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误设下均值与方差断点的最小二乘估计及检验AI 解读

In this paper we investigate the consequences of misspecification on the large sample properties of change-point estimators and the validity of tests of the null hypothesis of linearity versus the alternative of a structural break. Specifically this paper concentrates on the interaction of structural breaks in the mean and variance of a time series when either of the two is omitted from the estimation and inference procedures. Our analysis considers the case of a break in…

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用于诊断相关结果线性模型正态误差的 Cholesky 残差AI 解读

Despite the widespread popularity of linear models for correlated outcomes (e.g., linear mixed models and time series models), distribution diagnostic methodology remains relatively underdeveloped in this context. In this article we present an easy-to-implement approach that lends itself to graphical displays of model fit. Our approach involves multiplying the estimated marginal residual vector by the Cholesky decomposition of the inverse of the estimated marginal variance…

空间相关数据的贝叶斯因子分析及地区物质贫困指数构建AI 解读

This article describes a Bayesian hierarchical model for factor analysis of spatially correlated multivariate data. The first level specifies, for each area on a map, the distribution of a vector of manifest variables conditional on an underlying latent factor; at the second level, the area-specific latent factors have a joint distribution that incorporates spatial correlation. The framework allows for both marginal and conditional (e.g., conditional autoregressive)…

VAR(1) 过程的 I(2) 模型：问题 04.3.1AI 解读

This problem discusses an I (2) model in the VAR(1) case. The I (2) representation theorem of Johansen (1992) (JRT) holds also for VAR(1) processes. The I (2) model for VAR( k ) processes has been discussed for k ≥ 2 in Johansen (1996, Ch. 9; 1997). We here discuss a parametrization for the I (2) case of VAR(1) that differs from the VAR( k ) model.

关于“复单位根与商业周期：它们真实吗？”的札记AI 解读

This note discusses the concept of aliasing and its use in the paper by H.J. Bierens (2001, Econometric Theory 17, 962–983), in the framework of a second-order autoregression with complex unit roots. The condition on the range of the angular frequency φ is extended to φ ∈ (0,2π) − {π}.Financial support from UPV-EHU research project 9/UPV-00038.321-13503/2001, Basque Government project PI9970 and Ministerio de ciencia y tecnología BEC2003-02028 is gratefully acknowledged.

“积分时间序列非线性变换的渐近理论”补遗AI 解读

Typically in time series econometrics, for many statistics, a rescaled integrated process is replaced with Brownian motion to find the limit distribution. For averages of functions of a rescaled integrated process, Park and Phillips have shown that this remains true for functions with poles, as long as a sample-size-dependent region around the poles is excluded from consideration, the function is locally integrable, and some other regularity conditions hold. In this…

同时建模条件异方差与尺度变化AI 解读

This paper proposes a semiparametric approach by introducing a smooth scale function into the standard generalized autoregressive conditional heteroskedastic (GARCH) model so that conditional heteroskedasticity (CH) and scale change in financial returns can be modeled simultaneously. An estimation procedure combining kernel estimation of the scale function and maximum likelihood estimation of the GARCH parameters is proposed. Asymptotic properties of the estimators are…

长记忆协变量过程下的回归模型拟合检验AI 解读

This paper proposes some tests for fitting a regression model with a long memory covariate process and with errors that form either a martingale difference sequence or a long memory moving average process, independent of the covariate. The tests are based on a partial sum process of the residuals from the fitted regression. The asymptotic null distribution of this process is discussed in some detail under each set of these assumptions. The proposed tests are shown to have…

分数差分参数极大似然估计量的分布展开AI 解读

The maximum likelihood estimator (MLE) of the fractional difference parameter in the Gaussian ARFIMA(0,d,0) model is well known to be asymptotically N(0,6/π2). This paper develops asymptotic expansions to the distribution of this statistic under the assumption of a known unit variance. The correction term for the density is shown to be independent of d, so that the MLE is second-order pivotal for d. This feature of the MLE is unusual, at least in time series contexts.…

