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GARCH(1,1) 序列最大矩指数的估计AI 解读

We propose an estimator for the maximal moment exponent of a GARCH(1,1) sequence. We establish its consistency asymptotic normality with rate n−1/2. Finite sample properties are investigated by means of a small simulation study.The research for this paper was partially supported by NSF grant INT-0223262. István Berkes and Lajos Horváth were supported by the Hungarian National Foundation for Scientific Research, grant T 29621. Piotr Kokoszka and Lajos Horváth were supported…

GARCH 平方残差相关性的渐近理论AI 解读

We develop an asymptotic theory for quadratic forms of the autocorrelations of squared residuals from a GARCH(p,q) model. Denoting by , k ≥ 1, these autocorrelations computed from a realization of length n, we show that the statistic is a matrix computed from the data, converges to the chi-square distribution with K degrees of freedom for any 1 ≤ i1 < ··· < iK. Our results are valid under weak assumptions on the innovations and model coefficients that admit that arbitrary…

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利用平稳协变量进行单位根检验AI 解读

We derive the family of tests for a unit root with maximal power against a point alternative when an arbitrary number of stationary covariates are modeled with the potentially integrated series. We show that very large power gains are available when such covariates are available. We then derive tests which are simple to construct (involving the running of vector autoregressions) and achieve at a point the power envelopes derived under very general conditions. These tests…

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单位根检验与初始条件AI 解读

The paper analyzes the impact of the initial condition on the problem of testing for unit roots. To this end, we derive a family of optimal tests that maximize a weighted average power criterion with respect to the initial condition. We then investigate the relationship of this optimal family to popular tests. We find that many unit root tests are closely related to specific members of the optimal family, but the corresponding members employ very different weightings for the…

选择模型中医院质量的贝叶斯推断AI 解读

This paper develops new econometric methods to infer hospital quality in a model with discrete dependent variables and nonrandom selection. Mortality rates in patient discharge records are widely used to infer hospital quality. However, hospital admission is not random and some hospitals may attract patients with greater unobserved severity of illness than others. In this situation the assumption of random admission leads to spurious inference about hospital quality. This…

马尔可夫过程的自助重抽样方法AI 解读

The block bootstrap is the best known bootstrap method for time-series data when the analyst does not have a parametric model that reduces the data generation process to simple random sampling. However, the errors made by the block bootstrap converge to zero only slightly faster than those made by first-order asymptotic approximations. This paper describes a bootstrap procedure for data that are generated by a Markov process or a process that can be approximated by a Markov…

动态面板数据估计量的时间维度与截面维度渐近性质AI 解读

In this paper we derive the asymptotic properties of within groups (WG), GMM, and LIML estimators for an autoregressive model with random effects when both T and N tend to infinity. GMM and LIML are consistent and asymptotically equivalent to the WG estimator. When T/N→ 0 the fixed T results for GMM and LIML remain valid, but WG, although consistent, has an asymptotic bias in its asymptotic distribution. When T/N tends to a positive constant, the WG, GMM, and LIML estimators…

结构模型的条件似然比检验AI 解读

This paper develops a general method for constructing exactly similar tests based on the conditional distribution of nonpivotal statistics in a simultaneous equations model with normal errors and known reduced-form covariance matrix. These tests are shown to be similar under weak-instrument asymptotics when the reduced-form covariance matrix is estimated and the errors are non-normal. The conditional test based on the likelihood ratio statistic is particularly simple and has…

变换模型的成对差分秩估计AI 解读

coefficient vector in a transformation model. These estimators, like other existing rank estimators, require no subjective bandwidth choice. Monte Carlo simulations, numerical asymptotic efficiency comparisons, and two empirical applications suggest that the proposed estimators perform well in comparison with existing semiparametric estimators.

