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使用柯西估计量的异方差面板单位根检验AI 解读

The Cauchy estimator of an autoregressive root uses the sign of the first lag as instrumental variable. The resulting IV t-type statistic follows a standard normal limiting distribution under a unit root case even under unconditional heteroscedasticity, if the series to be tested has no deterministic trends. The standard normality of the Cauchy test is exploited to obtain a standard normal panel unit root test under cross-sectional dependence and time-varying volatility with…

揭示美联储的政策偏好AI 解读

Abstract We use Bayesian methods to estimate changes in US post‐war monetary policy in the Smets and Wouters model. We perform the estimations by allowing for a break in monetary policy at the time of Volcker's appointment as chairman. This enables us to capture changes in the monetary policy regime introduced by Volcker during the Volcker–Greenspan period. We find support for the assumption that monetary policy in the Volcker–Greenspan period performed optimally under…

响应缺失与协变量测量误差下纵向研究的函数型广义矩方法AI 解读

Abstract Covariate measurement error and missing responses are typical features in longitudinal data analysis. There has been extensive research on either covariate measurement error or missing responses, but relatively little work has been done to address both simultaneously. In this paper, we propose a simple method for the marginal analysis of longitudinal data with time-varying covariates, some of which are measured with error, while the response is subject to…

右删失下具有时变系数的平均剩余寿命模型AI 解读

The mean residual life provides the remaining life expectancy of a subject who has survived to a certain time-point. When covariates are present, regression models are needed to study the association between the mean residual life function and potential regression covariates. In this paper, we propose a flexible class of semiparametric mean residual life models where some effects may be time-varying and some may be constant over time. In the presence of right censoring, we…

多区制门槛自回归模型的最小二乘估计AI 解读

This paper studies the least squares estimator (LSE) of the multiple-regime threshold autoregressive (TAR) model and establishes its asymptotic theory. It is shown that the LSE is strongly consistent. When the autoregressive function is discontinuous over each threshold, the estimated thresholds are n-consistent and asymptotically independent, each of which converges weakly to the smallest minimizer of a one-dimensional two-sided compound Poisson process. The remaining…

局部趋势突变下的单位根检验AI 解读

Recent approaches to testing for a unit root when uncertainty exists over the presence and timing of a trend break employ break detection methods, so that a with-break unit root test is used only if a break is detected by some auxiliary statistic. While these methods achieve near asymptotic efficiency in both fixed trend break and no trend break environments, in finite samples pronounced “valleys” in the power functions of the tests (when mapped as functions of the break…

美国通胀动态：货币政策能否解释其变化？AI 解读

We investigate the relationship between monetary policy and inflation dynamics in the US using a medium scale structural model. The specification is estimated with Bayesian techniques and fits the data reasonably well. Policy shocks account for a part of the decline in inflation volatility; they have been less effective in triggering inflation responses over time and qualitatively account for the rise and fall in the level of inflation. A number of structural parameter…

扩展比例优势模型中的回归参数估计AI 解读

The proportional odds model may serve as a useful alternative to the Cox proportional hazards model to study association between covariates and their survival functions in medical studies. In this article, we study an extended proportional odds model that incorporates the so-called "external" time-varying covariates. In the extended model, regression parameters have a direct interpretation of comparing survival functions, without specifying the baseline survival odds…

利用高频数据估计大规模波动率矩阵以进行组合选择AI 解读

Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (2008). The required high-dimensional volatility matrix can be estimated by using high frequency financial data. This enables us to better adapt to the local volatilities and local correlations among vast number of assets and to increase significantly the sample size for estimating…

HIV预防试验中时变主分层的部分隐马尔可夫模型AI 解读

It is frequently of interest to estimate the intervention effect that adjusts for post-randomization variables in clinical trials. In the recently completed HPTN 035 trial, there is differential condom use between the three microbicide gel arms and the No Gel control arm, so that intention to treat (ITT) analyses only assess the net treatment effect that includes the indirect treatment effect mediated through differential condom use. Various statistical methods in causal…

极端温度波动建模：四座城市变化中的尾部AI 解读

Heat waves are a serious threat to society, the environment, and the economy. Estimates of the recurrence probabilities of heat waves may be obtained following the successful modeling of daily maximum temperature, but working with the latter is difficult as we have to recognize, and allow for, not only a time trend but also seasonality in the mean and in the variability, as well as serial correlation. Furthermore, as the extreme values of daily maximum temperature have a…

动态处理方案的贝叶斯推断：学生分层中的流动、公平与效率AI 解读

Policies in health, education, and economics often unfold sequentially and adapt to changing conditions. Such time-varying treatments pose problems for standard program evaluation methods because intermediate outcomes are simultaneously pretreatment confounders and posttreatment outcomes. This article extends the Bayesian perspective on causal inference and optimal treatment to these types of dynamic treatment regimes. A unifying idea remains ignorable treatment assignment,…

