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识别周期性崩溃的泡沫：马尔可夫切换单位根检验AI 解读

This paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset price keeps returning to the level implied by the market fundamentals. As this is essentially a problem of identifying the collapsing periods from the expanding ones, we propose using a generalization of the Dickey-Fuller test procedure which makes use of the class of Markov regime-switching models. The…

动态时间序列均值突变检验中非单调功效的来源AI 解读

Sources of nonmonotonic power are uncovered for a wide variety of tests for a shift in the mean of a dynamic time series. Two main sources of nonmonotonic power are found. The first source is the behavior of the estimate of error variance under the alternative hypothesis of a shift in mean. In particular if the error variance is estimated under the null hypothesis, nonmonotonic power can result. The second source is the presence of a lagged dependent variable in the…

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非平稳时间序列的时变谱分析AI 解读

Modeling of nonstationary stochastic time series has found wide applications in speech processing, biomedical signal processing, seismology, and failure detection. Data from these fields have often been modeled as piecewise stationary processes with abrupt changes, and their time-varying spectral features have been studied with the help of spectrograms. A general class of piecewise locally stationary processes is introduced here that allows both abrupt and smooth changes in…

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协整分析中的异常值检测AI 解读

Standard unit-root and cointegration tests are sensitive to atypical events such as outliers and structural breaks. In this article, the authors use outlier-robust estimation techniques to examine the impact of these events on cointegration analysis. Their outlier-robust cointegration test provides a new diagnostic tool for signaling when standard cointegration results might be driven by a few aberrant observations. A main feature of the authors' approach is that the…

货币期权隐含的波动率风险溢价AI 解读

This article provides an empirical investigation of the risk-neutral variance process and the market price of variance risk implied in the foreign-currency options market. There are three principal contributions. First, the parameters of Heston's mean-reverting square-root stochastic volatility model are estimated using dollar/mark option prices from 1987 to 1992. Second, it is shown that these implied parameters can be combined with historical moments of the dollar/mark…

伪结构断点现象札记AI 解读

When the disturbances of a regression model follow an I (1) process there is a tendency to estimate a break point in the middle of the sample, even though a break point does not actually exist. In this note, we provide a mathematical proof for this phenomenon.

事件历史分析的非参数乘法风险率模型AI 解读

A major issue in exploring and analyzing life history data with multiple states and events is the development and availability of flexible methods that allow simultaneous incorporation and estimation of baseline hazards, detection and modelling of nonlinear functional forms of covariates and time-varying effects, and the possibility to include time-dependent covariates. In this paper we consider a nonparametric multiplicative hazard model that takes into account these…

多元门限模型的检验与建模AI 解读

Threshold autoregressive models in which the process is piecewise linear in the threshold space have received much attention in recent years. In this article I use predictive residuals to construct a test statistic for detecting threshold nonlinearity in a vector time series and propose a procedure for building a multivariate threshold model. The thresholds and the model are selected jointly based on the Akaike information criterion. The finite-sample performance of the…

回归模型的函数型中心极限定理AI 解读

Let a linear regression be given. For detecting change-points, it is usual to consider the sequence of partial sums of least squares residuals whence a partial sums process is defined. Given a sequence of exact experimental designs, we consider for each design the corresponding partial sums process. If the sequence of designs converges to a continuous design, we derive the explicit form of the limit process of the corresponding sequence of partial sums processes. This is a…

尖锐变点的极小极大估计AI 解读

We define the sharp change point problem as an extension of earlier problems in change point analysis related to nonparametric regression. As particular cases, these include estimation of jump points in smooth curves. More generally, we give a systematic treatment of the correct rate of convergence for estimating the position of a “cusp”of an arbitrary order. We propose a test function for the local regularity of a signal that characterizes such a point as a global maximum.…

通过自适应窗口局部多项式拟合估计含不连续点的函数AI 解读

We propose a method of adaptive estimation of a regression function which is near optimal in the classical sense of the mean integrated error. At the same time, the estimator is shown to be very sensitive to discontinuities or change-points of the underlying function $f$ or its derivatives. For instance, in the case of a jump of a regression function, beyond the intervals of length (in order) $n^{-1} \log n$ around change-points the quality of estimation is essentially the…