汇率的鞅性质与央行干预AI 解读

the Richardson-Smith Wald test procedures to test for the martingale property of daily exchange rates of seven major currencies vis-a-vis the U.S. dollar. To allow for the possibility that exchange rates are not governed by a single process throughout the float, the test statistics are calculated and plotted for fixed-length moving subsample windows rather than being applied to the full sample. The results show that exchange rates do not always follow the martingale process.…

季节性检验AI 解读

stochastic seasonality proposed by Canova and Hansen. A simplified form of the test statistic in which the nonparametric correction for serial correlation is based on estimates of the spectrum at the seasonal frequencies is considered and shown to have the same asymptotic distribution as the original formulation. Under the null hypothesis, the distribution of the seasonality test statistics is not affected by the inclusion of trends, even when modified to allow for…

新近两阶段样本选择方法及其在性别工资差距中的应用AI 解读

Recently developed two-stage estimation methods of sample selection models are used, in the context of data from the 1989 Labor Market Activity Survey, to examine labor supply decisions and wage outcomes for employed men and women. Recent hypothesis test procedures are used to test for no sample selection and to test for a parametric against a semiparametric selection-correction procedure. We conclude that selection is indeed an issue for the sample at hand and that the…

商品供给模型中的准理性与事前价格预期：美国肉鸡市场分析AI 解读

Abstract A statistically optimal inference about agents' ex ante price expectations within the US broiler market is derived using futures prices of related commodities along with a quasi‐rational forecasting regression equation. The modelling approach, which builds on a Hamilton‐type framework, includes endogenous production and allows expected cash price to be decomposed into anticipated and unanticipated components. We therefore infer the relative importance of various…

推断交易中的私人信息含量：状态切换方法AI 解读

Abstract This paper presents an empirical model for inferring the private information content of trades at the transaction level. The trade‐indicator model of Glosten and Harris ( 1988 ) is extended to a two‐state regime‐switching setting, and the model is estimated using tick‐by‐tick data from the New York Stock Exchange (NYSE). The specialist is found to react in accordance with the proposed model. Bid–ask quotes set after the execution of a trade reflect the conjectured…

高频金融数据区间预测的评估AI 解读

Abstract A number of methods of evaluating the validity of interval forecasts of financial data are analysed, and illustrated using intraday FTSE100 index futures returns. Some existing interval forecast evaluation techniques, such as the Markov chain approach of Christoffersen ( 1998 ), are shown to be inappropriate in the presence of periodic heteroscedasticity. Instead, we consider a regression‐based test, and a modified version of Christoffersen's Markov chain test for…

利用合并检测估计有序二项比例AI 解读

This paper considers group testing when the probability of response is increasing across the levels of an observed covariate. We illustrate how previously known results in order‐restricted inference can be extended to situations wherein data are collected according to a group‐testing protocol, and we derive maximum likelihood estimators for proportions under the increasing order restriction and group‐testing model. Finally, we show how the use of group testing can…

Wilson–Hilferty 变换的局部鞍点性质AI 解读

Interest in transform methods for normalising test statistics declined with the advent of computers. More recently, small‐sample asymptotic methods have been developed to approximate the distributions of complicated test statistics. We propose a generalisation of a classical symmetrising transform to a similar range of statistics. It is shown to behave comparably in a parametric neighbourhood to methods that exploit exponential tilting.

部分共同主成分子空间的加权卡方检验AI 解读

We consider tests of the null hypothesis that g covariance matrices have a partial common principal component subspace of dimension s. Our approach uses a dimensionality matrix which has its rank equal to s when the hypothesis holds. The test can then be based on a statistic computed from the eigenvalues of an estimate of this dimensionality matrix. The asymptotic distribution of this statistic is that of a linear combination of independent one‐degree‐of‐freedom chi‐squared…

纵向计数数据的序列相关伽马脆弱性模型AI 解读

A Poisson‐gamma model is introduced to account for between‐subjects heterogeneity and within‐subjects serial correlation occurring in longitudinal count data. The model extends the usual time‐constant shared frailty approach to allow time‐varying serially correlated gamma frailty whilst retaining standard marginal assumptions. A composite likelihood approach to estimation and testing for serial correlation is proposed. The work is motivated by a clinical trial on…

通过加权自助法迭代进行预枢轴化AI 解读

Prepivoting by conventional bootstrap iteration is known to yield a progressively more accurate pivot in certain problems, and has important application in the construction of confidence limits and estimation of null distributions. We investigate the theoretical effects of weighted bootstrap iteration on prepivoting and show that each weighted bootstrap iteration, with weights chosen carefully but empirically, is asymptotically equivalent to two consecutive conventional…