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时间聚合与协整系统中谱回归估计量的有限样本表现AI 解读

The finite sample performance of spectral regression estimators in temporally aggregated cointegrated systems is investigated via the use of simulation experiments. The simulations address issues such as “optimal” choice of bandwidth parameter and effects of smoothing kernel in constructing estimates of spectral densities that are used by the spectral regression estimators; the effects of stock and flow variables and mixtures of the two, including the relative finite sample…

部分线性删失回归模型的半参数估计AI 解读

In this paper we propose an estimation procedure for a censored regression model where the latent regression function has a partially linear form. Based on a conditional quantile restriction, we estimate the model by a two stage procedure. The first stage nonparametrically estimates the conditional quantile function at in-sample and appropriate out-of-sample points, and the second stage involves a simple weighted least squares procedure. The proposed procedure is shown to…

时间序列非参数估计的马尔可夫局部重抽样方案AI 解读

In this paper we study the properties of a pth-order Markovian local resampling procedure in approximating the distribution of nonparametric (kernel) estimators of the conditional expectation m(x;φ). Under certain regularity conditions, asymptotic validity of the proposed resampling scheme is established for a class of stochastic processes that is broader than the class of stationary Markov processes. Some simulations illustrate the finite sample performance of the proposed…

谱密度估计与学生化样本均值的 Edgeworth 展开AI 解读

We establish valid Edgeworth expansions for the distribution of smoothed nonparametric spectral estimates, and of studentized versions of linear statistics such as the sample mean, where the studentization employs such a nonparametric spectral estimate. Particular attention is paid to the spectral estimate at zero frequency and, correspondingly, the studentized sample mean, to reflect econometric interest in autocorrelation-consistent or long-run variance estimation. Our…

截断动态与扩散方程估计AI 解读

We study inference on continuous-time processes from discrete data with a given time interval between consecutive observations, and propose a modification of the sieve estimation method based on the infinitesimal generator. Our approach consists on truncating the initial process to improve the estimation of the eigenfunctions at the boundaries of the set of admissible values. For diffusion processes, nonparametric estimation of the drift and volatility are derived. A prior…

灵活非线性推断的参数化方法AI 解读

This paper proposes a new framework for determining whether a given relationship is nonlinear, what the nonlinearity looks like, and whether it is adequately described by a particular parametric model. The paper studies a regression or forecasting model of the form yt=μ(xt)+εt where the functional form of μ(⋅) is unknown. We propose viewing μ(⋅) itself as the outcome of a random process. The paper introduces a new stationary random field m(⋅) that generalizes…

参数位于维持假设边界时的检验AI 解读

This paper considers testing problems where several of the standard regularity conditions fail to hold. We consider the case where (i) parameter vectors in the null hypothesis may lie on the boundary of the maintained hypothesis and (ii) there may be a nuisance parameter that appears under the alternative hypothesis, but not under the null. The paper establishes the asymptotic null and local alternative distributions of quasi-likelihood ratio, rescaled quasilikelihood ratio,…

针对非参数备择的参数均值回归模型自适应、速率最优检验AI 解读

We develop a new test of a parametric model of a conditional mean function against a nonparametric alternative. The test adapts to the unknown smoothness of the alternative model and is uniformly consistent against alternatives whose distance from the parametric model converges to zero at the fastest possible rate. This rate is slower than n[superscript -1/2]. Some existing tests have nontrivial power against restricted classes of alternatives whose distance from the…

长期中的产出与通货膨胀AI 解读

Abstract Cross‐country regressions explaining output growth often obtain a negative effect from inflation. However, that result is not robust, due to the selection of countries in sample, temporal aggregation, and omission of consequential variables in levels. This paper demonstrates some implications of these mis‐specifications, both analytically and empirically. In particular, for most G‐7 countries, annual time series of inflation and the log‐ level of output are…

I(1) 过程统计推断的有限样本改进AI 解读

Abstract Robinson and Marinucci ( 1998 ) investigated the asymptotic behaviour of a narrow‐band semiparametric procedure termed Frequency Domain Least Squares (FDLS) in the broad context of fractional cointegration analysis. Here we restrict discussion to the standard case when the data are I(1) and the cointegrating errors are I(0), proving that modifications of the Fully Modified Ordinary Least Squares (FM‐OLS) procedure of Phillips and Hansen ( 1990 ) which use the FDLS…

针对平滑随机趋势的检验AI 解读

Abstract A trend estimated from an unobserved components model tends to be smoother when it is modelled as an integrated random walk rather than a random walk with drift. This article derives a test of the null hypothesis that the trend is deterministic against the alternative that it is an integrated random walk. It is assumed that the other component in the model is normally distributed white noise. Critical values are tabulated, the asymptotic distribution is derived and…

