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时间聚合下协整估计量的渐近效率AI 解读

This paper examines the effects of temporal aggregation on the asymptotic variances of estimators in cointegrated systems. Two important findings are obtained. First, estimators based on flow data alone are more efficient than when the data are all stocks or a mixture of stocks and flows. Second, estimators based on flow data are as efficient as when the data are recorded continuously. A method of improving efficiency with stock variables is also proposed, and an empirical…

关于自助法单位根检验功效的说明AI 解读

In this note we consider the asymptotic power functions of some bootstrap unit root tests under local alternatives and show that they are in fact the same as for ordinary unit root tests. This is regardless of whether the differences of the observations, i.e., the so-called restricted residuals, or the ordinary least squares residuals are used to construct the resampled observations. We also consider models containing a constant and a linear trend and the DF-GLS tests…

部分线性分位数回归模型的有效半参数估计AI 解读

This paper is concerned with estimating a conditional quantile function that is assumed to be partially linear. The paper develops a simple estimator of the parametric component of the conditional quantile. The semiparametric efficiency bound for the parametric component is derived, and two types of efficient estimators are considered. Asymptotic properties of the proposed estimators are established under regularity conditions. Some Monte Carlo experiments indicate that the…

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重尾误差下 ARCH 与 GARCH 模型的推断AI 解读

ARCH and GARCH models directly address the dependency of conditional second moments, and have proved particularly valuable in modelling processes where a relatively large degree of fluctuation is present. These include financial time series, which can be particularly heavy tailed. However, little is known about properties of ARCH or GARCH models in the heavy–tailed setting, and no methods are available for approximating the distributions of parameter estimators there. In…

标量扩散模型的完全非参数估计AI 解读

We propose a functional estimation procedure for homogeneous stochastic differential equations based on a discrete sample of observations and with minimal requirements on the data generating process. We show how to identify the drift and diffusion function in situations where one or the other function is considered a nuisance parameter. The asymptotic behavior of the estimators is examined as the observation frequency increases and as the time span lengthens. We prove almost…

高维因子模型的推断理论AI 解读

This paper develops an inferential theory for factor models of large dimensions. The principal components estimator is considered because it is easy to compute and is asymptotically equivalent to the maximum likelihood estimator (if normality is assumed). We derive the rate of convergence and the limiting distributions of the estimated factors, factor loadings, and common components. The theory is developed within the framework of large cross sections ("N") and a large time…

随机占优的一致检验AI 解读

Methods are proposed for testing stochastic dominance of any pre–specified order, with primary interest in the distributions of income. We consider consistent tests, that are similar to Kolmogorov–Smirnov tests, of the complete set of restrictions that relate to the various forms of stochastic dominance. For such tests, in the case of tests for stochastic dominance beyond first order, we propose and justify a variety of approaches to inference based on simulation and the…

归纳推断：公理化方法AI 解读

A predictor is asked to rank eventualities according to their plausibility, based on past cases. We assume that she can form a ranking given any memory that consists of repetitions of past cases. Mild consistency requirements on these rankings imply that they have a numerical representation via a matrix assigning numbers to eventualitycase pairs, as follows. A memory is identified with a vector, counting the number of repetitions of each case. Multiplication of the matrix by…

样本选择模型的非参数估计AI 解读

Sample selection models provide an important way of accounting for economic decisions that combine discrete and continuous choices and of correcting for nonrandom sampling. Nonparametric estimators for these models are developed in this paper. These can be used for estimating shapes and important economic quantities, as in standard nonparametric regression. Endogeneity of regressors of interest is allowed for. Series estimators for these models are developed, which are…

商业周期的不对称性AI 解读

Tests for business cycle asymmetries are developed for Markov-switching autoregressive models. The tests of deepness, steepness, and sharpness are Wald statistics, which have standard asymptotics. For the standard two-regime model of expansions and contractions, deepness is shown to imply sharpness (and vice versa), whereas the process is always nonsteep. Two and three-state models of U.S. GNP growth are used to illustrate the approach, along with models of U.S. investment…

非线性自回归检验AI 解读

conditional mean of an economic time series is linear in past values. Two specific tests are discussed, the Cramer-von Mises and the Kolmogorov-Smirnov tests. The particular feature of the proposed tests is that the bootstrap is used to estimate the nonstandard asymptotic distributions of the test statistics considered. The tests are justified theoretically by asymptotics, and their finite-sample behaviors are studied by means of Monte Carlo experiments. The tests are…

