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自回归单位根的高效检验AI 解读

The asymptotic power envelope is derived for point-optimal tests of a unit root in the autoregressive representation of a Gaussian time series. The authors propose a family of tests whose asymptotic power functions are tangent to the power envelope at one point and are never far below. When the series has an unknown mean or linear trend, commonly used tests are found to be dominated by members of the family of point-optimal invariant tests. The authors propose a modified…

计量经济模型的确定AI 解读

This paper is concerned with model determination methods and their use in the prediction of economic time series. The methods are Bayesian but they can be justified by classical arguments as well. The paper continues some recent work on Bayesian asymptotic, develops embedding techniques for vector martingales, and implements the modeling ideas in a multivariate regression framework that includes Bayesian vector autoregression (BVAR's) and reduced rank regressions (RRR's). It…

相关误差下若干单位根检验的改进及其局部渐近性质AI 解读

Many unit root tests have distorted sizes when the root of the error process is close to the unit circle. This paper analyses the properties of the Phillips-Perron tests and some of their variants in the problematic parameter space. We use local asymptotic analyses to explain why the Phillips-Perron tests suffer from severe size distortions regardless of the choice of the spectral density estimator but that the modified statistics show dramatic improvements in size when used…

宏观经济理论视角下的应用协整分析AI 解读

Cointegration analyses of macroeconomic time series are often not based on fully specified theoretical models. We use a theoretical model to scrutinize common procedures in applied cointegration analysis. Monte Carlo experiments show that 1) some tests of the cointegration vectors do not work well on series generated by an equilibrium cycle model; (2) cointegration restrictions add little to forecasting; (3) structural VAR models based on weak long-run restrictions seem to…

从宏观经济理论审视应用协整分析AI 解读

Cointegration analyses of macroeconomic time series are often not based on fully specified theoretical models. We use a theoretical model to scrutinize common procedures in applied cointegration analysis. Monte Carlo experiments show that 1) some tests of the cointegration vectors do not work well on series generated by an equilibrium cycle model; (2) cointegration restrictions add little to forecasting; (3) structural VAR models based on weak long-run restrictions seem to…

IGARCH(1,1)与协方差平稳GARCH(1,1)模型中准极大似然估计的一致性与渐近正态性AI 解读

This paper provides a proof of the consistency and asymptotic normality of the quasi-maximum likelihood estimator in GARCH(1,1) and IGARCH(1,1) models. In contrast to the case of a unit root in the conditional mean, the presence of a 'unit root' in the conditional variance does not affect the limiting distribution of the estimators; in both models, estimators are normally distributed. In addition, a consistent estimator of the covariance matrix is available, enabling the use…

宏观时间序列冲击的持续性：来自经济理论的若干证据AI 解读

This paper presents new estimates of persistence of shocks to quarterly labor income, monthly Treasury bill yields, and annual real common stock dividends. The authors replace orthogonality conditions involving near unit root instruments with restrictions on innovation variances implied by a generalized version of the permanent income hypothesis, a term structure model, and constant discount rate efficient markets model. Conditional on these theories, they obtain precise…

协整向量可识别性的检验AI 解读

This paper analyzes the identification and normalization of cointegrating vectors. Normalizing a cointegrating relation with respect to one of the relevant variables is with loss of generality; and restrictions which are supposed to identify a vector may fail to do so for particular parameter values. The author proposes to tackle both problems by testing whether particular rank conditions are violated. He shows that S. Johansen and K. Juselius's (1992) class of likelihood…

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有限方差误差下单位根过程 LAD 估计的渐近理论AI 解读

In this paper we derive the asymptotic distribution of the least absolute deviations ( LAD ) estimator of the autoregressive parameter under the unit root hypothesis, when the errors are assumed to have finite variances, and present LAD -based unit root tests, which, under heavy-tailed errors, are expected to be more powerful than tests based on least squares. The limiting distribution of the LAD estimator is that of a functional of a bivariate Brownian motion, similar to…

实际工资、消费与资产收益的时间序列分析AI 解读

This paper re-examines whether the time series properties of aggregate consumption, real wages, and asset returns can be explained by a neoclassical model. Previous empirical rejections of the model have suggested that the optimal labour contract model might be appropriate for understanding the time series properties of the real wage rate and consumption. We show that an optimal contract model restricts the long-run relation of the real wage rate and consumption. We exploit…

跨行业与跨国生产率：时间序列理论与证据AI 解读

The authors examine whether convergence in aggregate productivity is also occurring at the industry level in fourteen OECD countries from 1970 to 1987. Using both cross-section and time-series methods, they find convergence in some sectors, such as services. However, surprisingly, the authors find that convergence does not hold for the manufacturing sector. Decomposing aggregate convergence into industry productivity gains and changing sectoral shares of output, they find…

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正态线性回归中的最优变点检验AI 解读

This paper determines a class of finite-sample optimal tests for the existence of a changepoint at an unknown time in a normal linear multiple regression model with known variance. Optimal tests for multiple changepoints are also derived. It is shown that the results cover some models of cointegration. Power comparisons of several tests are provided based on simulations.

存在机制转换的协整模型中基于残差的检验AI 解读

In this paper we examine tests for cointegration which allow for the possibility of regime shifts. We propose ADF-, Zα-, and Zt-type tests designed to test the null of no cointegration against the alternative of cointegration in the presence of a possible regime shift. In particular we consider cases where the intercept and/or slope coefficients have a single break of unknown timing. A formal proof is provided for the limiting distributions of the various tests for the…

远期外汇市场效率的稳健检验：来自20世纪20年代的证据AI 解读

This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward exchange market efficiency studies. The methods we use allow us to work explicitly with levels rather than differenced data. They are statistically robust to data distributions with heavy tails, and they can be applied to data sets where the frequency of observation and the futures maturity do not coincide. In addition, our methods allow for stochastic trend non-stationarity…

可逆短记忆与长记忆 ARIMA 模型差分参数的最大似然估计AI 解读

SUMMARY In practical applications of Box-Jenkins autoregressive integrated moving average (ARIMA) models, the number of times that the observed time series must be differenced to achieve approximate stationarity is usually determined by careful, but mostly informal, analysis of the differenced series. For many time series, some differencing seems appropriate, but taking the first or the second difference may be too strong. As an alternative, Hosking, and Granger and Joyeux…

不稳定长记忆过程的推断及其在分数单位根自回归中的应用AI 解读

An autoregressive time series is said to be unstable if all of its characteristic roots lie on or outside the unit circle, with at least one on the unit circle. This paper aims at developing asymptotic inferential schemes for an unstable autoregressive model generated by long-memory innovations. This setting allows both nonstationarity and long-memory behavior in the modeling of low-frequency phenomena. In developing these procedures, a novel weak convergence result for a…

随机游走、趋势函数断点与货币流通速度的混沌结构AI 解读

This paper examines the times-series properties of U.S. velocity series, using E. Zivot and D. W. K. Andrews's (1992) variation of P. Perron's (1989) test. It also tests for deterministic noisy chaos using the Nychka, Ellner, Gallant, and McCaffrey (1992) nonparametric test for positivity of the maximum Lyapunov exponent. Comparisons are made among simple sum and Divisia aggregates using the Thornton and Yue (1992) series of Divisia monetary aggregates for an extended sample…

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