水平关系分析的界限检验方法AI 解读

Abstract This paper develops a new approach to the problem of testing the existence of a level relationship between a dependent variable and a set of regressors, when it is not known with certainty whether the underlying regressors are trend‐ or first‐difference stationary. The proposed tests are based on standard F ‐ and t ‐statistics used to test the significance of the lagged levels of the variables in a univariate equilibrium correction mechanism. The asymptotic…

ARCH序列平方残差的经验过程AI 解读

We derive the asymptotic distribution of the sequential empirical process of the squared residuals of an ARCH(p) sequence. Unlike the residuals of an ARMA process, these residuals do not behave in this context like asymptotically independent random variables, and the asymptotic distribution involves a term depending on the parameters of the model. We show that in certain applications, including the detection of changes in the distribution of the unobservable innovations, our…

指数增长模型与异方差多项式模型的最大最小设计AI 解读

This paper is concerned with nonsequential optimal designs for a class of nonlinear growth models, which includes the asymptotic regression model. This design problem is intimately related to the problem of finding optimal designs for polynomial regression models with only partially known heteroscedastic structure. In each case, a straightforward application of the usual D­optimality criterion would lead to designs which depend on the unknown underlying parameters. To…

具有最大估计容量的分块正规部分因子设计AI 解读

In this paper, the problem of constructing optimal blocked regular fractional factorial designs is considered. The concept of minimum aberration due to Fries and Hunter is a well­accepted criterion for selecting good unblocked fractional factorial designs. Cheng, Steinberg and Sun showed that a minimum aberration design of resolution three or higher maximizes the number of two­factor interactions which are not aliases of main effects and also tends to distribute these…

零常返时间序列中的非参数估计AI 解读

We develop a nonparametric estimation theory in a nonstationary environment, more precisely in the framework of null recurrent Markov chains. An essential tool is the split chain, which makes it possible to decompose the times series under consideration into independent and identical parts. A tail condition on the distribution of the recurrence time is introduced. This condition makes it possible to prove weak convergence results for sums of functions of the process…

多线性形式最大值的尾概率及其应用AI 解读

Let Z be a k­way array consisting of independent standard normal variables. For column vectors h1, …, hk, define a multilinear form of degree k by $(h_1 \otimes \cdots \otimes h_k)' \vec(Z)$. We derive formulas for upper tail probabilities of the maximum of a multilinear form with respect to the hi’s under the condition that the hi’s are unit vectors, and of its standardized statistic obtained by dividing by the norm of Z. We also give formulas for the maximum of a symmetric…

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干扰参数仅在备择下存在时针对不等式约束的检验AI 解读

In this article we develop improved statistical tests for situations satisfying the following two nonstandard conditions simultaneously: (a) Some nuisance parameters become unidentified under the null hypothesis, and (b) the alternative hypothesis is restricted in the sense that it has inequality constraints/multiparameter one-sided hypotheses. In the statistical and econometric literature, inference problems under these two nonstandard conditions have been studied…

可能非平稳时间序列的非对称性检验AI 解读

Tests for asymmetric adjustment in possibly nonstationary, nearly nonstationary, or stationary time series data are developed. The asymmetry is modeled by the momentum threshold autoregressive model of Enders and Granger and an extension of it. The tests are t-type tests and Wald tests based on instrumental-variable estimators and are asymptotically normal or chi-squared regardless of stationarity/nonstationarity of data-generating processes. This is in contrast to the fact…

含随机回归变量方程的设定分析AI 解读

We encompass the (closely related) problems of testing for structural restrictions and for valid orthogonality conditions into a single-equation framework in which the familiar specification techniques of the linear regression model can be applied. Identifying the endogenous variables that induce "simultaneous equation bias" will improve the efficiency of estimation, since only those variables need to be instrumented.

以异方差季节单整为备择的季节单位根检验AI 解读

This article considers the problem of testing for a nonstochastic seasonal unit root in a seasonally observed time series process against the alternative of a randomized seasonal root with mean unity; that is, the process displays heteroscedastic seasonal integration. The alternative hypothesis allows for potentially frequently occurring changes of regime in the process under investigation, allowing for more volatile forms of seasonal nonstationarity. We discuss a family of…

协整与阈值调整AI 解读

This article proposes an extension to the Engle-Granger testing strategy by permitting asymmetry in the adjustment toward equilibrium in two different ways. We demonstrate that our test has good power and size properties over the Engle-Granger test when there are asymmetric departures from equilibrium. We consider an application--namely, whether there exists cointegration among interest rates for instruments with different maturities. This issue has been widely tested with…