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广义矩估计框架下参数不稳定性的最优检验AI 解读

This paper presents optimal tests for parameter instability in the generalized method of moments (GMM) framework. The new tests include tests that are optimal for both one-sided and two-sided alternatives. One of the optimal tests for two-sided alternatives is the GMM generalization of the test presented in Andrews and Ploberger (1994) for the likelihood framework. The new tests include a class of optimal tests that direct the test's power to specific locations in the…

结构变化的实时监测AI 解读

Contemporary tests for structural change are designed to detect a structural break within a given historical data set of fixed size. Due to the law of the iterated logarithm, these one-shot tests cannot be applied to monitor out-of-sample stability each time new data arrive. The authors propose and analyze two real-time monitoring procedures with controlled size asymptotically: the fluctuation and CUSUM monitoring procedures. Simulation results show that the proposed…

能否改善人们感知的经济预测质量？AI 解读

A number of topics are discussed concerning how economic forecasts can be improved in quality or at least in presentation. These include the following: using 50% uncertainty intervals rather than 95%; noting that even though forecasters use many different techniques, they are all occasionally incorrect in the same direction; that there is a tendency to underestimate changes; that some expectations and recently available data are used insufficiently; lagged forecasts errors…

股票市场波动率与商业周期AI 解读

This paper investigates the joint time series behavior of monthly stock returns and growth in industrial production. We find that stock returns are well characterized by year-long episodes of high volatility, separated by longer quiet periods. Real output growth, on the other hand, is subject to abrupt changes in the mean associated with economic recessions. We study a bivariate model in which these two changes are driven by related unobserved variables, and conclude that…

截距修正与结构变化AI 解读

Analyses of forecasting that assume a constant, time-invariant data generating process (DGP), and so implicitly rule out structural change or regime shifts in the economy, ignore an aspect of the real world responsible for some of the more dramatic historical episodes of predictive failure. Some models may offer greater protection against unforeseen structural breaks than others, and various tricks may be employed to robustify forecasts to change. We show that in certain…

Ritov 贝叶斯方法与 CUSUM 极小极大性质的连续时间札记AI 解读

We consider, in a Bayesian framework, the model $W_t = B_t + \theta (t - \nu)^+$, where B is a standard Brownian motion, $\theta$ is arbitrary but known and $\nu$ is the unknown change-point. We transfer the construction of Ritov to this continuous time setup and show that the corresponding Bayes problems can be reduced to generalized parking problems.

利用非参数回归估计变点AI 解读

We consider a regression model in which the mean function may have a discontinuity at an unknown point. We propose an estimate of the location of the discontinuity based on one-side nonparametric regression estimates of the mean function. The change point estimate is shown to converge in probability at rate $O(n^{-1})$ and to have the same asymptotic distribution as maximum likelihood estimates considered by other authors under parametric regression models. Confidence…

线性回归中的参数恒定性检验：经验分布函数方法AI 解读

This paper proposes some tests for parameter constancy in linear regressions. The tests use weighted empirical distribution functions of estimated residuals and are asymptotically distribution free. The proposed tests have nontrivial local power against a wide range of alternatives. In particular, the tests are capable of detecting error heterogeneity that is not necessarily manifested in the form of changing variances. The model allows for both dynamic and trending…

以区制转换检验汇率投机泡沫AI 解读

This paper develops a new test for speculative bubbles, which is applied to data for the Japanese yen, the German mark and the Canadian dollar exchange rates from 1977 to 1991. The test assumes that bubbles display a particular kind of regime-switching behaviour, which is shown to imply coefficient restrictions on a simple switching-regression model of exchange rate innovations. Test results are sensitive to the specification of exchange rate fundamentals and other factors.…

双阈值自回归条件异方差时间序列模型AI 解读

Tong's threshold models have been found useful in modelling nonlinearities in the conditional mean of a time series. The threshold model is extended to the so-called double-threshold ARCH(DTARCH) model, which can handle the situation where both the conditional mean and the conditional variance specifications are piecewise linear given previous information. Potential applications of such models include financial data with different (asymmetric) behaviour in a visiting versus…

多元极值中近独立性的统计分析AI 解读

We propose a multivariate extreme value threshold model for joint tail estimation which overcomes the problems encountered with existing techniques when the variables are near independence. We examine inference under the model and develop tests for independence of extremes of the marginal variables, both when the thresholds are fixed, and when they increase with the sample size. Motivated by results obtained from this model, we give a new and widely applicable…

线性模型中递归残差的发展与应用综述AI 解读

Recursive residuals have been shown to be useful in a variety of applications in linear models. Unlike the more familiar ordinary least squares residuals or studentized residuals, recursive residuals are independent as well as homoscedastic under the model. Their independence is particularly appealing for use in developing test statistics. They are not uniquely defined; their values depend on the order in which they are calculated, although their properties do not. In some…

线性模型中递归残差的发展与应用综述AI 解读

Recursive residuals have been shown to be useful in a variety of applications in linear models. Unlike the more familiar ordinary least squares residuals or studentized residuals, recursive residuals are independent as well as homoscedastic under the model. Their independence is particularly appealing for use in developing test statistics. They are not uniquely defined; their values depend on the order in which they are calculated, although their properties do not. In some…

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原假设下干扰参数未被识别时的统计推断AI 解读

The authors study the asymptotic distribution of econometric tests involving nuisance parameters that are not identified under the null hypotheses. In general, the asymptotic distributions depend upon a large number of unknown parameters. The authors show that a transformation based upon a conditional probability measure yields an asymptotic distribution free of nuisance parameters and they show that this transformation can be easily approximated via simulation. The theory…

非线性时间序列中若干估计量与序贯残差经验过程的渐近理论AI 解读

This paper establishes the asymptotic uniform linearity of M- and R-scores in a family of nonlinear time series and regression models. It also gives an asymptotic expansion of the standardized sequential residual empirical process in these models. These results are, in turn, used to obtain the asymptotic normality of certain classes of M-, R- and minimum distance estimators of the underlying parameters. The classes of estimators considered include analogs of Hodges-Lehmann,…

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断点内生选择下的结构稳定性检验：解析与自助法的尺寸比较AI 解读

We compare the performance of two alternative approximations to the finite-sample distributions of test statistics for structural change, one based on asymptotics and one based on the bootstrap. We focus on tests acknowledging that the breakpoint is selected endogenously — in particular, the ‘supremum’ tests of Andrews (1993). We explore a variety of issues of interest in applied work, focusing particularly on smaller samples and persistent dynamics. The bootstrap…

基于 OLS 残差的抗趋势结构变化检验AI 解读

We discuss the null distribution and local power of an OLS-based version of the CUSUM test and show that this, contrary to other tests for structural change like, e.g., the Ploberger-Kontrus-Krämer fluctuation test, can also be applied to trending data.

正态线性回归中的最优变点检验AI 解读

This paper determines a class of finite-sample optimal tests for the existence of a changepoint at an unknown time in a normal linear multiple regression model with known variance. Optimal tests for multiple changepoints are also derived. It is shown that the results cover some models of cointegration. Power comparisons of several tests are provided based on simulations.