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期限结构中的状态转换、风险溢价与商业周期AI 解读

Recent evidence indicates that using multiple forward rates sharply predicts future excess returns on U.S. Treasury bonds—the R 2 ’s being around 30%. The projection coefficients in these regressions exhibit a distinct pattern that relates to the maturity of the forward rate. These dimensions of the data in conjunction with the transition dynamics of bond yields offer a serious challenge to term structure models. In this paper we show that a regime-shifts term structure…

门限模型的工具变量估计AI 解读

Threshold models (sample splitting models) have wide application in economics. Existing estimation methods are confined to regression models, which require that all right-hand-side variables are exogenous. This paper considers a model with endogenous variables but an exogenous threshold variable. We develop a two-stage least squares estimator of the threshold parameter and a generalized method of moments estimator of the slope parameters. We show that these estimators are…

提高病例队列研究中相对风险估计的效率AI 解读

The case-cohort design is a common means of reducing the cost of covariate measurements in large failure-time studies. Under this design, complete covariate data are collected only on the cases (i. e., the subjects whose failure times are uncensored) and on a subcohort randomly selected from the whole cohort. In many applications, certain covariates are readily measured on all cohort members, and surrogate measurements of the expensive covariates also may be available. The…

变系数模型中的平滑样条估计AI 解读

Summary Smoothing spline estimators are considered for inference in varying-coefficient models with one effect modifying covariate. Bayesian ‘confidence intervals’ are developed for the coefficient curves and efficient computational methods are derived for computing the curve estimators, fitted values, posterior variances and data-adaptive methods for selecting the levels of smoothing. The efficacy and utility of the methodology proposed are demonstrated through a small…

利用广义谱与非线性时间序列模型推断汇率可预测性AI 解读

It is often documented, based on autocorrelation, variance ratio, and power spectrum, that exchange rates approximately follow a martingale process. Because these data check serial uncorrelatedness rather than martingale difference, they may deliver misleading conclusions in favor of the martingale hypothesis when the test statistics are insignificant. In this paper, we explore whether there exists a gap between serial uncorrelatedness and martingale difference for exchange…

误设下均值与方差断点的最小二乘估计及检验AI 解读

In this paper we investigate the consequences of misspecification on the large sample properties of change-point estimators and the validity of tests of the null hypothesis of linearity versus the alternative of a structural break. Specifically this paper concentrates on the interaction of structural breaks in the mean and variance of a time series when either of the two is omitted from the estimation and inference procedures. Our analysis considers the case of a break in…

个股收益的新闻到达、跳跃动态与波动率成分AI 解读

ABSTRACT This paper models components of the return distribution, which are assumed to be directed by a latent news process. The conditional variance of returns is a combination of jumps and smoothly changing components. A heterogeneous Poisson process with a time‐varying conditional intensity parameter governs the likelihood of jumps. Unlike typical jump models with stochastic volatility, previous realizations of both jump and normal innovations can feed back asymmetrically…

评估美联储反应函数的广义矩估计AI 解读

Estimating a forward-looking monetary policy rule by the generalized method of moments (GMM) has become a popular approach. We reexamine estimates of the Federal Reserve reaction function using several GMM estimators and a maximum likelihood (ML) estimator. First, we show that over the baseline period 1979–2000, these alternative approaches yield substantially different parameter estimates. Using Monte Carlo simulations, we show that the finite-sample GMM bias can account…

摘要暂缺

非线性时间序列的蒙特卡洛平滑AI 解读

We develop methods for performing smoothing computations in general state-space models. The methods rely on a particle representation of the filtering distributions, and their evolution through time using sequential importance sampling and resampling ideas. In particular, novel techniques are presented for generation of sample realizations of historical state sequences. This is carried out in a forward-filtering backward-smoothing procedure that can be viewed as the…

广义 EWMA 控制图及其与 EWMA、CUSUM、GLR 的比较AI 解读

It is known that both the optimal exponentially weighted moving average (EWMA) and cumulative sum (CUSUM) control charts are based on a given reference value $\delta$, which, for the CUSUM chart, is the magnitude of a shift in the mean to be detected quickly. In this paper a generalized EWMA control chart (GEWMA) which does not depend on $\delta$ is proposed for detecting the mean shift. We compare theoretically the GEWMA control chart with the optimal EWMA, CUSUM and the…

波动减弱的美国经济AI 解读

Using a Bayesian model comparison strategy, we search for a volatility reduction in U.S. real gross domestic product (GDP) growth within the postwar sample. We find that aggregate real GDP growth has been less volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real GDP.Sales and production growth in many of the components of real GDP display similar reductions in volatility, suggesting the aggregate volatility…

