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时变方差模型中的协整秩选择AI 解读

Reduced rank regression (RRR) models with time varying heterogeneity are considered. Standard information criteria for selecting cointegrating rank are shown to be weakly consistent in semiparametric RRR models in which the errors have general nonparametric short memory components and shifting volatility provided the penalty coefficient Cn→∞ and Cn/n→0 as n→∞. The AIC criterion is inconsistent and its limit distribution is given. The results extend those in Cheng and…

对非平稳波动率稳健的多变量趋势检验AI 解读

This article studies inference of multivariate trend model when the volatility process is nonstationary. Within a quite general framework we analyze four classes of tests based on least squares estimation, one of which is robust to both weak serial correlation and nonstationary volatility. The existing multivariate trend tests, which either use non-robust standard errors or rely on non-standard distribution theory, are generally non-pivotal involving the unknown time-varying…

非平稳时间序列模型中的稳健推断AI 解读

This paper studies robust inference in unit root and cointegration models. The analysis covers a range of important inference problems including testing stationarity against unit roots, testing for structure change in nonstationary regressions, and testing for cointegration. We analyze these inference problems in a unified regression framework, although separate analysis is given for each specific case when it is needed. The proposed inference procedures are constructed…

对持续性稳健的增广滞后 Granger 因果检验AI 解读

Previous literature has introduced causality tests with conventional limiting distributions in I(0)/I(1) vector autoregressive (VAR) models with unknown integration orders, based on an additional surplus lag in the specification of the estimated equation, which is not included in the tests. By extending this surplus lag approach to an infinite order VARX framework, we show that it can provide a highly persistence-robust Granger causality test that accommodates i.a…

美国股票市场崩盘风险：1926—2010年AI 解读

This paper examines how well alternate time-changed Lévy processes capture stochastic volatility and the substantial outliers observed in U.S. stock market returns over the past 85 years. The autocorrelation of daily stock market returns varies substantially over time, necessitating an additional state variable when analyzing historical data. I estimate various one- and two-factor stochastic volatility/Lévy models with time-varying autocorrelation via extensions of the Bates…

高频投资组合贝塔稳定性的序贯检验AI 解读

Despite substantial criticism, variants of the capital asset pricing model (CAPM) remain to this day the primary statistical tools for portfolio managers to assess the performance of financial assets. In the CAPM, the risk of an asset is expressed through its correlation with the market, widely known as the beta. There is now a general consensus among economists that these portfolio betas are time-varying and that, consequently, any appropriate analysis has to take this…

时变杠杆效应AI 解读

Vast empirical evidence points to the existence of a negative correlation, named ”leverage effect”, between shocks to variance and shocks to returns. We provide a nonparametric theory of leverage estimation in the context of a continuous-time stochastic volatility model with jumps in returns, jumps in variance, or both. Leverage is defined as a flexible function of the state of the firm, as summarized by the spot variance level. We show that its point-wise functional…

时变维度模型AI 解读

Time varying parameter (TVP) models have enjoyed an increasing popularity in empirical macroeconomics. However, TVP models are parameter-rich and risk over-fitting unless the dimension of the model is small. Motivated by this worry, this article proposes several Time Varying Dimension (TVD) models where the dimension of the model can change over time, allowing for the model to automatically choose a more parsimonious TVP representation, or to switch between different…

变系数 Cox 模型的有效估计AI 解读

A proportional hazards model with varying coefficients allows one to examine the extent to which covariates interact nonlinearly with an exposure variable. A global partial likelihood method, in contrast with the local partial likelihood method of Fan et al. (2006), is proposed for estimation of varying coefficient functions. The proposed estimators are proved to be consistent and asymptotically normal. Semiparametric efficiency of the estimators is demonstrated in terms of…

灵活的广义变系数回归模型AI 解读

This paper studies a very flexible model that can be used widely to analyze the relation between a response and multiple covariates. The model is nonparametric, yet renders easy interpretation for the effects of the covariates. The model accommodates both continuous and discrete random variables for the response and covariates. It is quite flexible to cover the generalized varying coefficient models and the generalized additive models as special cases. Under a weak condition…

带纵向协变量的左截断与右删失生存数据建模AI 解读

There is a surge in medical follow-up studies that include longitudinal covariates in the modeling of survival data. So far, the focus has been largely on right censored survival data. We consider survival data that are subject to both left truncation and right censoring. Left truncation is well known to produce biased sample. The sampling bias issue has been resolved in the literature for the case which involves baseline or time-varying covariates that are observable. The…

时变回归模型的统计推断AI 解读

We consider parameter estimation, hypothesis testing and variable selection for partially time-varying coefficient models. Our asymptotic theory has the useful feature that it can allow dependent, nonstationary error and covariate processes. With a two-stage method, the parametric component can be estimated with a $n^{1/2}$-convergence rate. A simulation-assisted hypothesis testing procedure is proposed for testing significance and parameter constancy. We further propose an…

