论文检索

日内期货与指数收益的门槛误差修正模型AI 解读

Index-futures arbitragers only enter into the market if the deviation from the arbitrage relation is sufficiently large to compensate for transaction costs and associated interest rate and dividend risks. We estimate the band around the theoretical futures price within which arbitrage is not profitable for most arbitragers, using a threshold autoregression model. Combining these thresholds with an error-correction model, we show that the impact of the mispricing error is…

摘要暂缺

非平稳自回归模型中残差序贯经验过程的弱收敛AI 解读

This paper establishes the weak convergence of the sequential empirical process $\hat{K}_n$ of the estimated residuals in nonstationary autoregressive models. Under some regular conditions, it is shown that $\hat{K}_n$ converges weakly to a Kiefer process when the characteristic polynomial does not include the unit root 1; otherwise $\hat{K}_n$ converges weakly to a Kiefer process plus a functional of stochastic integrals in terms of the standard Brownian motion. The latter…

结构不稳定性与库存的生产平滑模型AI 解读

The production-smoothing model of inventories implies that inventories, labor inputs, sales, and factor input prices are cointegrated if sales and factor prices are I(1) with one cointegrating vector for each state variable held. These propositions are tested in six nondurable-goods industries. All industries provide evidence of cointegration. Fewer quasi-fixed factors are found than previous research often assumed. Estimates of cointegrating vectors provide implausible…

协整系统中的结构变化检验AI 解读

This paper considers tests for structural change of the cointegrating vector and the adjustment vector in the error correction model with an unknown change point. This paper derives new tests for structural change, which are applicable to maximum likelihood estimation. Our tests for structural change of the cointegrating vector have the same nonstandard asymptotic distributions that have been found by Hansen (1992a, Journal of Business and Economic Statistics 10, 321–335).…

季节单位根的 Phillips–Perron 型检验AI 解读

In this paper we consider a semiparametric version of the test for seasonal unit roots suggested by Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The asymptotic theory is based on the analysis of a simple regression problem, and the results apply to tests at any given frequency in the range (0,π]. Monte Carlo simulations suggest that the test may have more power than the parametric test of Hylleberg et al. (1990). On the other hand, the…

单整向量自回归过程的参数化刻画AI 解读

This paper provides a polynomial factorization theorem that is then used to extend the characterization parts of the parametric representation theorems of Johansen (1992, Econometric Theory 8, 188–202) for vector autoregressive processes integrated of up to order 2. A characterization theorem is provided in the general case of an I ( d ) process. For the discussion of the complicated polynomial cointegration properties of such processes, the case of an I (3) process is…

非平稳 VAR 中脉冲响应与预测误差方差的渐近性质AI 解读

Estimated impulse responses and forecast error decompositions are shown to be inconsistent at long horizons in unrestricted VARs with some unit roots. Predictions from unrestricted VARs also do not converge to the optimal predictors over long forecast horizons. In contrast, reduced rank regressions produce impulse responses and forecast error variance estimates that are consistent and predictions that are asymptotically optimal, provided the cointegrating rank is correctly…

含 GARCH 误差的不稳定 ARMA 时间序列最大似然估计量的极限分布AI 解读

This paper investigates the maximum likelihood estimator (MLE) for unstable autoregressive moving-average (ARMA) time series with the noise sequence satisfying a general autoregressive heteroscedastic (GARCH) process. Under some mild conditions, it is shown that the MLE satisfying the likelihood equation exists and is consistent. The limiting distribution of the MLE is derived in a unified manner for all types of characteristic roots on or outside the unit circle and is…

摘要暂缺

误差修正模型的自适应估计AI 解读

This paper considers adaptive maximum likelihood estimation of reduced rank vector error correction models. It is shown that such models can be asymptotically efficiently estimated even in the absence of knowledge of the shape of the density function of the innovation sequence, provided that this density is symmetric. The construction of the estimator, involving the nonparametric kernel estimation of the unknown density using the residuals of a consistent preliminary…

摘要暂缺

存在序列相关时的趋势函数假设检验AI 解读

Test statistics are proposed for testing hypotheses about the parameters of the deterministic trend function of a univariate time series. The tests are valid for general forms of serial correlation in the errors and do not require estimates (parametric or nonparametric) of serial correlation parameters. The tests are valid for stationary and unit root errors. Allowable trend functions include linear polynomials of time that may have structural change. Asymptotic results are…

丹麦制造业出口价格与数量关系的建模AI 解读

This article develops a structural econometric model for Danish manufacturing exports. The cointegrating relations of the model are determined to be a markup pricing relation and an export demand relation, whereas the short-run structure shows pricing-to-market effects. Both long-run and short-run pricing relations are found to be empirically constant during a period of large exchange-rate variations. The model isolates the main interactions between the foreign-trade sector,…

无需估计序列相关参数的均值突变检验AI 解读

Tests for detecting a shift in the mean of univariate time series that do not require estimation of serial-correlation parameters are proposed. The statistics are valid whether the errors are stationary or have a unit root. The date of the shift may be known or unknown. The statics are based on a simple transformation of the data and are functions of partial sums of the data. These so-called partial sum statistics are shown to be asymptotically invariant to…

多元时间序列分析基础AI 解读

This study is devoted to the analysis of multivariate time series data. Such data might arise in business and economics, engineering, geophysical sciences, agriculture, and many other fields. The emphasis is on providing an account of the basic concepts and methods which are useful in analyzing such data. The book presupposes a familiarity with univariate time series as might be gained from one term of a graduate course, but it is otherwise self-contained. It covers the…

含 I(1) 与 I(2) 变量的典范协整回归与协整检验AI 解读

This paper introduces tests for the null of cointegration in the presence of I (1) and I (2) variables. These tests use residuals from Park's (1992, Econometrica 60,119–143) canonical cointegrating regression (CCR) and the leads-and-lags regression of Saikkonen (1991, Econometric Theory 9,1–21) and Stock and Watson (1993, Econometrica 61, 783–820). Asymptotic theory for CCR in the presence of I (1) and I (2) variables is also introduced. The distributions of the…

检测动态时间序列趋势函数断点的 Wald 型检验AI 解读

In this paper, test statistics for detecting a break at an unknown date in the trend function of a dynamic univariate time series are proposed. The tests are based on the mean and exponential statistics of Andrews and Ploberger (1994, Econometrica 62, 1383–1414) and the supremum statistic of Andrews (1993, Econometrica 61, 821–856). Their results are extended to allow trending and unit root regressors. Asymptotic results are derived for both I (0) and I (1) errors. When the…

摘要暂缺

摘要暂缺

摘要暂缺

摘要暂缺

计量经济学中的若干不可能性定理及其在结构与动态模型中的应用AI 解读

General characterizations of valid confidence sets and tests in problems involving (locally almost) unidentified (LAU) parameters are presented. In particular, any valid confidence set for an unbounded LAU parameter must be unbounded with positive probability. Consequently, almost surely bounded confidence sets, like Wald-type confidence sets, have zero coverage probability and Wald-type test statistics cannot be pivotal functions. The results are applied to simultaneous…

摘要暂缺