面板协整：合并时间序列检验的渐近与有限样本性质及购买力平价应用AI 解读

We examine properties of residual-based tests for the null of no cointegration for dynamic panels in which both the short-run dynamics and the long-run slope coefficients are permitted to be heterogeneous across individual members of the panel. The tests also allow for individual heterogeneous fixed effects and trend terms, and we consider both pooled within dimension tests and group mean between dimension tests. We derive limiting distributions for these and show that they…

利用加速重要性采样器模拟估计动态离散选择面板模型AI 解读

With long time series for dynamic discrete choice panel models, the Geweke--Hajivassiliou--Keane sampler has been observed to have large biases and root-mean-square errors. The Richard--Zhang accelerated importance sampler is extended for the simulation estimation of such models. It is demonstrated to be adequate and can improve upon the Geweke--Hajivassiliou--Keane sampler for lengthy time-series panels by Monte Carlo means. Empirical applications of the proposed method on…

非线性加性自回归模型的滞后识别AI 解读

Summary We propose a lag selection method for non-linear additive autoregressive models that is based on spline estimation and the Bayes information criterion. The additive structure of the autoregression function is used to overcome the ‘curse of dimensionality’, whereas the spline estimators effectively take into account such a structure in estimation. A stepwise procedure is suggested to implement the method proposed. A comprehensive Monte Carlo study demonstrates good…

半参数非线性时间序列的模型选择AI 解读

Summary Semiparametric time series regression is often used without checking its suitability, resulting in an unnecessarily complicated model. In practice, one may encounter computational difficulties caused by the curse of dimensionality. The paper suggests that to provide more precise predictions we need to choose the most significant regressors for both the parametric and the nonparametric time series components. We develop a novel cross-validation-based model selection…

非高斯 Ornstein–Uhlenbeck 随机波动过程的贝叶斯推断AI 解读

Summary We develop Markov chain Monte Carlo methodology for Bayesian inference for non-Gaussian Ornstein–Uhlenbeck stochastic volatility processes. The approach introduced involves expressing the unobserved stochastic volatility process in terms of a suitable marked Poisson process. We introduce two specific classes of Metropolis–Hastings algorithms which correspond to different ways of jointly parameterizing the marked point process and the model parameters. The performance…

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The asymptotic refinements attributable to the block bootstrap for time series are not as large as those of the nonparametric iid bootstrap or the parametric bootstrap. One reason is that the independence between the blocks in the block bootstrap sample does not mimic the dependence structure of the original sample. This is the join-point problem. In this paper, we propose a method of solving this problem. The idea is not to alter the block bootstrap. Instead, we alter the…

长期货币中性与长跨度回归AI 解读

Abstract A prominent test of long‐run monetary neutrality (LRMN) involves regressing long‐horizon output growth on long‐horizon money growth. We obtain limited support for LRMN with this test in long‐annual Australian, Canadian, UK and US samples. Although empirical confidence intervals yield evidence in favour of LRMN, Monte Carlo experiments reveal the power of this test is near its size. Thus, this test is unlikely to detect important deviations from LRMN. These problems…

未知阶自回归过程的最优多步预测器选择AI 解读

We consider the problem of choosing the optimal (in the sense of mean-squared prediction error) multistep predictor for an autoregressive (AR) process of finite but unknown order. If a working AR model (which is possibly misspecified) is adopted for multistep predictions, then two competing types of multistep predictors (i.e., plug-in and direct predictors) can be obtained from this model. We provide some interesting examples to show that when both plug-in and direct…

非平稳与单位根情形下的局部Whittle估计AI 解读

Asymptotic properties of the local Whittle estimator in the nonstationary case (d>½) are explored. For ½ 1 and when the process has a polynomial trend of order α>½, the estimator is shown to be inconsistent and to converge in probability to unity.

GARCH 过程参数估计量的效率AI 解读

We propose a class of estimators for the parameters of a GARCH(p,q) sequence. We show that our estimators are consistent and asymptotically normal under mild conditions. The quasi-maximum likelihood and the likelihood estimators are discussed in detail. We show that the maximum likelihood estimator is optimal. If the tail of the distribution of the innovations is polynomial, even a quasi-maximum likelihood estimator based on exponential density performs better than the…