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定位伯努利变量序列中的变化区段AI 解读

The theory underlying inferences about a single change point in a sequence of independent Bernoulli variables is extended to the two change points problem where the distance between the two change points is known, namely a changed segment. Both null and nonnull distributions of the log likelihood ratio for testing the hypothesis that there is no changed segment against the alternative that there is one of specified length are derived using recurrence equations. The…

This article examines the persistence of the variance, as measured by the generalized autoregressive conditional heteroskedasticity (GARCH) model, in stock-return data. In particular, we investigate the extent to which persistence in variance may be overstated because of the existence of, and failure to take account of, deterministic structural shifts in the model. Both an analysis of daily stock-return data and a Monte Carlo simulation experiment confirm the hypothesis that…

均值发生变化的时间序列单位根检验AI 解读

This study considers testing for a unit root in a time series characterized by a structural change in its mean level. My approach follows the “intervention analysis” of Box and Tiao (1975) in the sense that I consider the change as being exogenous and as occurring at a known date. Standard unit-root tests are shown to be biased toward nonrejection of the hypothesis of a unit root when the full sample is used. Since tests using split sample regressions usually have low power,…

英国抵押贷款市场中配给的测量与结构变化处理AI 解读

Abstract UK mortgage markets have undergone major structural changes in the past few years, resulting in mortgages no longer being rationed. The ending of rationing has implications for the specification of empirical models of housing demand. Housing models have never adequately resolved how to incorporate unobservable mortgage rationing. Conventional proxy methods are particularly unsuitable, when rationing ceases. In this paper, we propose a new way of measuring rationing…

随机水平突变时间序列模型、ARIMA 近似与水平突变检测AI 解读

The main purpose of this article is to assess the performance of autoregressive integrated moving average (ARIMA) models when occasional level shifts occur in the time series under study. A random level-shift time series model that allows the level of the process to change occasionally is introduced. Between two consecutive changes, the process behaves like the usual autoregressive moving average (ARMA) process. In practice, a series generated from a random level-shift ARMA…

变点风险率模型似然比检验的一个问题AI 解读

A likelihood ratio test for constant hazard against a step change alternative has received considerable attention in recent years. Additional information in the maximum likelihood estimate of the change-point can seriously affect interpretation of test results. Some simple modifications are considered for which exact percentage points can be derived. Monte Carlo power and mean squared error comparisons are encouraging.

多个变点的极大似然估计AI 解读

Maximum likelihood estimation of the locations of changes in sequences of independent categorical random variables when there are known lower bounds on the lengths of the sub-sequences between the change points is discussed. A method is developed which finds one of the maximum likelihood solutions. The problem of estimating the number of changed segments is discussed and some numerical results about the precision of the estimates of the locations of changes are presented.…

均值变化极大似然检验的渐近分布AI 解读

For the maximum likelihood tests for a change in the mean of independent random variables, it is proved that the limit distribution is a double exponential, i.e. Gumbel, distribution. Our results also explain why the maximum likelihood methods are very powerful on the tails.

删失生存数据中风险率变化的非参数分析：变点模型的替代方案AI 解读

As a nonparametric estimator for the point of the most rapid change of a hazard rate we propose the location of an extremum of a nonparametric estimate of the derivative, or equivalently, of a zero of a nonparametric estimate of the second derivative. Using the kernel method for the nonparametric estimation of derivatives of the hazard rate, the asymptotic local limiting distribution and uniform consistency are applied to prove consistency and to find the limiting…

伯努利变量序列中变化区段的定位AI 解读

The theory underlying inferences about a single change point in a sequence of independent Bernoulli variables is extended to the two change points problem where the distance between the two change points is known, namely a changed segment. Both null and nonnull distributions of the log likelihood ratio for testing the hypothesis that there is no changed segment against the alternative that there is one of specified length are derived using recurrence equations. The…

含时变离散协变量的非参数风险函数估计AI 解读

The traditional one-sample nonparametric estimator of the cumulative hazard function is extended to allow for time-varying discrete covariates. A proof for the consistency and asymptotic normality of the estimator, as well as a derivation of the asymptotic standard error, is provided. Numerical results show that the estimator performs reasonably well.

