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长记忆模型的代入估计AI 解读

We consider the Gaussian ARFIMA(j,d,l) model, with spectral density and an unknown mean . For this class of models, the n−1-normalized information matrix of the full parameter vector, (μ,θ), is asymptotically degenerate. To estimate θ, Dahlhaus (1989, Annals of Statistics 17, 1749–1766) suggested using the maximizer of the plug-in log-likelihood, , where is any n(1−2d)/2-consistent estimator of μ. The resulting estimator is a plug-in maximum likelihood estimator (PMLE). This…

积分时间序列非线性变换的进一步渐近结果AI 解读

This paper establishes various results involving functions of integrated processes. Two theorems—which improve similar results by Park and Phillips—are proved for averages of functions of an integrated process that has not been rescaled by the square root of sample size. In addition, two results are given that characterize asymptotic behavior of averages of nonintegrable functions of rescaled integrated processes; the observations close to the pole take over asymptotic…

协整的贝叶斯参考分析AI 解读

A Bayesian reference analysis of the cointegrated vector autoregression is presented based on a new prior distribution. Among other properties, it is shown that this prior distribution distributes its probability mass uniformly over all cointegration spaces for a given cointegration rank and is invariant to the choice of normalizing variables for the cointegration vectors. Several methods for computing the posterior distribution of the number of cointegrating relations and…

协整矩阵子矩阵的秩检验AI 解读

This paper proposes a test of the rank of the submatrix of β, where β is a cointegrating matrix. In addition, the submatrix of β⊥, an orthogonal complement to β, is investigated. We construct the test statistic by using the eigenvalues of the quadratic form of the submatrix. We show that the test statistic has a limiting chi-square distribution when data are nontrending, whereas for trending data we have to consider a conservative test or other testing procedure that…

单位根检验与初始观测值AI 解读

Recent work has highlighted the crucial dependence of the power of existing unit root tests on the deviation of the initial observation from the deterministic component of the series. In practical applications, it is useful to have a test available with power more robust to the initial condition. In this paper, we propose such a procedure based on a data-dependent weighted average of the standard Dickey--Fuller and Elliott--Rothenberg--Stock tests. Simulation of the new…

时间维度有限时异质面板数据的平稳性检验AI 解读

and hence makes the test valid for any (T, N) combination. The asymptotic distributions of the tests are derived under the null and are shown to be normally distributed. Their moments for T fixed are derived analytically using Ghazal's (1994, Statistics and Probability letters 20, 313--319) 1 lemma 1. Finite sample size and power are considered in a Monte Carlo experiment. The proposed tests have empirical sizes that are very close to the nominal 5% level. The Monte Carlo…

电话呼叫中心的统计分析AI 解读

A call center is a service network in which agents provide telephone-based services. Customers who seek these services are delayed in tele-queues. This article summarizes an analysis of a unique record of call center operations. The data comprise a complete operational history of a small banking call center, call by call, over a full year. Taking the perspective of queueing theory, we decompose the service process into three fundamental components: arrivals, customer…

面向天气衍生品的天气预测AI 解读

We take a simple time series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market. The answer is, perhaps surprisingly, yes. Time series modeling reveals conditional mean dynamics and, crucially, strong conditional variance dynamics in daily average temperature, and it reveals sharp differences between the…

ARMAX 时间序列模型的多折预测验证AI 解读

This article presents a new procedure for multifold predictive validation in time series. The procedure is based on the so-called “filtered residuals,” in-sample prediction errors evaluated in such a way that they are similar to out-of-sample ones. The filtered residuals are obtained from parameters estimated by eliminating from the estimation process the estimated innovations at the points to be predicted. Thus, instead of using the deletion of observations to validate the…

用马尔可夫转换模型与工具变量检验远期汇率无偏假说AI 解读

Abstract This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing the unbiased forward exchange rate (UFER) hypothesis. Using US/UK data, it is shown that the UFER hypothesis cannot be rejected, provided that instrumental variables are used to account for within‐regime correlation between explanatory variables and disturbances in the Markov…

