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不同观测频率时间序列中的协整向量估计AI 解读

We discuss the effects of temporal aggregation on the estimation of cointegrating vectors and on testing linear restrictions on this vector. We adopt a discrete time approach and demonstrate, in contrast with the findings of Chambers (2003, Econometric Theory 19, 49–77), who adopts a continuous time approach, that in some situations, when the regressand must be aggregated, systematic sampling is preferable to average sampling for estimation purposes. Like Chambers, we show…

含单位根动态回归模型中最小二乘估计量的矩近似AI 解读

To find approximations for bias, variance and mean-squared error of least-squares estimators for all coefficients in a linear dynamic regression model with a unit root, we derive asymptotic expansions and examine their accuracy by simulation. It is found that in this particular context useful expansions exist only when the autoregressive model contains at least one non-redundant exogenous explanatory variable. Surprisingly, the large-sample and small-disturbance asymptotic…

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动态似不相关协整回归AI 解读

We propose the parametric Dynamic Seemingly Unrelated Regression (DSUR) estimator for simultaneous estimation of multiple cointegrating regressions. DSUR is efficient when the equilibrium errors are correlated across equations and is applicable for panel cointegration estimation in environments where the cross section is small relative to the available time series. We study the asymptotic and small sample properties of the DSUR estimator for both heterogeneous and…

马尔可夫状态切换向量误差修正模型中的货币政策AI 解读

Monetary policy vector autoregressions (VARs) typically presume stability of the long-run outcomes. We introduce the possibility of switches in the long-run equilibrium in a cointegrated VAR by allowing both the covariance matrix and weighting matrix in the error-correction term to switch. We find that monetary policy alternates between sustaining long-run growth and disinflationary regimes. Allowing state changes can also help explain the price puzzle and justify the use of…

日本低利率政策下货币需求估计的总量与分项分析悖论AI 解读

Abstract We use Japanese aggregate and disaggregate money demand data to show that conflicting inferences can arise. The aggregate data appears to support the contention that there was no stable money demand function. The disaggregate data shows that there was a stable money demand function. Neither was there any indication of the presence of a liquidity trap. Possible sources of discrepancy are explored and the diametrically opposite results between the aggregate and…

自回归时间序列单位根检验的自助法AI 解读

The theory developed for bootstrapping unit root tests in an autoregressive (AR) context has been concerned mainly with the large-sample behavior of the methods proposed under the assumption that the null hypothesis is true. No results exist for the relative performance and the power behavior of the bootstrap methods under the alternative. This article studies the properties of different AR bootstrap schemes of the unit root hypothesis, including a new proposal based on…

用信息准则选择协整秩的蒙特卡洛研究AI 解读

We conduct Monte Carlo simulations to evaluate the use of information criteria (Akaike information criterion [AIC] and Schwarz information criterion [SC]) as an alternative to various probability-based tests for determining cointegrating rank in multivariate analysis. First, information criteria are used to determine cointegrating rank given the lag order in a levels vector autoregression. Second, information criteria are used to determine the lag order and cointegrating…

含 I(2) 变量的 VAR 协整参数约束检验札记AI 解读

We give a brief introduction to the vector autoregressive model for cointegrated I(2) variables and show how some plausible economic relations can be formulated in the I(2) framework in such a way that likelihood ratio tests for their validity are asymptotically χ2 distributed.The authors thank Paolo Paruolo for helpful comments and the ESF for financial support in the framework of the EMM network.

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…

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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…

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参数已知的潜在协整向量非平稳性检验的最优功效AI 解读

Theory often specifies a particular cointegrating vector among integrated variables, and testing for a unit root in the known cointegrating vector is often required. Although it is common to simply use a univariate test for a unit root for this test, it is known that this does not take into account all available information. We show here that in such testing situations, a family of tests with optimality properties exists. We use this to characterize the extent of the loss in…

可贸易品与非贸易品购买力平价的收敛速度AI 解读

This article estimates the speed of the adjustment coefficient in structural error-correction models. We use a system method for real exchange rates of traded and nontraded goods by combining a single-equation method with Hansen and Sargent's instrumental variables methods for linear rational expectations models. We apply these methods to a modified version of Mussa's model. Our results show that the half-lives of purchasing power parity deviations for the rates of traded…

马尔可夫转换模型能多好地描述实际经济周期？以同步性为例AI 解读

Abstract The objective of this paper is to evaluate the effectiveness of using a Markov switching model to measure the synchronization of business cycles. We use a Bayesian, Gibbs sampling approach to estimate a multivariate Markov switching model of GDP growth for several countries. We look for evidence of synchronization across countries in the sense of common Markov states, covariance of impulses and a long‐run co‐integrating relationship. We then use the fitted data…

Cointegration is studied for a non‐linear autoregressive process characterized by discontinuous and regime‐dependent equilibrium or error correction. Here the disequilibrium, as measured by the norm of linear ‘stable’ or cointegrating relations, determines the regime and hence the equilibrium correction of the process. Importantly, switching between regimes is thereby allowed to be caused endogenously. The transition function may be either observable as in, e.g. threshold…

协整误差序列相关时ADL与动态OLS协整估计量的比较AI 解读

This paper deals with a family of parametric, single-equation cointegration estimators that arise in the context of the autoregressive distributed lag (ADL) models. We particularly focus on a subclass of the ADL models, those that do not involve lagged values of the dependent variable, referred to as augmented static (AS) models. The general ADL and the restricted AS models give rise to the ADL and dynamic OLS (DOLS) estimators, respectively. The relative performance of…