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多元时间序列结构稳定性的预测检验AI 解读

Comparing forecasts with actually observed values is one possible way to check the structural stability of time series. In this study, prediction tests based on this principle are investigated in the context of multiple time series analysis. It is found that the power of tests based on univariate series may exceed that of tests based on multivariate series and vice versa. Therefore, it is proposed to use both kinds of tests in practice. The tests are used to investigate the…

简单线性回归变点的似然比检验AI 解读

We consider likelihood ratio tests to detect a change-point in simple linear regression (a) when the alternative specifies that only the intercept changes and (b) when the alternative permits the intercept and the slope to change. Approximations for the significance level are obtained under reasonably general assumptions about the empirical distribution of the independent variable. The approximations are compared with simulations in order to assess their accuracy. For the…

若干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.

A class of procedures is proposed for testing the stationarity of a Gaussian process or the homogeneity of independent processes. Requiring very limited prior knowledge of model structure, the methods can detect changes or differences in mean, in variance, in covariances and even in law. Although the theory of the stationarity test is worked out only for processes whose realizations are stationary over "epochs" separated by known change points, Monte Carlo evidence indicates…

回归结构稳定性的多重决策理论分析AI 解读

Using the theory of multiple decisions, this paper conducts an analysis of structural stability in location and variance for the linear-regression model. It shows that both cusum and cusum-of-squares techniques are in certain senses optimal. However, the same tests are optimal for changes in location and variance. It is also shown that there is an inherent contradiction between the use of recursive residuals and cusum techniques. The concept of a localized Bayes rule is…

动态模型中的结构变化检验AI 解读

The well-known CUSUM test for structural change is investigated whe n there are lagged dependent variables among the regressors in a linear model. The authors show that both a modified CUSUM test, suggested b y J. M. Dufour (1982), and the straightforward CUSUM test retain their asymptotic significance levels in dynamic models, and find that the power depends crucially on the angle between the mean regressor and the structural shift. Copyright 1988 by The Econometric Society.

存在结构变化的非线性计量模型推断AI 解读

This paper extends the classical test for structural change in linear regression models (see Chow (1960)) to a wide variety of nonlinear models, estimated by a variety of different procedures. Wald, Lagrange multiplier-like, and likelihood ratio-like test statistics are introduced. The results allow for heterogeneity and temporal dependence of the observations. In the process of developing the above tests, the paper also provides a compact presentation of general unifying…

事前实际利率模型及其导出的通胀预测AI 解读

A methodology for estimating expected real interest rates and making inflation forecasts, together with appropriate confidence intervals, is presented. The role of price expectations in determining real interest rates is also analyzed. Structural breaks in the process generating real interest rates are detected in 1980 and 1983 by tracking the accuracy of interest-rate forecasts. Analysis of these structural breaks reveals that the break at the beginning of 1983 returns the…

相依异质过程的不变性原理与中心极限定理AI 解读

Building on work of McLeish, we present a number of invariance principles for doubly indexed arrays of stochastic processes which may exhibit considerable dependence, heterogeneity, and/or trending moments. In particular, we consider possibly time-varying functions of infinite histories of heterogeneous mixing processes and obtain general invariance results, with central limit theorems following as corollaries. These results are formulated so as to apply to economic time…

摘要暂缺

存在结构变化时单个结构方程的估计AI 解读

Estimation of a single structural equation when there exists structural change is considered. Equality of structural variances in different samples is shown to affect the identification condition and asymptotic efficiency of best asymptotically normal estimators when the reduced-form covariance matrices differ by the structural change. The limited information maximum likelihood estimator is presented with its asymptotic property and compared with an alternative estimator.

检测分布变化的动态抽样方法AI 解读

The problem of detecting a change in drift of Brownian motion is considered in the Bayesian framework with the time of change having a (prior) exponential distribution. To the well known problem of finding an optimal stopping rule for "declaring a change," we add the option of continuously controlling the sampling rates--resulting in controlling the variance coefficient of the process. The combined problem of finding an optimal rate function (dynamic sampling) together with…

回归系数恒定性对随机游走备择检验的渐近理论AI 解读

The LBI (locally best invariant) test is suggested under normality for the constancy of regression coefficients against the alternative hypothesis that one component of the coefficients follows a random walk process. We discuss the limiting null behavior of the test statistic without assuming normality under two situations, where the initial value of the random walk process is known or unknown. The limiting distribution is that of a quadratic functional of Brownian motion…

