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多变量不可观测成分模型的季节整合与协整检验AI 解读

Abstract This paper considers tests of seasonal integration and cointegration for multivariate unobserved component models. First, the locally best invariant (LBI) test of the null hypothesis of a deterministic seasonal pattern against the alternative of seasonal integration is derived for a model with Gaussian i.i.d. disturbances and deterministic trend. Then the null hypothesis of seasonal cointegration is considered and a test for common nonstationary components at the…

广义长记忆过程、协整检验失效与汇率动态AI 解读

Abstract This paper presents evidence that the equilibrium relationship in a system of nominal exchange rates is best described as a stationary GARMA process. The implementation of the GARMA methodology helps explain conflicting and puzzling results from the use of linear cointegration and fractional cointegration methods. Furthermore, we use Monte Carlo analysis to document problems with standard cointegration tests when the attraction process is distributed as a long…

已实现方差与市场微观结构噪声AI 解读

We study market microstructure noise in high-frequency data and analyze its implications for the realized variance (RV) under a general specification for the noise. We show that kernel-based estimators can unearth important characteristics of market microstructure noise and that a simple kernel-based estimator dominates the RV for the estimation of integrated variance (IV). An empirical analysis of the Dow Jones Industrial Average stocks reveals that market microstructure…

非线性平滑转换误差修正模型中的协整检验AI 解读

This paper proposes a new testing procedure to detect the presence of a cointegrating relationship that follows a globally stationary smooth transition process. In the context of nonlinear smooth transition error correction models (ECMs) we provide two simple operational versions of the tests. First, we obtain the associated nonlinear ECM-based tests. Second, we derive the nonlinear analogue of the residual-based test for cointegration in linear models. We derive the…

异质面板平稳性的均值组检验AI 解读

This paper proposes a panel-based mean group test for the null of stationarity against the alternative of unit roots in the presence of both heterogeneity across cross-section units and serial correlation across time periods. Using both sequential and joint asymptotic analyses the proposed test statistic is shown to be distributed as standard normal under the null for large N (number of groups) and large T (number of time periods). Monte Carlo results support the use of…

含水平突变的 VAR 断点日期估计及其协整检验应用AI 解读

In testing for the cointegrating rank of a vector autoregressive process it is important to take into account level shifts that have occurred in the sample period. Therefore the properties of estimators of the time period where a shift has taken place are investigated. The possible structural break is modeled as a simple shift in the level of the process. Two alternative estimators for the break date are considered, and their asymptotic properties are derived under various…

线性过程非线性变换下的单位根检验AI 解读

We consider the unit root testing problem with errors being nonlinear transforms of linear processes. When the linear processes are long-range dependent, the asymptotic distributions in the unit root testing problem are shown to be functionals of Hermite processes. Functional limit theorems for nonlinear transforms of linear processes are established. The obtained results differ sharply from the classical cases where asymptotic distributions are functionals of Brownian…

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利用横截面估计协整关系AI 解读

This paper specifies a regression model describing cointegrating relations between variables at the individual level. The models considered allow for homogeneous cointegration and heterogeneous cointegration. In both cases correlation between the regressors and the regression error can occur through aggregate shocks that are common to all cross-section units so the condition about the regressors being independent of the regression error is not imposed. It is shown that the…

存在趋势突变时基于残差的块自助法单位根检验AI 解读

In this paper, we build on the "residual-based block bootstrap unit root testing" (RBB) method, proposed by Paparoditis and Politis (2003). We develop an extension of this method to allow for bootstrap unit root testing in a model defined by an augmented Dickey--Fuller (ADF) equation that contains linear combinations of arbitrary dummies as its deterministic part. The main application of such an extension is that it allows for unit root testing in the presence of arbitrary…

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允许横截面依赖的购买力平价面板平稳性检验AI 解读

We investigate the purchasing power parity (PPP) hypothesis for a group of 17 countries using a new panel-based test of stationarity that allows for arbitrary cross-sectional dependence. We treat the short-run time series dynamics nonparametrically and thus avoid the need to fit separate, and potentially misspecified, models for the individual series. The statistic is simple to compute and uses standard normal critical values, even in the presence of a wide range of…

永久与暂时创新切换的不可观测成分模型AI 解读

This article proposes an unobserved-component model in which component innovations are governed by a state variable that follows a Markov process. The proposed model is capable of describing both stationary and nonstationary behaviors of real data and allows the random innovations to have permanent and transitory effects in different periods. The model also permits a deterministic trend with or without breaks and hence bridges the gap between the trend-stationary model and a…

对强序列相关稳健的高功效趋势函数检验：普雷维什—辛格假说的应用AI 解读

We propose tests for hypotheses on the parameters of the deterministic trend function of a univariate time series. The tests do not require knowledge of the form of serial correlation in the data, and they are robust to strong serial correlation. The data can contain a unit root and still have the correct size asymptotically. The tests that we analyze are standard heteroscedasticity autocorrelation robust tests based on nonparametric kernel variance estimators. We analyze…

取值范围受限的单位根时间序列AI 解读

This paper develops an asymptotic theory for integrated and near-integrated time series whose range is constrained in some ways. Such a framework arises when integration and cointegration analyses are applied to time series that are bounded either by construction or because they are subject to control. The asymptotic properties of some commonly used integration tests are discussed; the bounded unit root distribution is introduced to describe the limiting distribution of the…

含单位根的部分线性模型AI 解读

This paper studies the asymptotic properties of a nonstationary partially linear regression model. In particular, we allow for covariates to enter the unit root (or near unit root) model in a nonparametric fashion, so that our model is an extension of the semiparametric model analyzed in Robinson (1988, Econometrica 56, 931–954). It is proved that the autoregressive parameter can be estimated at rate N even though part of the model is estimated nonparametrically. Unit root…

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利用二阶整合协整技术检验购买力平价AI 解读

Abstract This paper contributes to the empirical literature on the purchasing power parity (PPP) over the post‐Bretton Woods period by providing a time‐series based interpretation of the controversial evidence characterizing the dynamics of real exchange rates. It is shown that the persistence of deviations from the PPP between a set of European countries and the United States may be empirically attributed to the presence of I(2) stochastic trends in prices using Consumer…

含平稳外生回归变量的协整检验：分布近似AI 解读

Abstract The distribution of a functional of two correlated vector‐Brownian motions is approximated by a Gamma distribution. This functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for cointegration tests based on a non‐Gaussian likelihood. The approximation is accurate, fast and easy to use in comparison with both tabulated critical values and simulated p ‐values. The proposed procedure is applied to a UK…

冲击矩阵两种表达式的等价性AI 解读

This note gives a proof of the equivalence between two expressions of the moving-average impact matrix; one is given by Johansen (1995, Likelihood-Based Inference in Cointegrated Vector Autoregressive Models ) and Paruolo (1997, Econometric Theory 13, 79–118), and the other appears in Phillips (1998, Journal of Econometrics 83, 21–56) as the limit of the impulse response function. Because these expressions are shown to be parametrically equivalent, we can make the same…

含单位根与协整的短面板向量自回归：估计与推断AI 解读

This paper considers estimation and inference in panel vector autoregressions where (i) the individual effects are either random or fixed, (ii) the time-series properties of the model variables are unknown a priori and may feature unit roots and cointegrating relations, and (iii) the time dimension of the panel is short and its cross-sectional dimension is large. Generalized method of moments (GMM) and quasi maximum likelihood (QML) estimators are obtained and compared in…