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AR(1) 模型中的结构变化AI 解读

This paper investigates the consistency of the least squares estimators and derives their limiting distributions in an AR(1) model with a single structural break of unknown timing. Let β 1 and β 2 be the preshift and postshift AR parameter, respectively. Three cases are considered: (i) |β 1 | < 1 and |β 2 | < 1; (ii) |β 1 | < 1 and β 2 = 1; and (iii) β 1 = 1 and |β 2 | < 1. Cases (ii) and (iii) are of particular interest but are rarely discussed in the literature. Surprising…

如何估计接近单位根的自回归根AI 解读

A new model of near integration is formulated in which the local to unity parameter is identifiable and consistently estimable with time series data. The properties of the model are investigated, new functional laws for near integrated time series are obtained that lead to mixed diffusion processes, and consistent estimators of the localizing parameter are constructed. The model provides a more complete interface between I (0) and I (1) models than the traditional local to…

近季节整合AI 解读

This paper presents asymptotic results for the seasonal unit root test proposed by Hylleberg, Engle, Granger and Yoo (1990, Journal of Econometrics 44, 215–238) in a near integration context. The findings are important in that they provide the asymptotic power functions of the Hylleberg et al. statistics when the characteristic roots of a seasonal process are local to unity. These conclusions extend the available asymptotic results for this test and serve as a framework for…

不稳定自回归过程单位根检验的渐近分布AI 解读

UNIT ROOT TESTING has been developed through numerous papers since the work of Ž. Dickey and Fuller 1979 . The idea is to test the hypothesis that the differences of an observed time series do not depend on its levels, or in other words, the levels of the time series have a unit root that can be removed by differencing. While it is in general possible to have multiple unit roots, only the hypothesis of exactly one unit root is considered Ž. here. The available tests…

含单整时间序列的非线性回归AI 解读

An asymptotic theory is developed for nonlinear regression with integrated processes. The models allow for nonlinear effects from unit root time series and therefore deal with the case of parametric nonlinear cointegration. The theory covers integrable and asymptotically homogeneous functions. Sufficient conditions for weak consistency are given and a limit distribution theory is provided. The rates of convergence depend on the properties of the nonlinear regression…

自回归模型的自助法后再自助法预测区间AI 解读

The use of the Bonferroni prediction interval based on the bootstrap-after-bootstrap is proposed for autoregressive (AR) models. Monte Carlo simulations are conducted using a number of AR models including stationary, unit-root, and near-unit-root processes. The major finding is that the bootstrap-after-bootstrap provides a superior small-sample alternative to asymptotic and standard bootstrap prediction intervals. The latter are often too narrow, substantially…

解释时间序列数据中的长期与短期相互作用AI 解读

In this article, I extend the concept of separate cointegration to include the common-feature trend-cycle decomposition approach. This combined approach operates a reduction of the parameter space and permits the identification of the time series long- and short-run constituent factors. A careful assessment of their reciprocal relations, in turn, allows for the answering of potentially interesting economic questions. To show the usefulness of the proposed methodology, I…

协整向量线性约束的 Bootstrap 检验AI 解读

We consider a computer-intensive method for inference on cointegrating vectors in maximum likelihood cointegration analysis. Simulation studies show that the size distortion for the asymptotic likelihood ratio test can be considerable for small samples. Itis demonstrated that a parametric bootstrap frequently results in a nearly exact α-level test. Furthermore, response surface regression is used to examine small-sample properties of the asymptotic test. In particular, using…

生产中的准固定投入与长期均衡：协整分析AI 解读

Abstract This paper proposes a cointegration approach to testing the validity long‐run equilibrium in production, where capital and labour are taken as quasi‐fixed inputs. Previous studies consider only capital as the quasi‐fixed input and do not take account of the time series properties of the variables, assuming implicitly that they are stationary. The canonical cointegrating regressions (CCR) procedure is employed to test for cointegration in both the single‐equation and…

In this paper we propose a sequential testing procedure to determine the order of differencing in seasonally observed time series processes, which builds upon existing approaches developed for nonseasonal series. We allow for the possible presence of multiple unit roots at both the zero and seasonal frequencies of the data. Multiple seasonal unit roots can be useful in circumstances where one does not wish to take logarithms of the data‐set at hand. Multiple unit roots at…

This paper proposes a residual-based Lagrange multiplier (LM) test for a null that the individual observed series are stationary around a deterministic level or around a deterministic trend against the alternative of a unit root in panel data. The tests which are asymptotically similar under the null, belong to the locally best invariant (LBI) test statistics. The asymptotic distributions of the statistics are derived under the null and are shown to be normally distributed.…

