论文检索

转型期的生产组织与效率：东德农业的实证分析AI 解读

Enterprise restructuring is expected to improve efficiency in transition economies. With data from former East Germany, we compare the efficiency of family farms and partnerships with large-scale successor organizations of the collective and state farms (LSOs). Using parametric and nonparametric techniques, we show that LSOs display lower technical efficiency than do family farms and partnerships but that this difference is small and declining during transition, mainly as a…

时间序列分布变化的检验AI 解读

This paper proposes nonparametric tests of change in the distribution function of a time series. The limiting null distributions of the test statistics depend on a nuisance parameter, and critical values cannot be tabulated a priori. To circumvent this problem, a new simulation-based statistical method is developed. The validity of our simulation procedure is established in terms of size, local power, and test consistency. The finite-sample properties of the proposed tests…

AR(1) 模型中的结构变化AI 解读

This paper investigates the consistency of the least squares estimators and derives their limiting distributions in an AR(1) model with a single structural break of unknown timing. Let β 1 and β 2 be the preshift and postshift AR parameter, respectively. Three cases are considered: (i) |β 1 | < 1 and |β 2 | < 1; (ii) |β 1 | < 1 and β 2 = 1; and (iii) β 1 = 1 and |β 2 | < 1. Cases (ii) and (iii) are of particular interest but are rarely discussed in the literature. Surprising…

针对光滑备择的广义线性与半参数模型检验AI 解读

Summary We propose goodness-of-fit tests for testing generalized linear models and semiparametric regression models against smooth alternatives. The focus is on models having both continous and factorial covariates. As a smooth extension of a parametric or semiparametric model we use generalized varying-coefficient models as proposed by Hastie and Tibshirani. A likelihood ratio statistic is used for testing. Asymptotic expansions allow us to write the estimates as linear…

异方差下线性自回归动态的检验AI 解读

A puzzling characteristic of asset returns for various frequencies is the often observed positive autocorrelation at lag one. To some extent this can be explained by standard asset pricing models when assuming time-varying risk premia. However, one often finds better results when directly fitting an autoregressive model, for which there is little economic foundation. One may ask whether the underlying process does in fact contain an autoregressive component. It is therefore…

利用广义波动检验监测结构变化AI 解读

In this paper we introduce the generalized fluctuation test for monitoring structural changes and establish a result characterizing the limiting behavior of this class of tests. As applications of the generalized fluctuation test, tests based on the maximum and range of the fluctuation of moving estimates are proposed. We also derive the boundary functions for the proposed tests and tabulate simulated critical values. Our simulations indicate that these tests compare…

日度汇率行为与货币风险对冲AI 解读

Abstract We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy‐tailed disturbance densities) are investigated in relation to the hedging strategies. Consequently, we can make a…

含结构突变的VAR过程的协整秩检验AI 解读

Tests for the cointegrating rank of a vector autoregressive process are considered that allow for possible exogenous shifts in the mean of the data-generation process. The break points are assumed to be known a priori. It is proposed to estimate and remove the deterministic terms such as mean, linear-trend term, and a shift in a first step. Then systems cointegration tests are applied to the adjusted series. The resulting tests are shown to have known limiting null…

备择假设下存在断点时 Dickey–Fuller t 检验的行为AI 解读

This paper analyzes the limiting behavior of Dickey–Fuller t -tests when the true generating model is stationary around a broken linear trend. The cases of a break in level and a break in slope are considered separately and found to generate qualitatively different outcomes. In the asymptotic analysis, appropriate normalizations are applied to the break sizes. This leads to theoretical results that generate interesting predictions for sample sizes and break amounts of…

摘要暂缺

非线性时间序列的函数系数回归模型AI 解读

The local linear regression technique is applied to estimation of functional-coefficient regression models for time series data. The models include threshold autoregressive models and functional-coefficient autoregressive models as special cases but with the added advantages such as depicting finer structure of the underlying dynamics and better postsample forecasting performance. Also proposed are a new bootstrap test for the goodness of fit of models and a bandwidth…

