日期精度：到日 699 篇 · 到月 1117 篇 · 到年 66 篇 · 未提供 3 篇
针对简单门限模型的 TR 检验功效比较
Through Monte-Carlo simulations the estimated power of the Ramsey and Rothman time reversibility (TR) test is compared to the power of the BDS and bispectrum tests against some simple threshold alternatives. The TR test is shown to have excellent size properties and to be generally more powerful than the other two tests against the threshold models considered. Copyright 1992 by John Wiley & Sons, Ltd.
不可观测成分时间序列模型的诊断检验
Diagnostic checking of time-series models is normally carried out using the innovations, that is the one-step ahead prediction errors. In an unobserved components model, other sets of residuals are available. These auxiliary residuals are estimators of the disturbances associated.with the unobserved components. The article shows how the properties of the auxiliary residuals may be obtained, how they are related to each other and to the innovations, and how they can be used…
均值变化时间序列的单位根检验：修正与扩展
This note provides a correction to the treatment of the asymptotic distribution of tests for a unit root for the additive outlier model presented in Perron (1990). It is shown that the tests, as stated for that case, have asymptotic distributions that depend on the correlation structure of the data even if the appropriate order of the autoregression is selected. The authors present a simple modification that yields statistics with the same asymptotic distributions (free of…
泊松过程变化点的对数线性模型
Many methods have been proposed for modelling nonhomogeneous Poisson processes, including change point models and log-linear models. In this paper, we use likelihood ratio tests to choose which of these models are necessary. Of particular interest is the test for the presence of a change point, for which standard asymptotic theory is not valid. Large deviation methods are applied to approximate the significance level, and power approximations are given. Confidence regions…
利用纵向CD4 T细胞数量研究HIV感染进展的层级贝叶斯模型
Taking the absolute number of CD4 T-cells as a marker of disease progression for persons infected with the human immunodeficiency virus (HIV), we model longitudinal series of such counts for a sample of 327 subjects in the San Francisco Men's Health Study (Waves 1–8, excluding zidovudine cases). We conduct a fully Bayesian analysis of these data. We employ individual level nonlinear models incorporating such critical features as incomplete and unbalanced data, population…
非平稳性与水平突变：购买力平价应用
The authors consider testing for a unit root in a time series with a structural change in mean occurring at an unknown date. They derive and tabulate the asymptotic distributions of the minimal t-statistic over all possible break points (and other related statistics) in the appropriate regressions. However, emphasis is given to the tabulation of finite sample critical values with particular attention given to the effect of various procedures to select the order of the…
趋势变化的直接检验
The authors consider tests for changing trend that do not require prior knowledge about the location of the changepoint. The limiting distribution is derived from the functional central limit theorem and the critical value from the hitting probability of a Brownian bridge. Applying a test sensitive to the alternative of trend stationarity with structural breaks, they find that for real gross national product, real per capita gross national product, and real wages before…
单位根与趋势突变假说的递归和序贯检验：理论与国际证据
This paper investigates the possibility, raised by P. Perron (1989, 1990) and P. Rappoport and L. Reichlin (1989), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike those authors, the authors treat the break date as unknown a priori. Asymptotic distributions are developed for recursive, rolling, and sequential tests for unit roots and/or changing coefficients in time series regressions. When applied to data on real…
含 I(1) 过程回归中的参数不稳定性检验
This article derives the large-sample distributions of Lagrange multiplier (LM) tests for parameter instability against several alternatives of interest in the context of cointegrated regression models. The fully modified estimator of Phillips and Hansen is extended to cover general models with stochastic and deterministic trends. The test statistics considered include the SupF test of Quandt, as well as the LM tests of Nyblom and of Nabeya and Tanaka. It is found that the…
大萧条、石油价格冲击与单位根假说的进一步证据
Perron (1989) has carried out tests of the unit root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil price shock. Here a variation of Perron's test is considered in which the break point is estimated rather than fixed. The asymptotic distribution of the "estimated break point" test statistic is determined and the data considered by Perron are reanalyzed. The authors find…
寻找 GNP 的趋势断点
It has been suggested that existing estimates of the long-run impact of a surprise move in income may have a substantial upward bias due to the presence of a trend break in postwar U.S. gross national product data. This article shows that the statistical evidence does not warrant abandoning the no-trend-break null hypothesis. A key part of the argument is that conventionally computed p values overstate the likelihood of the trend-break alternative hypothesis. This is because…
非参数回归分析中的变化点
