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德国与美国失业序列中估计季节与非季节成分的周期相关性AI 解读

The authors examine the orthogonality assumption of seasonal and nonseasonal components for official quarterly unemployment figures in Germany and the United States. Although nonperiodic correlations do not seem to reject the orthogonality assumption, a periodic analysis based on correlation functions that vary with the seasons indicates the violation of orthogonality. The authors find that the unadjusted data can be described by periodic autoregressive models with a unit…

线性协整时间序列系统中的渐近推断AI 解读

This paper considers vector-valued nonstationary time series models, in particular, autoregressive models, whose nonstationarity is driven by a few nonstationary (induced by “unit roots”) trends, in such a way that some of the linear combinations of the components of the vector model will be stationary. Models of this form are called cointegrated models. These stationary linear combinations are called cointegrating relationships. Asymptotic inference problems associated with…

扩散过程之间的长期共动AI 解读

The aim of this paper is to characterize and analyze long-run comovements among diffusion processes. Broadly speaking, if X = ( X 1 ,, X 2 ,;t ≥ 0) is a nonergodic diffusion in R 2 , but there exists a linear combination, say, γ′ X , that is instead ergodic in R, then we say there exists a linear stochastic comovement between the components of X . Linear diffusions exhibiting stochastic comovements admit an error correction representation. Estimation of γ and hypothesis…

带条件异方差的分数积分 ARMA 时间序列模型AI 解读

This article considers fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity, which combines the popular generalized autoregressive conditional heteroscedastic (GARCH) and the fractional (ARMA) models. The fractional differencing parameter d can be greater than 1/2, thus incorporating the important unit root case. Some sufficient conditions for stationarity, ergodicity, and existence of higher-order moments are derived.…

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回归变量与工具变量可能非平稳时的完全修正 IV、GIVE 与 GMM 估计AI 解读

This paper develops a general theory of instrumental variables (IV) estimation that allows for both I(1) and I(0) regressors and instruments. The main goal of this paper is to develop a theory in which one does not need to know the integration properties of the regressors in order to obtain efficient estimators. The estimation techniques involve an extension of the fully modified (FM) regression procedure that was introduced in earlier work by Phillips and Hansen (1990). FM…

美国与荷兰的食品统计需求函数AI 解读

This paper reports results of an extensive analysis of statistical demand functions for food using household survey data and aggregate time-series data on food consumption in the USA and The Netherlands. Using the model put forward by Tobin (1950) for survey data, we find that socio-economic information on the composition, education, and status of households adds little to the explanation of food consumption. The income elasticity of food consumption decreases over time in…

美国与荷兰食品需求建模的比较研究AI 解读

This paper provides time-series and cross-sectional budget survey analyses of the demand for food in the United States and the Netherlands according to the tasks set by Jan Magnus and Mary Morgan (MM). Various econometric methods, including weighted least squares (WLS), cointegration, error correction, the almost ideal demand system (AIDS), and time-varying parameter (TVP) techniques, are used and the estimated demand elasticities compared across country and over time.

空间自回归中近单位根的渐近推断AI 解读

Asymptotic inference for estimators of $(\alpha_n, \beta_n)$ in the spatial autoregressive model $Z_{ij}(n) = \alpha_n Z_{i-1, j}(n) + \beta_n Z_{i, j-1}(n) - \alpha_n \beta_n Z_{i-1, j-1}(n) + \varepsilon_{ij}$ is obtained when $\alpha_n$ and $\beta_n$ are near unit roots. When $\alpha_n$ and $\beta_n$ are reparameterized by $\alpha_n = e^{c/n}$ and $\beta_n = e^{d/n}$, it is shown that if the "one-step Gauss-Newton estimator" of $\lambda_1 \alpha_n + \lambda_2 \beta_n$ is…

This note examines the asymptotic properties of the Wald statistic in vector autoregressions (VAR) that may have unit roots. Within this framework we extend the theoretical results to nonlinear restrictions. As an example we study constraints derived from linear(ized) rational expectations models focusing on the expectations hypothesis using U.S. term structure data. For such cross-equation restrictions the statistic has a nonstandard distribution because the restrictions…

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协整下两阶段最小二乘估计量的统计性质AI 解读

We derive the limiting properties of the two-stage least squares estimator of an equation in a dynamic simultaneous model when variables are nonstationary and cointegrated. The implication on hypothesis testing is also discussed. It is shown that in a structural equation approach what one needs to worry about are the classical issues of identification and estimation, not nonstationarity and cointegration. Conventional formulae for computing the asymptotic covariance of the…

通胀率存在单位根吗？序贯突变与面板模型的证据AI 解读

Using sequential trend break and panel data models, we investigate the unit root hypothesis for the inflation rates of thirteen OECD countries. With individual country tests, we find evidence of stationarity in only four of the thirteen countries. The results are more striking with the panel data model. We can strongly reject the unit root hypothesis both for a panel of all thirteen countries and for a number of smaller panels consisting of as few as three countries. The…

自回归模型单位根检验的 Bartlett 修正AI 解读

The usual conditions for a Bartlett correction are not fulfilled when testing for a unit root in a Gaussian autoregressive model. However, by expanding the moments of the likelihood ratio statistic it can be shown that the Bartlett correction improves the asymptotic distribution approximation.

ARIMA模型中季节移动平均单位根的检验AI 解读

Procedures to test for a unit root in the seasonal moving average (MA) operator for seasonal autoregressive integrated moving average (ARIMA) models are examined. Such procedures are useful to distinguish deterministic from stochastic seasonal patterns. The simple (integrated) seasonal MA(1) model Z t ≡ Y t - Yt-s = (1 - θB s)ϵt, where {Y t} is the observed seasonal series and {ϵt} is a white noise sequence, is considered, and tests for H 0: θ = 1 versus H 1: θ < 1 are…

计量经济学、金融及其他领域中的时间序列模型AI 解读

Statistical Aspects of ARCH and Scholastic Volatility Likelihood-Based Inference for Cointegration of Some Non-Stationary Time Series Forecasting in Macroeconomics Longitudinal Panel Data: An Overview of Current Methodology

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协整与动态联立方程模型AI 解读

The author demonstrates that despite variables that are integrated, the fundamental issues on structural equation modeling raised by the Cowles Commission remain valid and standard estimation and testing procedures can still be applied. A basic framework linking the multiple time series model and the dynamic simultaneous equation model is provided and implications under the long-run cointegrating relations are discussed. Conditions for identifying both the short-run dynamics…

协整分析中的两个混合正态密度AI 解读

We derive explicitly the exact density functions of two key mixed normal variates that arise from cointegration analysis. We also plot them, and analyze their analytical features and implications.

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利用伪似然比检验进行协整检验AI 解读

This paper considers pseudomaximum likelihood estimators for vector autoregressive models. These estimators are used to determine the cointegration rank of a multivariate time series process using pseudolikelihood ratio tests. The asymptotic distributions of these tests depend on nuisance parameters if the pseudolikelihood is non-Gaussian. This even holds if the likelihood is correctly specified. The nuisance parameters have a natural interpretation and can be consistently…