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Technical analysis, also known as “charting,” has been a part of financial practice for many decades, but this discipline has not received the same level of academic scrutiny and acceptance as more traditional approaches such as fundamental analysis. One of the main obstacles is the highly subjective nature of technical analysis—the presence of geometric shapes in historical price charts is often in the eyes of the beholder. In this paper, we propose a systematic and…

金融中的连续时间方法：回顾与评估AI 解读

I survey and assess the development of continuous‐time methods in finance during the last 30 years. The subperiod 1969 to 1980 saw a dizzying pace of development with seminal ideas in derivatives securities pricing, term structure theory, asset pricing, and optimal consumption and portfolio choices. During the period 1981 to 1999 the theory has been extended and modified to better explain empirical regularities in various subfields of finance. This latter subperiod has seen…

非参数回归中的变量显著性检验AI 解读

A procedure for testing the significance of a subset of explanatory variables in a nonparametric regression is proposed. Our test statistic uses the kernel method. Under the null hypothesis of no effect of the variables under test, we show that our test statistic has an nh p 2 /2 standard normal limiting distribution, where p 2 is the dimension of the complete set of regressors. Our test is one-sided, consistent against all alternatives and detects local alternatives…

I(2) 系统中两阶段估计量的渐近效率AI 解读

This paper derives the distribution of the two stage estimator of cointegrating parameters in I (2) systems, abbreviated 2SI2, under several assumptions regarding the drift of the process. The asymptotic distribution is compared with that of the maximum likelihood (ML) estimator derived in Johansen (1997, Scandinavian Journal of Statistics 24, 433–462). It is found that the two asymptotic distributions are the same, thus showing that the 2SI2 estimator is asymptotically as…

加性非线性 ARX 时间序列的非参数估计：局部线性拟合与投影AI 解读

We consider the estimation and identification of the components (endogenous and exogenous) of additive nonlinear ARX time series models. We employ a local polynomial fitting scheme coupled with projections. We establish the weak consistency (with rates) and the asymptotic normality of the projection estimates of the additive components. Expressions for the asymptotic bias and variance are given.

构造双重自助法置信区间时插值的重要性AI 解读

Summary We show that, in the context of double-bootstrap confidence intervals, linear interpolation at the second level of the double bootstrap can reduce the simulation error component of coverage error by an order of magnitude. Intervals that are indistinguishable in terms of coverage error with theoretical, infinite simulation, double-bootstrap confidence intervals may be obtained at substantially less computational expense than by using the standard Monte Carlo…

基于任意阶自回归计算的 bootstrap 置信域AI 解读

Summary Given a linear time series, e.g. an autoregression of infinite order, we may construct a finite order approximation and use that as the basis for confidence regions. The sieve or autoregressive bootstrap, as this method is often called, is generally seen as a competitor with the better-understood block bootstrap approach. However, in the present paper we argue that, for linear time series, the sieve bootstrap has significantly better performance than blocking methods…

多元正态层级模型的推断AI 解读

Summary This paper provides a new method and algorithm for making inferences about the parameters of a two-level multivariate normal hierarchical model. One has observed J p-dimensional vector outcomes, distributed at level 1 as multivariate normal with unknown mean vectors and with known covariance matrices. At level 2, the unknown mean vectors also have normal distributions, with common unknown covariance matrix A and with means depending on known covariates and on unknown…

Summary We derive approximations to the first three moments of the conditional distribution of the deviance statistic, for testing the goodness of fit of generalized linear models with non-canonical links, by using an estimating equations approach, for data that are extensive but sparse. A supplementary estimating equation is proposed from which the modified deviance statistic is obtained. An application of a modified deviance statistic is shown to binomial and Poisson data.…

EM估计的标准误AI 解读

Summary The EM algorithm is a popular method for computing maximum likelihood estimates. One of its drawbacks is that it does not produce standard errors as a by-product. We consider obtaining standard errors by numerical differentiation. Two approaches are considered. The first differentiates the Fisher score vector to yield the Hessian of the log-likelihood. The second differentiates the EM operator and uses an identity that relates its derivative to the Hessian of the…