部分重叠时间序列：商品期货波动动态的新模型AI 解读

Abstract In commodity futures markets, contracts with various delivery dates trade simultaneously. Applied researchers typically discard the majority of the data and form a single time series by choosing only one price observation per day. This strategy precludes a full understanding of these markets and can induce complicated nonlinear dynamics in the data. In this paper, I introduce the partially overlapping time series (POTS) model to model jointly all traded contracts.…

估值比率与长期股票价格可预测性AI 解读

Abstract Using annual data for 1872–1997, this paper re‐examines the predictability of real stock prices based on price–dividend and price–earnings ratios. In line with the extant literature, we find significant evidence of increased long‐horizon predictability; that is, the hypothesis that the current value of a valuation ratio is uncorrelated with future stock price changes cannot be rejected at short horizons but can be rejected at longer horizons based on bootstrapped…

股票收益建模与预测：利用期货信息、区制转换和国际溢出AI 解读

Abstract This paper proposes a vector equilibrium correction model of stock returns that exploits the information in the futures market, while allowing for both regime‐switching behaviour and international spillovers across stock market indices. Using data for three major stock market indices since 1989, we find that: (i) in sample, our model outperforms several alternative models on the basis of standard statistical criteria; (ii) in out‐of‐sample forecasting, our model…

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互补自动建模方法的比较：RETINA 与 PcGetsAI 解读

In Perez-Amaral, Gallo, and White (2003, Oxford Bulletin of Economics and Statstics 65, 821–838), the authors proposed an automatic predictive modeling tool called relevant transformation of the inputs network approach (RETINA). It is designed to embody flexibility (using nonlinear transformations of the predictors of interest), selective search within the range of possible models, control of collinearity, out-of-sample forecasting ability, and computational simplicity. In…

金融波动率建模中的自动推断与学习AI 解读

This paper uses the specific-to-general methodological approach that is widely used in science, in which problems with existing theories are resolved as the need arises, to illustrate a number of important developments in the modeling of univariate and multivariate financial volatility. Some of the difficulties in analyzing time-varying univariate and multivariate conditional volatility and stochastic volatility include the number of parameters to be estimated and the…

利用子空间方法估计线性动态系统AI 解读

This paper provides a survey on a class of so-called subspace methods whose main proponent is CCA proposed by Larimore (1983, Proceedings of the 1983 American Control Conference 2 ). Because they are based on regressions these methods for the estimation of ARMAX systems are attractive as a result of their conceptual simplicity and their numerical advantages as compared to traditional estimators based on criterion optimization. Under the assumption of correct specification…

稳健协方差矩阵估计：长记忆与反持续性修正的 HAC 估计AI 解读

Smoothed nonparametric estimates of the spectral density matrix at zero frequency have been widely used in econometric inference, because they can consistently estimate the covariance matrix of a partial sum of a possibly dependent vector process. When elements of the vector process exhibit long memory or antipersistence such estimates are inconsistent. We propose estimates which are still consistent in such circumstances, adapting automatically to memory parameters that can…

非平衡时间序列数据的非参数推断AI 解读

This paper is concerned with the practical problem of conducting inference in a vector time series setting when the data are unbalanced or incomplete. In this case, one can work with only the common sample, to which a standard HAC/bootstrap theory applies, but at the expense of throwing away data and perhaps losing efficiency. An alternative is to use some sort of imputation method, but this requires additional modeling assumptions, which we would rather avoid. We show how…

无限阶向量自回归的自动推断AI 解读

Infinite order vector autoregressive (VAR) models have been used in a number of applications ranging from spectral density estimation, impulse response analysis, and tests for cointegration and unit roots, to forecasting. For estimation of such models it is necessary to approximate the infinite order lag structure by finite order VARs. In practice, the order of approximation is often selected by information criteria or by general-to-specific specification tests. Unlike in…

方程系统同期因果次序的自动推断AI 解读

When Stephen Perez and I first began our Monte Carlo studies of the efficacy of general-to-specific search methodologies in 1995, we were keenly aware of our limited ability to capture the tacit knowledge of the skilled time-series econometrician operating in the London School of Economics (LSE) tradition (Hoover and Perez, 1999a, 1999b). Econometrics, we believed, was an art, and our algorithm was not intended to replace the artist. David Hendry and Hans-Martin Krolzig's…

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