多元时间序列共同断点的检验与定年AI 解读

This paper develops methods for constructing asymptotically valid confidence intervals for the date of a single break in multivariate time series, including I(0), I(1), and deterministically trending regressors. Although the width of the asymptotic confidence interval does not decrease as the sample size increases, it is inversely related to the number of series which have a common break date, so there are substantial gains to multivariate inference about break dates. These…

具有不变性结构的监测问题中误报警平均运行长度AI 解读

Surveillance can be based, in some change-point detection problems, on a sequence of invariant statistics. Gordon and Pollak prove that, under certain conditions, the average run length (ARL) to false alarm of invariance- based Shiryayev–Roberts detection schemes is asymptotically the same as that of the dual classical scheme that is based on the original sequence of observations. In this paper we give alternative conditions under which the two ARLs coincide and demonstrate…

时间序列中的冲击诊断AI 解读

Efficient means of modeling aberrant behavior in times series are developed. Our methods are based on state-space forms and allow test statistics for various interventions to be computed from a single run of the Kalman filter smoother. The approach encompasses existing detection methodologies. Departures commonly observed in practice, such as outlying values, level shifts, and switches, are readily dealt with. New diagnostic statistics are proposed. Implications for…

趋势函数突变对 Dickey–Fuller 单位根检验的影响AI 解读

This article analyzes the asymptotic behavior of the Dickey–Fuller unit root tests when the variable is generated under the breaking trend hypothesis. Our results show that the asymptotic behavior of these statistics allows for the rejection of the unit root hypothesis. This asymptotic finding contrasts with the results that can be found in the literature devoted to the analysis of the integration order of a variable in the presence of a structural break. However, some Monte…

季节周期、单位根与均值变化AI 解读

The interpretation of seasonality in terms of economic behavior depends on the form of the econometric time-series model that allows for a description of seasonality. Popular models often assume either approximate deterministic seasonality (cf. Miron (1996)) or stochastic trend seasonality (cf. Hylleberg (1994)). Inference from an inappropriate model can be shown to be invalid. Since much graphical evidence clearly suggests that seasonal fluctuations are not constant over…

商业周期转折点、新同步指数与持续期依赖：状态转换动态因子模型AI 解读

The synthesis of the dynamic factor model of Stock and Watson (1989) and the regime-switching model of Hamilton (1989) proposed by Diebold and Rudebusch (1996) potentially encompasses both features of the business cycle identified by Burns and Mitchell (1946): (1) comovement among economic variables through the cycle and (2) nonlinearity in its evolution. However, maximum-likelihood estimation has required approximation. Recent advances in multimove Gibbs sampling…

失业持续性：冲击规模是否重要？AI 解读

One of the stylized facts of unemployment is that shifts in its mean rate between decades and half-decades account for most of its variance. In this paper, we use a statistical analysis based on Markov switching regression models to identify the dates of infrequent changes in the mean of the unemployment rate series of fifteen countries. We find that in most countries, unemployment persistence is much reduced once the (infrequently) changing mean rate, induced by large…

结构不稳定性与库存的生产平滑模型AI 解读

The production-smoothing model of inventories implies that inventories, labor inputs, sales, and factor input prices are cointegrated if sales and factor prices are I(1) with one cointegrating vector for each state variable held. These propositions are tested in six nondurable-goods industries. All industries provide evidence of cointegration. Fewer quasi-fixed factors are found than previous research often assumed. Estimates of cointegrating vectors provide implausible…

具有马尔可夫状态切换的随机波动模型AI 解读

This article presents a new way of modeling time-varying volatility. We generalize the usual stochastic volatility models to encompass regime-switching properties. The unobserved state variables are governed by a first-order Markov process. Bayesian estimators are constructed by Gibbs sampling. High-, medium- and low-volatility states are identified for the Standard and Poor's 500 weekly return data. Persistence in volatility is explained by the persistence in the low- and…

股票收益中的非线性与非平稳性AI 解读

This article addresses the question of whether recent findings of nonlinearities in high-frequency financial time series have been contaminated by possible shifts in the distribution of the data. It applies a recursive version of the Brock-Dechert-Scheinkman statistic to daily data on two stock-market indexes between January 1980 and December 1990. It is shown that October 1987 is highly influential in the characterization of the stock-market dynamics and appears to…