变系数模型的高效估计与推断AI 解读

This article deals with statistical inferences based on the varying-coefficient models proposed by Hastie and Tibshirani. Local polynomial regression techniques are used to estimate coefficient functions, and the asymptotic normality of the resulting estimators is established. The standard error formulas for estimated coefficients are derived and are empirically tested. A goodness-of-fit test technique, based on a nonparametric maximum likelihood ratio type of test, is also…

纵向数据的非参数动态加性回归模型AI 解读

In this work we study additive dynamic regression models for longitudinal data. These models provide a flexible and nonparametric method for investigating the time-dynamics of longitudinal data. The methodology is aimed at data where measurements are recorded at random time points. We model the conditional mean of responses given the full internal history and possibly time-varying covariates. We derive the asymptotic distribution for a new nonparametric least squares…

摘要暂缺

水平、趋势与方差多重结构变化的贝叶斯时间序列模型AI 解读

We consider a deterministically trending dynamic time series model in which multiple structural changes in level, trend, and error variance are modeled explicitly and the number, but not the timing, of the changes is known. Estimation of the model is made possible by the use of the Gibbs sampler. The determination of the number of structural breaks and the form of structural change is considered as a problem of model selection, and we compare the use of marginal likelihoods,…

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…

基于拟似然的多变点拟合及其 DNA 序列分段应用AI 解读

We consider situations where a step function with a variable number of steps provides an adequate model for a regression relationship, while the variance of the observations depends on their mean. This model provides for discontinuous jumps at changepoints and for constant means and error variances in between changepoints. The basic statistical problem consists of identification of the number of changepoints, their locations and the levels the function assumes in between. We…

动态马尔可夫转换因子模型的商业周期测度：贝叶斯模拟评估AI 解读

A Markov switching common factor is used to drive a dynamic factor model for important macroeconomic variables in eight countries. Bayesian estimation of the model is based on Markov chain Monte Carlo simulation methods which yield inferences about the unobservable path of the common factor, the latent variable of the state process and all model parameters. Additionally, simulation based filtering provides us with samples from the prediction density that can be used for…

摘要暂缺

样本划分与门槛估计AI 解读

Threshold models have a wide variety of applications in economics. Direct applications include models of separating and multiple equilibria. Other applications include empirical sample splitting when the sample split is based on a continuously-distributed variable such as firm size. In addition, threshold models may be used as a parsimonious strategy for nonparametric function estimation. For example, the threshold autoregressive model (TAR) is popular in the nonlinear time…

美国赤字的可持续性：基于多个内生断点的新方法AI 解读

Recent empirical work has questioned the consistency of US fiscal policy with an intertemporal budget constraint. Empirical results have tended to indicate that the deficit process has undergone at least one structural shift during recent decades, with the deficit becoming either unsustainable or sustainable in only a weak sense in the post-shift period. In this paper, we re-examine sustainability using a new approach, based on a cointegration model with multiple endogenous…

回归变化检测的一阶最优性AI 解读

Observations are generated according to a regression with normal error as a function of time,when the process is in control. The process potentially changes at some unknown point oftime and then the ensuing observations are normal with the same mean function plus an arbitrary function under suitable regularity conditions. The problem is to obtain a stopping rule that is optimal in the sense that the rule minimizes the expected delay in detecting a change subject to a…

协整VAR模型中的若干参数稳定性检验AI 解读

Some methods for the evaluation of parameter constancy in cointegrated vector autoregressive (VAR) models are discussed. Two different ways of re-estimating the VAR-model are proposed; one in which all parameters are estimated recursively based upon the likelihood function for the first observations, and another in which the cointegrating relations are estimated recursively from a likelihood function, where the short-run parameters have been concentrated out. We suggest…

脑电轨迹的评价与比较：非平稳时间序列的潜在结构AI 解读

We explore and illustrate the use of time series decomposition methods for evaluating and comparing latent structure in nonstationary electroencephalographic (EEG) traces obtained from depressed patients during brain seizures induced as part of electroconvulsive therapy (ECT). Analysis of the patterns of change over time in the frequency structure of such EEG data provides insight into the neurophysiological mechanisms of action of this effective but poorly understood…