变点问题中秩检验的 Bahadur 效率AI 解读

A sequence of independent random variables $X_1, X_2, \cdots, X_N$ is said to have a change point if $X_1, X_2, \cdots, X_n$ have a common distribution $F$ and $X_{n+1}, \cdots, X_N$ have a common distribution $G, G \neq F$. Consider the problem of testing the null hypothesis of no change against the alternative of a change $G < F$ at an unknown change point $n$. Two classes of statistics based upon two-sample linear rank statistics (max- and sum-type) are compared in terms…

非参数变点估计AI 解读

Consider a sequence of independent random variables $\{X_i: 1 \leq i \leq n\}$ having cdf $F$ for $i \leq \theta n$ and cdf $G$ otherwise. A class of strongly consistent estimators for the change-point $\theta \in (0, 1)$ is proposed. The estimators require no knowledge of the functional forms or parametric families of $F$ and $G$. Furthermore, $F$ and $G$ need not differ in their means (or other measure of location). The only requirement is that $F$ and $G$ differ on a set…

相对风险回归的残差AI 解读

Several possible definitions of residuals are given for relative risk regression with time-varying covariates. Each such residual has a representation as an estimator of a stochastic integral with respect to the martingale arising from a subject's failure time counting process. Previously proposed residuals for individual study subjects and for specific time points are shown to be special cases of this definition, as are previously derived regression diagnostics. An…

相对风险回归的残差AI 解读

Several possible definitions of residuals are given for relative risk regression with time-varying covariates. Each such residual has a representation as an estimator of a stochastic integral with respect to the martingale arising from a subject's failure time counting process. Previously proposed residuals for individual study subjects and for specific time points are shown to be special cases of this definition, as are previously derived regression diagnostics. An…

非平稳时间序列的非高斯状态空间建模AI 解读

A non-Gaussian state—space approach to the modeling of nonstationary time series is shown. The model is expressed in state—space form, where the system noise and the observational noise are not necessarily Gaussian. Recursive formulas of prediction, filtering, and smoothing for the state estimation and identification of the non-Gaussian state—space model are given. Also given is a numerical method based on piecewise linear approximation to the density functions for realizing…

独立随机变量序列中变点极大似然估计量的分布近似AI 解读

The problem of estimating the change-point in a sequence of independent random variables is considered. As the sample sizes before and after the change-point tend to infinity, Hinkley (1970) showed that the maximum likelihood estimate of the change-point converges in distribution to that of the change-point based on an infinite sample. Letting the amount of change in distribution approach 0, it is shown that the distribution, suitably normalized, of the maximum likelihood…

变点问题的秩检验AI 解读

We consider procedures based on quadratic form rank statistics to test for one or more changepoints in a series of independent observations. Models incorporating both smooth and abrupt changes are introduced. Various test statistics are suggested, their asymptotic null distributions are derived and tables of significance points are given. A Monte Carlo study shows that the asymptotic significance points are applicable to moderately sized samples.

单一变点的检验AI 解读

The problem considered is that of testing a sequence of independent normal random variables with constant, known or unknown, variance for no change in mean versus alternatives with a single change-point. Various tests, such as those based on the likelihood ratio and recursive residuals, are studied. Power approximations are developed by integrating approximations for conditional boundary crossing probabilities. A comparison of several tests is made.

均值突变模型中的条件自助法AI 解读

Bootstrap methods are not inherently conditional, but they can be made so by appropriate stratification of the simulated samples which bootstrap produces. We show how stratification can work in a bootstrap analysis of mean-shift in Nile river flow data. The results are compared with both parametric and semiparametric likelihood analyses. The paper ends with some general remarks on conditional bootstraps.

期限结构中时变风险溢价的估计：ARCH-M 模型AI 解读

The expectati on of the excess holding yield on a long bond is postulated to depend upon its conditional variance. Engle's ARCH model is extended to allow the conditional variance to be a determinant of the mean and is called ARCH-M. Estimation and infer ence procedures are proposed, and the model is applied to three interest rate data sets. In most cases the ARCH process and the time varying risk premium are highly significant. A collection of LM diagnostic tests reveals…

时变参数与结构汇率模型的样本外预测表现AI 解读

Varying-parameter estimation techniques based on recursive application of the Kalman filter are used to improve the predictive performance of a class of monetary exchange rate models. I find that allowing estimated parameters to vary over time enhances the models' forecasting performance for the dollar–pound, dollar–mark, and dollar–yen exchange rates. Contrary to earlier results in the literature, ex-post forecasts for the dollar-mark rate compare favorably with those…