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分数单位根的有效 Wald 检验AI 解读

In this article we introduce efficient Wald tests for testing the null hypothesis of the unit root against the alternative of the fractional unit root. In a local alternative framework, the proposed tests are locally asymptotically equivalent to the optimal Robinson Lagrange multiplier tests. Our results contrast with the tests for fractional unit roots, introduced by Dolado, Gonzalo, and Mayoral, which are inefficient. In the presence of short range serial correlation, we…

存在截面依赖时的简单面板单位根检验AI 解读

Abstract A number of panel unit root tests that allow for cross‐section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the cross‐dependence of the series before standard panel unit root tests are applied to the transformed series. In this paper we propose a simple alternative where the standard augmented Dickey–Fuller (ADF) regressions are augmented with the cross‐section averages of lagged levels and…

非平稳面板的子抽样假设检验：汇率与股票价格应用AI 解读

Abstract This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross‐sectionally correlated, and cross‐sectionally cointegrated. The subsampling approach provides approximations to the finite sample distributions of the tests without estimating nuisance parameters. The tests include panel unit root and cointegration tests as special cases. The number of cross‐sectional units is assumed to be finite and that of time‐series observations…

意大利内部迁移的长期趋势：存在个体依赖的面板协整研究AI 解读

Abstract The objective of this paper is to examine the long‐run determinants of internal migrations from southern Italy. In order to accomplish this task, the paper develops a bootstrap test for panel cointegration analysis with dependent units. Monte Carlo simulations show that the test, based on the Continuous‐Path Block bootstrap, has good power and size properties and is robust to both short‐ and long‐run dependence across units. The empirical analysis points to income…

面板单位根检验与空间依赖AI 解读

Abstract This paper studies the performance of panel unit root tests when spatial effects are present that account for cross‐section correlation. Monte Carlo simulations show that there can be considerable size distortions in panel unit root tests when the true specification exhibits spatial error correlation. These tests are applied to a panel data set on net real income from the 1000 largest French communes observed over the period 1985–1998. Copyright © 2007 John Wiley &…

面板单位根检验中截面依赖的动态因子提取AI 解读

Abstract Recently, considerable emphasis has been placed on the problems arising out of cross‐sectional dependence in panel unit root tests. This paper adopts the factor‐based cross‐sectional dependence paradigm of Bai and Ng ( 2005 ) but suggests alternative factor extraction methods. Some theoretical results for these methods are provided. Further, a detailed Monte Carlo study of these methods for multiple and persistent factors is undertaken. It is found that results are…

面板数据模型中的异质性与截面依赖：理论与应用专题导言AI 解读

Abstract The papers included in this special issue are primarily concerned with the problem of cross section dependence and heterogeneity in the analysis of panel data models and their relevance in applied econometric research. Cross section dependence can arise due to spatial or spill over effects, or could be due to unobserved (or unobservable) common factors. Much of the recent research on non‐stationary panel data have focussed on this problem. It was clear that the…

非线性协整型模型中的非参数估计AI 解读

We derive an asymptotic theory of nonparametric estimation for a time series regression model Zt=f(Xt)+Wt, where {Xt} and {Zt} are observed nonstationary processes and {Wt} is an unobserved stationary process. In econometrics, this can be interpreted as a nonlinear cointegration type relationship, but we believe that our results are of wider interest. The class of nonstationary processes allowed for {Xt} is a subclass of the class of null recurrent Markov chains. This…

弱外生性下的永久—暂时分解AI 解读

This note shows that the orthogonal shocks obtained by imposing a recursive structure on the contemporaneous impacts of the errors in a vector-error correction model (VECM) are related to the orthogonal permanent-transitory shocks in a Gonzalo and Ng (2001, Journal of Economic Dynamics and Control 25, 1527–1546) decomposition provided some of the variables in the system are weakly exogenous. Specifically, when there are as many weakly exogenous variables as common trends and…

异质面板中的共同随机趋势与聚合AI 解读

In nonstationary heterogeneous panels where the number of units is finite and where each unit cointegrates, a large number of conditions needs to be satisfied for cointegration to be preserved in the aggregate relationship. In reality, the conditions most likely will not hold. This paper takes a closer look at what happens when the conditions are violated. In this case, the question of whether an aggregate relationship is observationally equivalent to a cointegrating…