大崩盘、石油价格冲击与单位根假说AI 解读

The unit root hypothesis is examined allowing a possible one-time change in the level or in the slope of the trend function. When fluctuations are stationary around a breaking trend function, standard tests cannot reject the unit root, even asymptotically. Consistent tests are derived and applied to the Nelson-Plosser data set (allowing a change in level for the 1929 crash) and to the postwar quarterly real GNP series (allowing a change in slope after 1973). The unit root…

The main econometric issue in testing the Lucas (1973) hypothesis in a time series context is estimation of the forecast-error variance conditional on past information. The conditional variance may vary through time as monetary policy evolves and agents are obliged to infer its present state. Under the assumption that a monetary policy regime is continuously changing, a time-varying-parameter model is proposed for the monetary-growth function. Based on Kalman-filtering…

We consider dynamic procedures for sampling from a process (a Brownian motion) and stopping it after a change is detected. The basic idea is to conduct a sequence of similar SPRT's, each one of them done in negligible time, while not sampling at all between them. The procedures detect the change point much faster than the standard procedures with the same sampling rate and time to false alarm, but hold the sampling rate constant.

利用面板数据进行有效估计AI 解读

IN AN IMPORTANT RECENT PAPER, Hausman and Taylor (1981)-hereafter HT-considered the instrumental-variable estimation of a regression model using panel data, when the individual effects may be correlated with a subset of the explanatory variables. They provided a simple consistent estimator and an efficient estimator. More recently, Amemiya and MaCurdy (1986)-hereafter AM-have suggested an alternative estimator which is more efficient than the HT estimator, under certain…

非正态性对含结构变化的单一结构方程估计的影响AI 解读

Effect of nonnormality on the asymptotic property of three estimators of a single structural equation with structural change is examined. The three estimators are the limited information maximum likelihood estimator, derived under normality and equality of structural variances in different samples, given by Hodoshima, a two-stage least squares type estimator due to Barten and Bronsard, and a minimum distance estimator presented here. Normality is relaxed but the equality…

时变协方差下国际 CAPM 的检验AI 解读

Abstract We perform maximum‐likelihood estimation of a model of international asset pricing based on CAPM. We test the restrictions imposed by CAPM against a more general asset pricing model. The ‘betas’ in our CAPM vary over time as the supplies of assets change and as the conditional covariances or returns on those assets change. We let the covariances change over time as a function of macroeconomic data, and an alternative model allows the covariances to follow a…

维多利亚时代后期英法经济增长转折：证据的重新评估AI 解读

Abstract The paper investigates the question of whether the trend rate of growth of GDP slowed down in Britain or France in the nineteenth century. We establish that real GDP belongs to the trend‐stationary process class of time‐series in each case rather than the difference‐stationary process and using Kalman filter techniques, analyse trends in a model incorporating time‐varying parameters without specifying breakpoints in advance. We find, contrary to the literature, that…

若干非参数假设的自助法与随机化检验AI 解读

In this paper, the asymptotic behavior of some nonparametric tests is studied in situations where both bootstrap tests and randomization tests are applicable. Under fairly general conditions, the tests are asymptotically equivalent in the sense that the resulting critical values and power functions are appropriately close. This implies, among other things, that the difference in the critical functions of the tests, evaluated at the observed data, tends to 0 in probability.…

检验参数是否随时间保持不变AI 解读

Tests are proposed for detecting possible changes in parameters when the observations are obtained sequentially in time. While deriving the tests the alternative one has in mind specifies the parameter process as a martingale. The distribution theory of these tests relies on the large-sample results; that is, only the limiting null distributions are known (except in very special cases). The main tool in establishing these limiting distributions is weak convergence of…

门限自回归过程的检验与建模AI 解读

The threshold autoregressive model is one of the nonlinear time series models available in the literature. It was first proposed by Tong (1978) and discussed in detail by Tong and Lim (1980) and Tong (1983). The major features of this class of models are limit cycles, amplitude dependent frequencies, and jump phenomena. Much of the original motivation of the model is concerned with limit cycles of a cyclical time series, and indeed the model is capable of producing…

系数恒定性检验统计量的分布AI 解读

This paper investigates the distribution of the locally best invariant test for coefficient constancy, against the random walk alternative, in a regression model which may contain nonvarying coefficients. Unfortunately, the distribution of the locally best invariant test depends critically on the exogenous variables of the model, even asymptotically. A modification is suggested which has a known asymptotic distribution regardless of the regression effect.

非平稳时间序列与经济周期分析的新方法AI 解读

This paper models occasional, discrete shifts in the growth rate of a nonstationary series. Algorithms for inferring these unobserved shifts are presented, a byproduct of which permits estimation of parameters by maximum likelihood. An empirical application of this technique suggests that the periodic shift from a positive growth rate to a negative growth rate is a recurrent feature of the U.S. business cycle, and indeed could be used as an objective criterion for defining…