论文检索

全通时间序列模型的秩估计AI 解读

An autoregressive-moving average model in which all roots of the autoregressive polynomial are reciprocals of roots of the moving average polynomial and vice versa is called an all-pass time series model. All-pass models are useful for identifying and modeling noncausal and noninvertible autoregressive-moving average processes. We establish asymptotic normality and consistency for rank-based estimators of all-pass model parameters. The estimators are obtained by minimizing…

相依误差线性模型的 M 估计AI 解读

We study asymptotic properties of M-estimates of regression parameters in linear models in which errors are dependent. Weak and strong Bahadur representations of the M-estimates are derived and a central limit theorem is established. The results are applied to linear models with errors being short-range dependent linear processes, heavy-tailed linear processes and some widely used nonlinear time series.

摘要暂缺

摘要暂缺

摘要暂缺

摘要暂缺

摘要暂缺

大缓和时期的宏观波动、可预测性与不确定性AI 解读

I examine the extent to which the large decline in observed real output volatility, that is, the great moderation, can be attributed to changes in macroeconomic uncertainty and macroeconomic predictability using forecasts of future real output growth from the Survey of Professional Forecasters (SPF). The results indicate that both predictability and uncertainty have declined over the great moderation. The results indicate that measuring the decline in macroeconomic…

基于市场的货币政策预期度量AI 解读

A number of recent articles have used different financial market instruments to measure near-term expectations of the federal funds rate and the high-frequency changes in these instruments around Federal Open Market Committee announcements to measure monetary policy shocks. This article evaluates the empirical success of a variety of financial market instruments in predicting the future path of monetary policy. All of the instruments we consider provide forecasts that are…

向量自回归脉冲响应的内在贝叶斯估计AI 解读

We propose an information-theoretic alternative to the conventional Bayesian posterior mean estimator of impulse responses in vector autoregression (VAR) models. The proposed estimator is based on the intrinsic entropy loss function, which is invariant to nonlinear transformations of parameters. Consequently, intrinsic estimation of impulse responses is equivalent to that of VAR parameters. The Bayesian estimator under the entropy loss involves a frequentist expectation of…

用加权似然比检验比较密度预测AI 解读

We propose a test for comparing the out-of-sample accuracy of competing density forecasts of a variable. The test is valid under general conditions: The data can be heterogeneous and the forecasts can be based on (nested or nonnested) parametric models or produced by semiparametric, nonparametric, or Bayesian estimation techniques. The evaluation is based on scoring rules, which are loss functions defined over the density forecast and the realizations of the variable. We…

滞后解释变量冗余性的再考察AI 解读

In a recent Econometric Theory problem, it was demonstrated that in a conditionally heteroskedastic time series regression with martingale difference errors the use of lagged values of regressors as instruments may not increase the efficiency of estimation relative to ordinary least squares. We provide an example of an analogous phenomenon in a model with serially correlated errors, where the optimal instrumental variables estimator is asymptotically as efficient as the…

针对近积分过程的修正 KPSS 检验AI 解读

This note suggests a simple modification to the Kwiatkowski, Phillips, Schmidt, and Shin (1992, Journal of Econometrics , 54, 159–178) test (KPSS test) so that it is applicable to testing the null hypothesis of near integration against a unit root alternative. The modified KPSS test is shown not to suffer from the asymptotic size distortion problems of the original KPSS test that are described by Müller (2005, Journal of Econometrics 128, 195–213). The test also has good…

具有稳定型误差的温和爆炸自回归的极限定理AI 解读

We discuss the limiting behavior of the serial correlation coefficient in mildly explosive autoregression, where the error sequence is in the domain of attraction of an α-stable law, α ∈ (0,2]. Therein, the autoregressive coefficient ρ = ρn > 1 is assumed to satisfy the condition ρn → 1 such that n(ρn − 1) → ∞ as n → ∞. In contrast to the vast majority of existing literature in the area, no specific form of ρ is required. We show that the serial correlation coefficient…

半参数多元波动率模型AI 解读

We consider a model for a multivariate time series where the conditional covariance matrix is a function of a finite-dimensional parameter and the innovation distribution is nonparametric. The semiparametric lower bound for the estimation of the euclidean parameter is characterized, and it is shown that adaptive estimation without reparametrization is not possible. Based on a consistent first-stage estimator (such as quasi maximum likelihood), we propose a semiparametric…

扩散过程的扩散函数参数设定检验AI 解读

A new consistent test is proposed for the parametric specification of the diffusion function in a diffusion process without any restrictions on the functional form of the drift function. The data are assumed to be sampled discretely in a time interval that can be fixed or lengthened to infinity. The test statistic is shown to follow an asymptotic normal distribution under the null hypothesis that the parametric diffusion function is correctly specified. Monte Carlo…

失业与流动性约束AI 解读

Abstract We present a dynamic framework for the interaction between borrowing (liquidity) constraints and deviations of actual hours from desired hours, both measured by discrete‐valued indicators, and estimate it as a system of dynamic binary and ordered probit models with panel data from the Panel Study of Income Dynamics. We analyze a household's propensity to be liquidity constrained by means of a dynamic binary probit model. We analyze qualitative aspects of the…

遥远未来的贴现：模型选择如何影响确定性等价贴现率？AI 解读

Abstract Recent work in evaluating investments with long‐term consequences has turned towards establishing a schedule of Declining Discount Rates (DDRs). Using US data we show that the employment of models that account for changes in the interest rate generating mechanism has important implications for operationalising a theory of DDRs that depends upon uncertainty. The policy implications of DDRs are then analysed in the context of climate change for the USA, where the use…

平稳与非平稳 ARFIMA 过程的最小距离估计AI 解读

A new parametric minimum distance time-domain estimator for ARFIMA processes is introduced in this paper. The proposed estimator minimizes the sum of squared correlations of residuals obtained after filtering a series through ARFIMA parameters. The estimator is easy to compute and is consistent and asymptotically normally distributed for fractionally integrated (FI) processes with an integration order d strictly greater than −0.75. Therefore, it can be applied to both…

单位根检验能否区分单位根过程与平稳非线性过程？AI 解读

Standard unit-root tests are known to be biased towards the non-rejection of a unit-root when they are applied to time series with non-linear dynamics. Unfortunately, not much is known about the source of the power loss mainly because the analysis on nonstationarity and nonlinearity to this date has been fragmentary. By means of a Monte Carlo study, the current paper investigates the finite sample performance of five popular unit-root tests against a wide class of non-linear…

单整结构动态模型的滞后增广两阶段与三阶段最小二乘估计AI 解读

We consider a lag-augmented two- or three-stage least-squares estimator for a structural dynamic model of non-stationary and possibly cointegrated variables without the prior knowledge of unit roots or rank of cointegration. We show that the conventional two-and three-stage least-squares estimators are consistent but contain non-standard distributions without the strict exogeneity assumption; hence the conventional Wald type test statistics may not be chi-square distributed.…

椭圆对称条件下动态非线性系统的半参数效率界AI 解读

We analyze semiparametric efficient estimation of non-linear simultaneous equation models in a time series context and derive a semiparametric efficiency bound for estimation of the parameters when the errors are i.i.d. from an unknown elliptically symmetric density. We derive the bound in the case of errors that are elliptically symmetric conditional on predetermined variables. Copyright Royal Economic Society 2007

时间序列线性检验AI 解读

process, and is consistent against non-linearity of either form. Finite sample simulation evidence, together with empirical evidence from an application to US Dollar real exchange rates, suggests that our procedure should work well in practice. Copyright Royal Economic Society 2007

摘要暂缺