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协同结构突变（Co-breaking）AI 解读

This article has two aims. First, we provide a synopsis of the literature on co-breaking that has developed in several, seemingly disconnected, strands. We establish a consistent terminology, collect theoretical results, delimit co-breaking to cointegration and common features, and review recent contributions to co-breaking regressions and the budding analysis of co-breaking rank. Second, we present new results in the field, particularly, on the importance of co-breaking for…

协整自回归模型中的共同依赖周期AI 解读

Abstract This paper investigates codependent cycles, i.e., transitory components that react to common stimuli in a similar, although not necessarily synchronous fashion. Unlike previous studies, the methodology of this paper allows FIML estimation of the restricted VAR/VECM and therefore the extraction of the unobserved codependent cyclical components via a Beveridge‐Nelson decomposition. It is further shown that the number and order of cofeature combinations that yield the…

分数协整子空间的半参数估计AI 解读

We consider a common-components model for multivariate fractional cointegration, in which the $s\geq1$ components have different memory parameters. The cointegrating rank may exceed 1. We decompose the true cointegrating vectors into orthogonal fractional cointegrating subspaces such that vectors from distinct subspaces yield cointegrating errors with distinct memory parameters. We estimate each cointegrating subspace separately, using appropriate sets of eigenvectors of an…

Breitung 面板单位根检验及其局部渐近功效AI 解读

This note analyzes the local asymptotic power properties of a test proposed by Breitung (2000, in B. Baltagi (ed.), Nonstationary Panels, Panel Cointegration, and Dynamic Panels). We demonstrate that the Breitung test, like many other tests (including point optimal tests) for panel unit roots in the presence of incidental trends, has nontrivial power in neighborhoods that shrink toward the null hypothesis at the rate of n−1/4T−1 where n and T are the cross-section and…

针对分数协整的残差型 LM 检验AI 解读

Nonstationary integrated time series may be fractionally cointegrated. Here we propose a test for the null hypothesis of no cointegration. It builds on the asymptotically normal Lagrange multiplier (LM) test against fractional alternatives applied to single equation residuals. It is shown that the LM test applied naively to residuals from a static level regression does not retain asymptotic normality. However, when the LM statistic is employed with residuals from a…

随机单位根模型AI 解读

This paper develops a dynamic switching model, with a random walk and a stationary regime, where the time spent in the random walk regime is endogeneously predetermined. More precisely, we assume that the process is recursively defined by Y t = μ + Y t −1 + ε t , with stochastic probability π rw ( Y t −1 ), Y t = μ + ε t , with stochastic probability 1 − π rw ( Y t −1 ), where (ε t ) is a strong white noise and π rw is a nondecreasing function. Then, the dynamics of the…

广泛依赖误差下平稳性对趋势与单位根的检验AI 解读

We suggest a rescaled variance type of test for the null hypothesis of stationarity against deterministic and stochastic trends (unit roots). The deterministic trend can be represented as a general function in time (e.g., nonparametric, linear, or polynomial regression, abrupt changes in the mean). Under the null, the asymptotic distribution of the test is derived, and critical values are tabulated for a wide class of stationary processes with short, long, or negative…

非平稳与协整 ARMAX 系统的识别和估计AI 解读

This paper extends current theory on the identification and estimation of vector time series models to nonstationary processes. It examines the structure of dynamic simultaneous equations systems or ARMAX processes that start from a given set of initial conditions and evolve over a given, possibly infinite, future time horizon. The analysis proceeds by deriving the echelon canonical form for such processes. The results are obtained by amalgamating ideas from the theory of…

库存与销售多项式协整下线性二次模型的重新解释AI 解读

Abstract Estimation of the linear quadratic model, the workhorse of the inventory literature, traditionally takes inventories and sales to be first‐difference stationary series, and the ratio of the two variables to be stationary. However, these assumptions do not always match the properties of the data for the last two decades in the United States. We propose a model that allows for the non‐stationary characteristics of the data, using polynomial cointegration. We show that…

最优分数阶 Dickey–Fuller 检验AI 解读

This article analyzes the fractional Dickey-Fuller (FDF) test for unit roots recently introduced by Dolado, Gonzalo and Mayoral (2002 Econometrica 70, 1963--2006) within a more general setup. These authors motivate their test with a particular analogy with the Dickey-Fuller test, whereas we interpret the FDF test as a class of tests indexed by an auxiliary parameter, which can be chosen to maximize the power of the test. Within this framework, we investigate optimality…

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