纵向数据大规模协方差矩阵的非参数估计AI 解读

Estimation of an unstructured covariance matrix is difficult because of its positive‐definiteness constraint. This obstacle is removed by regressing each variable on its predecessors, so that estimation of a covariance matrix is shown to be equivalent to that of estimating a sequence of varying‐coefficient and varying‐order regression models. Our framework is similar to the use of increasing‐order autoregressive models in approximating the covariance matrix or the spectrum…

以差分平稳为原假设的持久性变化检验AI 解读

Economists have recognized the possibility that a time series may change structure from trend-stationarity to difference-stationarity, or vice versa. Taking difference-stationarity as the null hypothesis, we develop tests for this possibility, where neither the location nor direction of any possible change under the alternative hypothesis need be specified. Copyright Royal Economic Society, 2003

检测时间序列结构突变数量的强一致规则AI 解读

This paper proposes a new approach for detecting the number of structural breaks in a time series when estimation of the breaks is performed one at the time. We consider the case of shifts in the mean of a possibly nonlinear process, allowing for dependent and heterogeneous observations. This is accomplished through a simple, sequential, almost sure rule ensuring that, in large samples, both the probabilities of overestimating and underestimating the number of breaks are…

贝塞尔过程分布的临界值与 p 值：计算及结构突变检验应用AI 解读

The p values of structural break tests, when the break date or dates are unknown, must be calculated in terms of the probability distributions of functions of Bessel processes. The literature so far has maintained that direct computation of these p values and of the corresponding critical values is too difficult and has relied on approximations based on simulations, asymptotic expansions, or curve fitting. This paper presents a fast simple method of calculating exact p…

遗漏结构不稳定时协方差估计与过度识别检验的极限行为AI 解读

We consider the limiting behavior of the overidentifying restrictions test in the presence of neglected structural instability at a single “break point.” It is shown that the test need not be consistent against this type of misspecification. If it is consistent then it emerges that the limiting behavior of this test statistic depends on the covariance matrix estimator employed. In this paper we consider the case in which a heteroskedasticity autocorrelation covariance (HAC)…

全因子多元 GARCH 模型AI 解读

A new multivariate time series model with time varying conditional variances and covariances is presented and analysed. A complete analysis of the proposed model is presented consisting of parameter estimation, model selection and volatility prediction. Classical and Bayesian techniques are used for the estimation of the model parameters. It turns out that the construction of our proposed model allows easy maximum likelihood estimation and construction of well-mixing Markov…

利用粒子滤波进行隐马尔可夫模型的在线推断AI 解读

Summary We consider the on-line Bayesian analysis of data by using a hidden Markov model, where inference is tractable conditional on the history of the state of the hidden component. A new particle filter algorithm is introduced and shown to produce promising results when analysing data of this type. The algorithm is similar to the mixture Kalman filter but uses a different resampling algorithm. We prove that this resampling algorithm is computationally efficient and…

利用广义谱与非线性时间序列模型推断汇率可预测性AI 解读

It is often documented, based on autocorrelation, variance ratio, and power spectrum, that exchange rates approximately follow a martingale process. Because these data check serial uncorrelatedness rather than martingale difference, they may deliver misleading conclusions in favor of the martingale hypothesis when the test statistics are insignificant. In this paper, we explore whether there exists a gap between serial uncorrelatedness and martingale difference for exchange…

样本末端不稳定性检验AI 解读

This paper considers tests for structural instability of short duration, such as at the end of the sample. The key feature of the testing problem is that the number, m, of observations in the period of potential change is relatively small—possibly as small as one. The well-known F test of Chow (1960) for this problem only applies in a linear regression model with normally distributed iid errors and strictly exogenous regressors, even when the total number of observations,…

多头与空头交易头寸的风险价值AI 解读

Abstract In this paper we model Value‐at‐Risk (VaR) for daily asset returns using a collection of parametric univariate and multivariate models of the ARCH class based on the skewed Student distribution. We show that models that rely on a symmetric density distribution for the error term underperform with respect to skewed density models when the left and right tails of the distribution of returns must be modelled. Thus, VaR for traders having both long and short positions…

方差突变、结构断裂与平稳性检验AI 解读

stochastic stationarity in time series characterized by variance shifts at some (known or unknown) point in the sample. It is shown that existing stationarity tests can be severely biased in the presence of such shifts, either oversized or undersized, with associated spurious power gains or losses, depending on the values of the breakpoint parameter and on the ratio of the prebreak to postbreak variance. Under the assumption of a serially independent Gaussian error term with…

Cox 部分似然的贝叶斯论证AI 解读

In this paper, we establish both naive and formal Bayesian justifications of Cox's (1975) partial likelihood and its various modifications. We extend the original work of Kalbfieisch (1978), who showed that the partial likelihood is a limiting marginal posterior under noninformative priors for baseline hazards. We extend the result to scenarios with time‐dependent covariates and time‐varying regression parameters. We establish results for continuous time as well as grouped…