The model will allow for the data to "speak for themselves" with regard to…

三区制SETAR模型中的单位根检验AI 解读

This paper proposes a simple testing procedure to distinguish a unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. Following the threshold cointegration literature we assume that the process follows the random walk in the corridor regime, and therefore we propose that the null of a unit root be tested by the Wald statistic for the joint significance of autoregressive parameters in both lower and upper regimes. We…

初始观测来自无条件分布时的单位根检验与结构变化AI 解读

Following Elliott (1999; International Economic Review 40, 767--83.) and Perron and Rodríguez (2003; Journal of Econometrics 115,1--27), we develop unit root tests in the context of structural change models using GLS detrended data ( Elliott, Rothenberg and Stock 1996; Econometrica 64, 813--39) when the initial observation is drawn from its unconditional distribution. We derive the limiting distributions of the M-tests ( Stock, 1999 cointegration, causality and forecasting;…

含结构突变的单位根检验：联合假设的设定AI 解读

Several tests based on a t-ratio have been proposed in the literature to decide the order of integration of a time series allowing for a structural break. However, another approach based on testing a joint hypothesis of unit root and the irrelevance of some nuisance parameters is also feasible. This paper proposes new unit root tests consistent with the presence of a structural break applying this second perspective. Our approach deals both with the case where the break is…

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自相关误差联立方程的有限信息贝叶斯分析及美国汽油市场应用AI 解读

Using Markov Chain Monte Carlo algorithms within the limited information Bayesian framework, we estimate the parameters of the structural equation of interest and test weak exogeneity in a simultaneous equation model with white noise as well as autocorrelated error terms. A numerical example and an estimation of the supply and demand equations of the U.S. gasoline market show that if we ignore autocorrelation we obtain unreasonable posterior distributions of the parameters…

基于奇异值分解的广义降秩检验AI 解读

We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes deficiencies of existing rank statistics, like: necessity of a Kronecker covariance matrix for the canonical correlation rank statistic of Anderson (1951), sensitivity to the ordering of the variables for the LDU rank statistic of Cragg and Donald (1996) and Gill and Lewbel (1992), a limiting distribution that is not a standard chi-squared distribution for the rank statistic of Robin and…

既然你这么聪明，为什么还不富有？完全与不完全市场中的信念选择AI 解读

This paper provides an analysis of the asymptotic properties of consumption allocations in a stochastic general equilibrium model with heterogeneous consumers. In particular we investigate the market selection hypothesis, that markets favor traders with more accurate beliefs. We show that in any Pareto optimal allocation whether each consumer vanishes or survives is determined entirely by discount factors and beliefs. Since equilibrium allocations in economies with complete…

扩散指数预测的置信区间与因子增强回归推断AI 解读

We consider the situation when there is a large number of series, N, each with T observations, and each series has some predictive ability for some variable of interest. A methodology of growing interest is first to estimate common factors from the panel of data by the method of principal components and then to augment an otherwise standard regression with the estimated factors. In this paper, we show that the least squares estimates obtained from these factor-augmented…

具有多因子误差结构的大规模异质面板：估计与推断AI 解读

This paper presents a new approach to estimation and inference in panel data models with a general multifactor error structure. The unobserved factors and the individual-specific errors are allowed to follow arbitrary stationary processes, and the number of unobserved factors need not be estimated. The basic idea is to filter the individual-specific regressors by means of cross-section averages such that asymptotically as the cross-section dimension (N) tends to infinity,…

利用已实现测度对随机波动率模型进行半参数比较AI 解读

This paper proposes a procedure to test for the correct specification of the functional form of the volatility process within the class of eigenfunction stochastic volatility models. The procedure is based on the comparison of the moments of realized volatility measures with the corresponding ones of integrated volatility implied by the model under the null hypothesis.We first provide primitive conditions on the measurement error associated with the realized measure, which…

基于 Wishart 过程的多变量随机波动率模型AI 解读

Financial models for asset and derivatives pricing, risk management, portfolio optimization, and asset allocation rely on volatility forecasts. Time-varying volatility models, such as generalized autoregressive conditional heteroscedasticity and stochastic volatility (SVOL), have been successful in improving forecasts over constant volatility models. We develop a new multivariate SVOL framework for modeling financial data that assumes covariance matrices stochastically…