函数线性模型的两步估计及其纵向数据应用AI 解读

Summary Functional linear models are useful in longitudinal data analysis. They include many classical and recently proposed statistical models for longitudinal data and other functional data. Recently, smoothing spline and kernel methods have been proposed for estimating their coefficient functions nonparametrically but these methods are either intensive in computation or inefficient in performance. To overcome these drawbacks, in this paper, a simple and powerful two-step…

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贝叶斯动态因子模型与投资组合配置AI 解读

We discuss the development of dynamic factor models for multivariate financial time series, and the incorporation of stochastic volatility components for latent factor processes. Bayesian inference and computation is developed and explored in a study of the dynamic factor structure of daily spot exchange rates for a selection of international currencies. The models are direct generalizations of univariate stochastic volatility models and represent specific varieties of…

单位根检验有助于选择预测模型AI 解读

We study the usefulness of unit-root tests as diagnostic tools for selecting forecasting models. Difference-stationary and trend-stationary models of economic and financial time series often imply very different predictions, so deciding which model to use is tremendously important for applied forecasters. We consider three strategies: always difference the data, never difference, or use a unit-root pretest. We characterize the predictive loss of these strategies for the…

非参数非线性共趋势分析及其在美国利率与通胀中的应用AI 解读

Given the assumption that the components of a vector time series are stationary around nonlinear deterministic time trends, nonlinear cotrending is the phenomenon that one or more linear combinations of the time series are stationary around a linear trend or a constant; hence, the series have common nonlinear deterministic time trends. In this article, I develop nonparametric tests for nonlinear cotrending, and I derive nonparametric estimators of the cotrending vectors. I…

面向就业歧视案件招聘数据分析的变点检验AI 解读

When a complaint of discrimination is made, an employer may respond by hiring more minorities. From a legal viewpoint, the practices in effect during the time period prior to the complaint are more relevant for determining liability than those of the postcharge period. In Gay vs. Waiters, the trial judge observed that the data suggested that a change occurred after the charge was filed. Because the data had not been subject to a formal statistical analysis, the court was…

近单位根情形下单变量冲击响应的置信区间AI 解读

This article proposes a method for constructing confidence intervals for the impulse response function of a univariate time series with a near unit root. These confidence intervals control coverage, whereas the existing techniques can all have coverage far below the nominal level. I apply the proposed method to several measures of U.S. aggregate output.

随机方差期权定价的统计推断AI 解读

This article deals with the estimation of continuous-time stochastic volatility models of option pricing. We argue that option prices are much more informative about the parameters than are asset prices. This is confirmed in a Monte Carlo experiment that compares two very simple strategies based on the different information sets. Both approaches are based on indirect inference and avoid any discretization bias by simulating the continuous-time model. We assume an…

使用 GMM 自助法考察地方政府的动态行为AI 解读

Even though recent Monte Carlo evidence has shown that the use of bootstrap critical values, instead of asymptotic ones, improves the size of the tests substantially, empirical applications using GMM bootstrap techniques are largely missing. In this paper, the dynamic relationship between local government revenues and expenditures is re-investigated using GMM bootstrapping techniques on a panel of 265 Swedish municipalities over the period 1979-1987. A lag of one year is…

英国护理职业中的性别、族群、薪酬与晋升：广义有序 Probit 模型AI 解读

We analyse job grading within the UK National Health Service nursing profession, using 1994 survey data. We start from the ordered probit model, for which we develop and apply appropriate specification tests. Threshold constancy and covariate exogeneity are rejected, with important consequences for estimates of the influence of gender, ethnicity, training and career interruptions. We find little evidence of disadvantage for females relative to males, but significant…

不完全信息与消费的时间序列行为AI 解读

Pischke (1995) uses both microeconomic and macroeconomic US data to test the idea that, within an otherwise standard PIH framework, ignorance by agents of aggregate labour income can account for the observed degree of excess smoothness and sensitivity in consumption. His tests involve only the second moments of aggregate consumption and labour income. In this paper our main aim is to identify and test the restrictions his model implies for aggregate consumption dynamics,…