斜率变化的断点估计：水平模型与一阶差分模型AI 解读

This paper analyses two break point estimators: one for a univariate slope‐shift model under unit root errors, the other for its first difference (a mean shift model). The asymptotic theory is developed for the estimators under a specific Pitman drift, assuming the break magnitude is within a T−1/2 neighbourhood of zero. Compared to the existing asymptotics assuming a fixed break magnitude or a shrinking one converging at a slower rate than T1/2, the limiting distributions…

计算Andrews稳定性检验临界值的另一种数值方法AI 解读

We propose a method, alternative to that of Estrella (2003, Econometric Theory 19, 1128–1143), of obtaining exact asymptotic p -values and critical values for the popular Andrews (1993, Econometrica 61, 821–856) test for structural stability. The method is based on inverting an integral equation that determines the intensity of crossing a boundary by the asymptotic process underlying the test statistic. Further integration of the crossing intensity yields a p -value. The…

半参数条件矩限制模型中的广义经验似然检验AI 解读

This paper shows how generalized empirical likelihood can be used to obtain specification tests in semiparametric conditional moment restrictions models. The resulting test statistics are similar in spirit to classical Kolmogorov–Smirnov and Cramer von Mises goodness‐of‐fit statistics and are based on an integrated version of the original moment restrictions. The results are applied to test the correct specification of an instrumental variable smooth varying coefficient…

短面板中基于分位数约束的集合识别AI 解读

This paper studies the identifying power of conditional quantile restrictions in short panels with fixed effects. In contrast to classical fixed effects models with conditional mean restrictions, conditional quantile restrictions are not preserved by taking differences in the regression equation over time. This paper shows however that a conditional quantile restriction, in conjunction with a weak conditional independence restriction, provides bounds on quantiles of…

刻画高低频相关性的因子—样条—GARCH模型AI 解读

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns. High frequency correlations mean revert to slowly varying functions that characterize long-term correlation patterns. We associate such term behavior with low frequency economic…

《区制转换检验》评论AI 解读

For such a model, we show that consistency of the quasi-maximum likelihood estimator for the population parameter values, on which consistency of the test is based, does not hold. We describe a condition that ensures consistency of the estimator and discuss the consistency of the test in the absence of consistency of the estimator. In Cho and White (2007), Testing for Regime Switching, the authors stud ied the asymptotic behavior of a statistic that tests the null hypothesis…

利用非参数回归检验时间序列模型的平滑结构变化AI 解读

Checking parameter stability of econometric models is a long-standing problem. Almost all existing structural change tests in econometrics are designed to detect abrupt breaks. Little attention has been paid to smooth structural changes, which may be more realistic in economics. We propose a consistent test for smooth structural changes as well as abrupt structural breaks with known or unknown change points. The idea is to estimate smooth time-varying parameters by local…

Fama–French 模型及其扩展的有效半参数估计AI 解读

This paper develops a new estimation procedure for characteristic-based factor models of stock returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights and a set of univariate nonparametric functions relating security characteristic to the associated factor betas. We use a time-series and cross-sectional pooled weighted additive nonparametric regression methodology to simultaneously…

时变协整模型的贝叶斯推断AI 解读

There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues. In this paper, we develop a new time varying parameter model which permits cointegration. We use a…

波动率传染：基于价格极差的波动率方法AI 解读

This article proposes a new approach to evaluate volatility contagion in financial markets. A time-varying logarithmic conditional autoregressive range model with the lognormal distribution (TVLCARR) is proposed to capture the possible smooth transition in the range process. Additionally, a smooth transition copula function is employed to detect the volatility contagion between financial markets. The approach proposed is applied to the stock markets of the G7 countries to…

基于非二部匹配的非参数同质性检验AI 解读

Given a sequence of observations, has a change occurred in the underlying probability distribution with respect to observation order? This problem of detecting change points arises in a variety of applications including health prognostics for mechanical systems, syndromic disease surveillance in geographically dispersed populations, anomaly detection in information networks, and multivariate process control in general. Detecting change points in high-dimensional settings is…

利用指数平滑预测具有复杂季节模式的时间序列AI 解读

An innovations state space modeling framework is introduced for forecasting complex seasonal time series such as those with multiple seasonal periods, high-frequency seasonality, non-integer seasonality, and dual-calendar effects. The new framework incorporates Box–Cox transformations, Fourier representations with time varying coefficients, and ARMA error correction. Likelihood evaluation and analytical expressions for point forecasts and interval predictions under the…