降秩回归模型中的秩检验AI 解读

There has recently been renewed research interest in the development of tests of the rank of a matrix. This article evaluates the performance of some asymptotic tests of rank determination in reduced rank regression models together with bootstrapped versions through simulation experiments. The bootstrapped procedures significantly improve on the performance of the corresponding asymptotic tests. The article also presents a Monte Carlo exercise comparing the forecasting…

间接推断、干扰参数与门限移动平均模型AI 解读

nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this simulation-based estimation method, and detail its use for detecting the threshold effect in threshold moving average models with contemporaneous and lagged asymmetries. In contrast to existing threshold models, these models allow taking into account the presence of asymmetric effects of current and lagged random shocks. We use them to measure the persistence of…

用倾向得分匹配估计反贫困项目的受益分布AI 解读

problem of estimating the distribution of net income gains from an Argentinean workfare program. PSM has a number of attractive features in this context, including the need to allow for heterogeneous impacts, while optimally weighting observed characteristics when forming a comparison group. The average direct gain to the participant is found to be about half the gross wage. Over half of the beneficiaries are in the poorest decile nationally, and 80% are in the poorest…

备择为趋势突变平稳过程时的单位根检验AI 解读

of break under the alternative evolves according to the crash, changing growth, and mixed models. It is shown that serious power distortions occur if the form of break is misspecified, and thus the practitioner should use the mixed model as the appropriate alternative in empirical applications. The mixed model may reveal useful information regarding the location and form of break. The maximum F statistic for the joint null of a unit-root and no breaks is shown to have…

样本选择模型正态性假设的检验：以出行需求为例AI 解读

sample selection model. The test is based on a flexible parametric specification of the density function of the error terms in the model. This specification follows a Hermite series with bivariate normality as a special case. All parameters of the model are estimated both under normality and under the more general flexible parametric specification, which enables testing for normality using a standard likelihood ratio test. If normality is rejected, then the flexible…

贝叶斯推断的非参数应用AI 解读

Bayesian inference by presenting two applications. Our first application considers an educational choice problem. We focus on obtaining a predictive distribution for earnings corresponding to various levels of schooling. This predictive distribution incorporates the parameter uncertainty, so that it is relevant for decision making under uncertainty in the expected utility framework of microeconomics. The second application is to quantile regression. Our point here is to…

多重结构变化模型的计算与分析AI 解读

Abstract In a recent paper, Bai and Perron ( 1998 ) considered theoretical issues related to the limiting distribution of estimators and test statistics in the linear model with multiple structural changes. In this companion paper, we consider practical issues for the empirical applications of the procedures. We first address the problem of estimation of the break dates and present an efficient algorithm to obtain global minimizers of the sum of squared residuals. This…

von Mises–Fisher 分布的改进似然比检验AI 解读

Explicit expressions for the directed likelihood statistic, r, and two modified directed likelihood statistics, r* and r†, are given for several standard hypotheses on concentrations in von Mises–Fisher distributions, and for several standard hypotheses on mean directions in von Mises distributions.

协变量缺失的匹配病例对照研究中的半参数推断AI 解读

We consider the problem of matched studies with a binary outcome that are analysed using conditional logistic regression, and for which data on some covariates are missing for some study participants. Methods for this problem involve either modelling the distribution of missing covariates or modelling the probability of data being missing. For this second approach, the previously proposed method did not make use of data for those persons with missing covariate data except in…

共同主成分模型中的影响函数与离群点检测：稳健方法AI 解读

The common principal components model for several groups of multivariate observations assumes equal principal axes but different variances along these axes among the groups. Influence functions for plug‐in and projection‐pursuit estimates under a common principal component model are obtained. Asymptotic variances are derived from them. Outlier detection is possible using partial influence functions.

一种实用的仿射等变多元中位数AI 解读

A robust affine equivariant estimator of location for multivariate data is proposed which becomes the univariate median for data of dimension one. The estimator is robust in the sense that it has a bounded influence function, a positive breakdown value and has high efficiency compared to the sample mean for heavy‐tailed distributions. Perhaps its greatest strength is that, unlike other affine equivariant multivariate medians, it is easily computed for data in any practical…

多层捕获—再捕获数据的贝叶斯模型判别AI 解读

Extending the work of Dupuis (1995), we motivate a range of biologically plausible models for multiple‐site capture‐recapture and show how the original Gibbs sampling algorithm of Dupuis can be extended to obtain posterior model probabilities using reversible jump Markov chain Monte Carlo. This model selection procedure improves upon previous analyses in two distinct ways. First, Bayesian model averaging provides a robust parameter estimation technique which properly…