利用大型非平衡期权面板估计与检验非仿射期权定价模型AI 解读

In this paper, we consider joint estimation of objective and risk‐neutral parameters for stochastic volatility option pricing models using both stock and option prices. A common strategy simplifies the task by limiting the analysis to just one option per date. We first discuss its drawbacks on the basis of model interpretation, estimation results and pricing exercises. We then turn the attention to a more flexible approach, that successfully exploits the wealth of…

利用趋势回归分割均值非平稳时间序列AI 解读

In this paper, we provide a segmentation procedure for mean-nonstationary time series. The segmentation is obtained by casting the problem into the framework of detecting structural breaks in trending regression models in which the regressors are generated by suitably smooth functions. As test statistics we propose to use the maximally selected likelihood ratio statistics and a related statistics based on partial sums of weighted residuals. The main theoretical contribution…

方差谱剖面AI 解读

The variance profile is defined as the power mean of the spectral density function of a stationary stochastic process. It is a continuous and nondecreasing function of the power parameter, p, which returns the minimum of the spectrum (p→−∞), the interpolation error variance (harmonic mean, p=−1), the prediction error variance (geometric mean, p=0), the unconditional variance (arithmetic mean, p=1), and the maximum of the spectrum (p→∞). The variance profile provides a useful…

婚姻会提高男性工资吗？面板固定效应回归中的处理效应识别AI 解读

Social scientists have generated a large and inconclusive literature on the effect(s) of marriage on men’s wages. Researchers have hypothesized that the wage premium enjoyed by married men may reflect both a tendency for more productive men to marry and an effect of marriage on productivity. To sort out these explanations, researchers have used fixed effects regression models for panel data to adjust for selection on unobserved time-invariant confounders, interpreting…

金融与保险部门关联度及系统性风险的计量度量AI 解读

We propose several econometric measures of connectedness based on principal-components analysis and Granger-causality networks, and apply them to the monthly returns of hedge funds, banks, broker/dealers, and insurance companies. We find that all four sectors have become highly interrelated over the past decade, likely increasing the level of systemic risk in the finance and insurance industries through a complex and time-varying network of relationships. These measures can…

面板数据中时间趋势异质性的新估计方法AI 解读

This paper introduces a new estimation method for arbitrary temporal heterogeneity in panel data models. The paper provides a semiparametric method for estimating general patterns of cross-sectional specific time trends. The methods proposed in the paper are related to principal component analysis and estimate the time-varying trend effects using a small number of common functions calculated from the data. An important application for the new estimator is in the estimation…

利用扩展函数型Delta方法检验未知时点的相关性变化AI 解读

We propose a new test against a change in correlation at an unknown point in time based on cumulated sums of empirical correlations. The test does not require that inputs are independent and identically distributed under the null. We derive its limiting null distribution using a new functional delta method argument, provide a formula for its local power for particular types of structural changes, give some Monte Carlo evidence on its finite-sample behavior, and apply it to…

能源价格动态中时变参数的识别稳健检验AI 解读

SUMMARY We test for the presence of time‐varying parameters (TVP) in the long‐run dynamics of energy prices for oil, natural gas and coal, within a standard class of mean‐reverting models. We also propose residual‐based diagnostic tests and examine out‐of‐sample forecasts. In‐sample LR tests support the TVP model for coal and gas but not for oil, though companion diagnostics suggest that the model is too restrictive to conclusively fit the data. Out‐of‐sample analysis…

GVAR 框架下产出增长、通胀与贸易差额的概率预测AI 解读

SUMMARY We apply a global vector autoregressive (GVAR) model to the analysis of inflation, output growth and global imbalances among a group of 33 countries (26 regions). We account for structural instability by use of country‐specific intercept shifts, the timings of which are identified taking into account both statistical evidence and our knowledge of historic economic conditions and events. Using this model, we compute both central forecasts and scenario‐based…

存在企业层面无效率时的市场势力估计AI 解读

“The quiet life hypothesis” (QLH) by Hicks (1935) argues that, due to management’s subjective cost of reaching optimal profits, firms use their market power to allow inefficient allocation of resources. Increasing competitive pressure is therefore likely to force management to work harder to reach optimal profits. Another hypothesis, which also relates market power to efficiency is “the efficient structure hypothesis” (ESH) by Demsetz (1973). ESH argues that firms with…

部分变系数动态模型的半参数分位数回归估计AI 解读

We study quantile regression estimation for dynamic models with partially varying coefficients so that the values of some coefficients may be functions of informative covariates. Estimation of both parametric and nonparametric functional coefficients are proposed. In particular, we propose a three stage semiparametric procedure. Both consistency and asymptotic normality of the proposed estimators are derived. We demonstrate that the parametric estimators are root-n…

一种半参数随机波动率模型AI 解读

In this paper the correlation structure in the classical leverage stochastic volatility (SV) model is generalized based on a linear spline. In the new model the correlation between the return and volatility innovations is time varying and depends nonparametrically on the type of news arrived to the market. Theoretical properties of the proposed model are examined. The model estimation and comparison are conducted by Bayesian methods. The performance of the estimates are…