I(2) 系统中的混合正态性与辅助性AI 解读

This paper studies asymptotic likelihood inference on cointegration parameters in systems integrated of order two. We start with so-called triangular systems and then extend the analysis to vector autoregressions. We show that even when all unit root restrictions have been imposed, the asymptotic observed information is not (locally) ancillary, which implies that the log-likelihood ratio is not locally asymptotically mixed normal. The results are applied to inference on…

含未知 I(0)、I(1) 与 I(2) 混合成分的向量自回归AI 解读

This paper develops a new estimation method for nonstationary vector autoregressions (VAR's) with unknown mixtures of I (0), I (1), and I (2) components. The method does not require prior knowledge on the exact number and location of unit roots in the system. It is, therefore, applicable for VAR's with any mixture of I (0), I (1), and I (2) variables, which may be cointegrated in any form. The limit theory for the stationary component of our estimator is still normal,…

摘要暂缺

营销组合变量具有不同长期与短期效应的动态多项 Probit 品牌选择模型AI 解读

Abstract In this paper we propose a dynamic multinomial probit model in order to estimate the long‐run and short‐ run effects of marketing mix variables on brand choice. The latent variables, which contain the unobserved perceived utilities, follow a first‐order vector error correction autoregressive process of order 1 with current and lagged explanatory variables. The unrestricted autoregressive parameter matrix concerns the intertemporal correlation in perceived utilities…

日度汇率行为与货币风险对冲AI 解读

Abstract We construct models which enable a decision maker to analyse the implications of typical time series patterns of daily exchange rates for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy‐tailed disturbance densities) are investigated in relation to the hedging strategies. Consequently, we can make a…

含结构突变的VAR过程的协整秩检验AI 解读

Tests for the cointegrating rank of a vector autoregressive process are considered that allow for possible exogenous shifts in the mean of the data-generation process. The break points are assumed to be known a priori. It is proposed to estimate and remove the deterministic terms such as mean, linear-trend term, and a shift in a first step. Then systems cointegration tests are applied to the adjusted series. The resulting tests are shown to have known limiting null…

协整关系检验的 Bartlett 修正因子AI 解读

Likelihood ratio tests for restrictions on cointegrating vectors are asymptotically χ 2 distributed. For some values of the parameters this asymptotic distribution does not give a good approximation to the finite sample distribution. In this paper we derive the Bartlett correction factor for the likelihood ratio test and show by some simulation experiments that it can be a useful tool for making inference.

函数型中心极限定理与随机积分的弱收敛（一）AI 解读

This paper gives new conditions for the functional central limit theorem, and weak convergence of stochastic integrals, for near-epoch-dependent functions of mixing processes. These results have fundamental applications in the theory of unit root testing and cointegrating regressions. The conditions given improve on existing results in the literature in terms of the amount of dependence and heterogeneity permitted, and in particular, these appear to be the first such…

近单位根、协整与利率期限结构AI 解读

The term structure of interest rates is often modelled as a cointegrated system with the yield spreads forming the cointegrating vectors. Testing whether the yield spreads span the cointegration space is problematic because conventional tests on the cointegration vectors tend to overreject when the largest autoregressive roots deviate from unity, as is likely to be the case with interest rates. A new test that is robust w.r.t. deviations from the exact unit root assumption…

摘要暂缺

I(2) 系统中两阶段估计量的渐近效率AI 解读

This paper derives the distribution of the two stage estimator of cointegrating parameters in I (2) systems, abbreviated 2SI2, under several assumptions regarding the drift of the process. The asymptotic distribution is compared with that of the maximum likelihood (ML) estimator derived in Johansen (1997, Scandinavian Journal of Statistics 24, 433–462). It is found that the two asymptotic distributions are the same, thus showing that the 2SI2 estimator is asymptotically as…

单位根检验有助于选择预测模型AI 解读

We study the usefulness of unit-root tests as diagnostic tools for selecting forecasting models. Difference-stationary and trend-stationary models of economic and financial time series often imply very different predictions, so deciding which model to use is tremendously important for applied forecasters. We consider three strategies: always difference the data, never difference, or use a unit-root pretest. We characterize the predictive loss of these strategies for the…

近单位根情形下单变量冲击响应的置信区间AI 解读

This article proposes a method for constructing confidence intervals for the impulse response function of a univariate time series with a near unit root. These confidence intervals control coverage, whereas the existing techniques can all have coverage far below the nominal level. I apply the proposed method to several measures of U.S. aggregate output.