Estimators for location and size of a discontinuity or change-point in an otherwise smooth regression model are proposed. The assumptions needed are much weaker than those made in parametric models. The proposed estimators apply as well to the detection of discontinuities in derivatives and therefore to the detection of change-points of slope and of higher order curvature. The proposed estimators are based on a comparison of left and right one-sided kernel smoothers. Weak…
用扩展卡尔曼滤波估计多变量动态广义线性模型的后验众数
A family of multivariate dynamic generalized linear models is introduced as a general framework for the analysis of time series with observations from the exponential family. Besides common conditionally Gaussian models, this article deals with univariate models for counted and binary data and, as the most interesting multivariate case, models for nonstationary multicategorical time series. For univariate responses, a related yet different class of models has been introduced…
边界估计
A data set consists of independent observations taken at the nodes of a grid. An unknown boundary partitions the grid into two regions. All the observations coming from a particular region share a common distribution, but the distributions are different for the two different regions. These two distributions are entirely unknown and need not differ in their means, medians, or any other measure of “level.” The grid is of arbitrary dimension, and its mesh is rectangular. Our…
非线性时间序列建模中残差自相关的渐近标准误
The asymptotic distribution of residual autocorrelations for some very general nonlinear time series models is derived. This includes the important class of threshold models. Consequently more accurate standard errors for residual autocorrelations can be obtained facilitating model diagnostic checkings in many situations. A small simulation result applying the methodology to threshold models is reported.
基于累积卡方统计量最大分量的多重比较程序
Multiple comparison procedures based on the maximal component of the cumulative chi-squared statistic are discussed. The Markov properties for the successive components of the cumulative chi-squared statistic are proved and applied for obtaining the p- value of the maximal component in each of the one-way and the two-way analysis of variance models and the two-way contingency table. The power of the multiple comparison procedure is compared with those for some well-known…
存在混淆因素时的时变加速失效时间模型估计
Cox & Oakes (1984, p. 66) introduced the ‘strong version’ of the accelerated failure time model with time-dependent exposures. We provide conditions under which this model could be used to estimate, from observational data, the causal effect of a time-varying exposure or treatment on time to an event of interest in the presence of time-dependent confounding variables. We propose a class of semiparametric tests and estimators for the model parameters. This class contains an…
金融中的 ARCH 建模
Although volatility clustering has a long history as a salient empirical regularity characterizing high-frequency speculative prices, it was not until recently that applied researchers in finance have recognized the importance of explicitly modeling time-varying second-order moments. Instrumental in most of these empirical studies has been the Autoregressive Conditional Heteroskedasticity (ARCH) model introduced by Engle (1982). This paper contains an overview of some of the…
推断预期行为随时间的变化：非线性时变参数估计的应用
This article develops a new method for inferring the structure of agents' expectations from macroeconomic time series. Two versions of a somewhat stylized macroeconomic model are examined. Expectations of money growth are a central driving variable, assumed to be formed as a time-varying weighted average of alternative money-growth models. The weights are estimated as time-varying parameters jointly with the structural parameters for the model, using a nonlinear time-varying…
转折点未知时针对平均剩余寿命先增后减分布的指数性检验
Guess, Hollander and Proschan proposed tests for exponentiality versus IDMRL (increasing initially and then decreasing mean residual life) distributions when the change point, or corresponding quantile, is known. In this paper we propose two tests which do not require such knowledge of the change point. The tests are based on estimates of functionals of the $\operatorname{cdf}$ which discriminate between the exponential and IDMRL families.
变点问题的乘积分割模型
Product partition models assume that observations in different components of a random partition of the data are independent. If the probability distribution of random partitions is in a certain product form prior to making the observations, it is also in product form given the observations. The product model thus provides a convenient machinery for allowing the data to weight the partitions likely to hold; and inference about particular future observations may then be made…
使用普通最小二乘残差的 CUSUM 检验
The authors show that the CUSUM test of the stability over time of the coefficients of a linear regression model, which is usually based on recursive residuals, can also be applied to ordinary least squares residuals. The authors derive the limiting null distribution of the resulting test and compare its local power to that of the standard procedure. It turns out that neither version is uniformly superior to the other. Copyright 1992 by The Econometric Society.