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财政政策与资产市场：半参数分析AI 解读

Using a flexible semiparametric varying coefficient model specification, this paper examines the role of fiscal policy on the US asset markets (stocks, corporate and treasury bonds). We consider two possible roles of fiscal deficits (or surpluses): as a separate direct information variable and as a (indirect) conditioning information variable indicating binding constraints on monetary policy actions. The results show that the impact of monetary policy on the stock market…

非平稳波动下的持续性变化检验AI 解读

In this paper we consider tests for the null of (trend-) stationarity against the alternative of a change in persistence at some (known or unknown) point in the observed sample, either from I(0) to I(1) behaviour or vice versa, of, inter alia, [Kim, J., 2000. Detection of change in persistence of a linear time series. Journal of Econometrics 95, 97-116]. We show that in circumstances where the innovation process displays non-stationary unconditional volatility of a very…

高持久性数据下时变平滑转换自回归模型线性检验的临界值AI 解读

In this paper, we derive asymptotic distributions for linearity tests in time-varying smooth transition autoregressive models in the presence of a unit root. The limiting distributions are non-standard because of the unit root assumption, and it is shown that the linearity hypothesis is rejected far too often (up to 30.9% of the times at a 5% significance level) when using critical values from a chi-square distribution. Copyright The Author(s). Journal compilation Royal…

参数维数增长时的剖面核似然推断AI 解读

The generalized varying coefficient partially linear model with growing number of predictors arises in many contemporary scientific endeavor. In this paper we set foot on both theoretical and practical sides of profile likelihood estimation and inference. When the number of parameters grows with sample size, the existence and asymptotic normality of the profile likelihood estimator are established under some regularity conditions. Profile likelihood ratio inference for the…

局部多项式回归的方差分析、决定系数与 F 检验AI 解读

This paper provides ANOVA inference for nonparametric local polynomial regression (LPR) in analogy with ANOVA tools for the classical linear regression model. A surprisingly simple and exact local ANOVA decomposition is established, and a local R-squared quantity is defined to measure the proportion of local variation explained by fitting LPR. A global ANOVA decomposition is obtained by integrating local counterparts, and a global R-squared and a symmetric projection matrix…

状态切换过程的趋势—周期分解AI 解读

We present a new approach to trend/cycle decomposition of time series that follow regime-switching processes. The proposed approach, which we label the "regime-dependent steady-state" (RDSS) decomposition, is motivated as the appropriate generalization of the Beveridge and Nelson decomposition [Beveridge, S., Nelson, C.R., 1981. A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the…

变系数动态面板模型的非参数估计AI 解读

We suggest using a class of semiparametric dynamic panel data models to capture individual variations in panel data. The model assumes linearity in some continuous/discrete variables that can be exogenous/endogenous and allows for nonlinearity in other weakly exogenous variables. We propose a nonparametric generalized method of moments (NPGMM) procedure to estimate the functional coefficients, and we establish the consistency and asymptotic normality of the resulting…

高斯线性回归结构变化的加权平均功效相似检验AI 解读

Average exponential F tests for structural change in a Gaussian linear regression model and modifications thereof maximize a weighted average power that incorporates specific weighting functions to make the resulting test statistics simple. Generalizations of these tests involve the numerical evaluation of (potentially) complicated integrals. In this paper, we suggest a uniform Laplace approximation to evaluate weighted average power test statistics for which a simple closed…

时变因子载荷下非平稳删失面板模型的半参数估计AI 解读

We propose an estimation procedure for a semiparametric panel data censored regression model in which the error terms may be subject to general forms of nonstationarity. Specifically, we allow for heteroskedasticity over time and a time varying factor load on the individual specific effect. Empirically, estimation of this model would be of interest to explore how returns to unobserved skills change over time—see, e.g., Chay (1995, manuscript, Princeton University) and Chay…

纵向数据的广义变系数模型AI 解读

We propose a generalization of the varying coefficient model for longitudinal data to cases where not only current but also recent past values of the predictor process affect current response. More precisely, the targeted regression coefficient functions of the proposed model have sliding window supports around current time t. A variant of a recently proposed two-step estimation method for varying coefficient models is proposed for estimation in the context of these…

回归分位数的结构变化检验AI 解读

Most studies in the structural change literature focus solely on the conditional mean, while under various circumstances, structural change in the conditional distribution or in conditional quantiles is of key importance. This paper proposes several tests for structural change in regression quantiles. Two types of statistics are considered, namely, a fluctuation type statistic based on the subgradient and a Wald type statistic, based on comparing parameter estimates obtained…

具有多次结构变化的协整回归估计量的极限分布AI 解读

We study estimation and inference in cointegrated regression models with multiple structural changes allowing both stationary and integrated regressors. Both pure and partial structural change models are analyzed. We derive the consistency, rate of convergence and the limit distribution of the estimated break fractions. Our technical conditions are considerably less restrictive than those in Bai et al. [Bai, J., Lumsdaine, R.L., Stock, J.H., 1998. Testing for and dating…

踝关节旋转轴估计的方向统计模型AI 解读

This article is motivated by the estimation of the directions of the two rotation axes of the ankle. These axes carry information on individual ankles; they are useful in the construction of biomechanical models and the treatment of orthopedic problems. In biomechanics, the rotation axes of the ankle often are estimated using optimization techniques. This work investigates a statistical model for carrying out the estimation. The data set for analysis is a time-ordered…

乳腺密度数据缺失时病例对照与队列设计中的乳腺癌相对风险估计AI 解读

We analyzed data from the Breast Cancer Detection Demonstration Project (BCDDP) to obtain multivariate relative hazard models for breast cancer that included mammographic density (MD) in addition to standard risk factors. Data from the BCDDP were collected from a stratified case–control study in the screening phase (1973–1980) and from follow-up of three subcohorts in the follow-up phase (1980–1995). For both phases, MD measurements were only available for about half the…

同时估计异质性的贝叶斯捕获再捕获种群模型AI 解读

We develop a Bayesian capture-recapture model that provides estimates of abundance as well as time-varying and heterogeneous survival and capture probability distributions. The model uses a state-space approach by incorporating an underlying population model and an observation model, and here is applied to photo-identification data to estimate trends in the abundance and survival of a population of bottlenose dolphins (Tursiops truncatus) in northeast Scotland. Novel…

演化小波谱的局部自适应估计AI 解读

We introduce a wavelet-based model of local stationarity. This model enlarges the class of locally stationary wavelet processes and contains processes whose spectral density function may change very suddenly in time. A notion of time-varying wavelet spectrum is uniquely defined as a wavelet-type transform of the autocovariance function with respect to so-called autocorrelation wavelets. This leads to a natural representation of the autocovariance which is localized on…

状态切换自回归系数与单位根检验的渐近理论AI 解读

Most of the asymptotic results for Markov regime-switching models with possible unit roots are based on specifications implying that the number of regime switches grows to infinity as the sample size increases. Conversely, in this note we derive some new asymptotic results for the case of Markov regime switches that are infrequent in the sense that their number is bounded in probability, even asymptotically. This is achieved by (inversely) relating the probability of regime…

学习、预测与结构突变AI 解读

Abstract We provide a general methodology for forecasting in the presence of structural breaks induced by unpredictable changes to model parameters. Bayesian methods of learning and model comparison are used to derive a predictive density that takes into account the possibility that a break will occur before the next observation. Estimates for the posterior distribution of the most recent break are generated as a by‐product of our procedure. We discuss the importance of…

设定错误下多重结构突变模型断点估计量的一般一致性AI 解读

This paper considers the estimation of multiple-structural-break models under specification errors. A common example in economics is that the true model is measured in level, but a linear-log model is estimated. We show that, under specification errors, if there are more than one break points and if a single-break model is estimated, the estimated break point is consistent for one of the true break points. This consistency result applies to models with multiple regressors…

基于指数加权移动平均的发生率变点监测策略AI 解读

Surveillance is a major issue in the today's world. The need to develop adequate surveillance strategies is genuine in many spheres of human activity. In this article we focus on a specific problem of surveillance and discuss some related statistical issues. This specific problem deals with a possible change in the incidence rate of an event (to a higher value) when a system is studied at discrete time points. We apply the exponentially weighted moving average methods for…

连续时间因果效应的统计建模AI 解读

This article studies the estimation of the causal effect of a time-varying treatment on time-to-an-event or on some other continuously distributed outcome. The paper applies to the situation where treatment is repeatedly adapted to time-dependent patient characteristics. The treatment effect cannot be estimated by simply conditioning on these time-dependent patient characteristics, as they may themselves be indications of the treatment effect. This time-dependent confounding…

协变量门限引致变点的二元响应模型半参数估计AI 解读

This paper is concerned with semiparametric estimation of a threshold binary response model. The estimation method considered in the paper is semiparametric since the parameters for a regression function are finite-dimensional, while allowing for heteroskedasticity of unknown form. In particular, the paper considers Manski's [Manski, Charles F., 1975. Maximum score estimation of the stochastic utility model of choice. Journal of Econometrics 3 (3), 205-228; Manski, Charles…

一般混合条件下平方 CUSUM 检验的极限分布AI 解读

We consider the cumulative sum (CUSUM) of squares test in a linear regression model with general mixing assumptions on the regressors and the errors. We derive its limit distribution and show how it depends on the nature of the error process. We suggest a corrected version that has a limit distribution free of nuisance parameters. We also discuss how it provides an improvement over the standard approach to testing for a change in the variance in a univariate times series.…

含低频随机水平跳变与异常值的协整过程渐近理论AI 解读

This is an analytical study of the effect of level-shift and temporary-change components, when present but neglected, on the trace test for cointegration. The contribution is threefold. First, we discuss in a multivariate framework, and jointly, effects that in the previous literature have been discussed in a univariate setting and in isolation. Second, we consider a rather general specification of shifts and outliers with random size, number, and timing and with flexible…