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库存生产平滑模型的长期含义：一项实证检验AI 解读

Abstract This paper provides an empirical test of the long‐run implications of the production smoothing model of inventories, the dominant framework for inventory investment research in the past. Intertemporal models of a firm holding inventories of finished goods predict a long‐run relationship between inventories, shipments, factor input prices, and the real interest rate which is tested here using cointegration test procedures. These tests provide little support for the…

单位根下自相关系数的极限分布AI 解读

The limiting distribution of the normalized autocorrelation coefficient in the case of a unit root is given in a closed form. It is found that high order transcendental functions such as the parabolic cylinder functions are indispensable to express this distribution, thus departing from the simple standard normal distribution that arises in the case of a stable root. Using the formulae derived in this paper, some numerical results available from previous studies are then…

ARIMA模型中移动平均单位根的检验AI 解读

Test procedures for detecting overdifferencing or a moving average unit root in Gaussian autoregressive integrated moving average (ARIMA) models are proposed. The tests can be used when an autoregressive unit root is a serious alternative but the hypothesis of primary interest implies stationarity of the observed time series. This is the case, for example, if one wishes to test the null hypothesis that a multivariate time series is cointegrated with a given theoretical…

自回归单位根拉格朗日乘数检验的一则说明AI 解读

It is shown that in a first-order mixed autoregressive moving average model, a Lagrange multiplier test for the autoregressive unit-root hypothesis can be inconsistent against stationary alternatives.

ARIMA 模型差分阶数的点最优检验AI 解读

Deciding the order of differencing is an important part in the specification of an autoregressive integrated moving average (ARIMA) mode. In most, though not all, cases this means deciding whether to use the original observations or their first differences. Common test procedures used in this context are some variants of autoregressive unit root tests. In these tests, one tests the null hypothesis that the order of differencing is one against the alternative that it is zero.…

多变量时间序列的多项式误差修正表示定理AI 解读

We consider a class of multivariate processes which, when differenced enough, yield covariance stationary processes whose determinants of the Wold representation have I as their only root on the unit circle. A representation theorem is proved for this class of processes that generalizes the Granger representation theorem.

正态误差随机游走的渐近展开AI 解读

The asymptotic distribution of the least-squares estimators in the random walk model was first found by White [17] and is described in terms of functional of Brownian motion with no closed form expression known. Evans and Savin [5,6] and others have examined numerically both the asymptotic and finite sample distribution. The purpose of this paper is to derive an asymptotic expansion for the distribution. Our approach is in contrast to Phillips [12,13] who has already derived…

费雪效应与利率期限结构：协整检验AI 解读

The literature on the Fisher effect has ignored the potential relationship between inflation and long-term interest rates. Using an expectations model of the term structure of interest rates, the authors establish the conditions under which innovations in short-term inflation will be transmitted to long-term as well as short-term interest rates. Cointegration tests find support for both the Fisher effect and the expectations theory of the term structure. Copyright 1993 by…

极度不显著的 F 比率AI 解读

OCCASIONALLY IN EMPIRICAL WORK, a highly insignificant test statistic is encountered. A rule that the null hypothesis not be rejected when the value of a statistic falls below a threshold which is given by the tester's desired Type I error probability 8 < implies a fortiori that the null is not rejected when the probability that the statistic is smaller than the realized value is less than 8. We suggest an interpretation of this outcome in time series problems. For ease of…

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不可逆时间序列模型的检验及应用AI 解读

This paper is concerned with testing for noninvertible time-series models. For a stationary but noninvertible autoregressive moving average model, the author constructs a derived process that is nonstationary but invertible with a nonstationary factor identical to the noninvertible factor of the original time series. The author then proposes a test procedure for testing noninvertibility using various unit-root test statistics available i n the literature. The limiting…

不可逆模型的检验及应用AI 解读

This article is concerned with testing for noninvertibie time series models. For a stationary but noninvertibie autoregressive moving average model, I construct a derived process that is non-stationary but invertible with a nonstationary factor identical to the noninvertibie factor of the original time series. I then propose a test procedure for testing noninvertibility using various unit-root test statistics available in the literature. The limiting distributions of the…

单位根检验的渐近功效AI 解读

Closed forms for the distribution of some conventional statistics are given as a prelude to deriving their asymptotic power functions as unit root tests. In the process, an important distinction is drawn between two classes of statistics: one which relies on deterministic normalizations and the other which uses stochastic normalizations. When the data follow a driftless autoregression, a t test (which belongs to the second class) for a unit root is found to perform better…

单整过程的连续弱收敛与随机等度连续性：回归估计应用AI 解读

The concepts of continuous and uniform weak convergence and versions of stochastic equicontinuity are discussed in the context of integrated processes of order one. The considered processes depend on a parameter vector in a specific fashion which is relevant for integrated and cointegrated systems with non-linearities in parameters. The results of the paper can be applied to obtain asymptotic distributions of estimators and test statistics in such systems. In a correctly…

高阶自回归单整过程最小二乘估计的渐近正态性及其应用AI 解读

Using the asymptotic normality of the least-squares estimates for the autoregressive (AR) process with real, positive unit roots and at least one stable root, we consider the asymptotic distributions of the Wald and t ratio tests on AR coefficients. In addition, we propose a method of constructing confidence intervals for the sum of AR coefficients possibly in the presence of a unit root. Using simulation methods, we compare the finite-sample cumulative distributions of the…

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多变量协整分析与购买力平价的长期有效性AI 解读

This paper tests the long-run validity of PPP using Johansen's multivariate cointegration methodology on exchange rates and domestic and foreign price levels. Monthly data covering the recent flexible exchange rate period of the DM vis a vis 15 currencies le ad to the following conclusion: PPP seems to hold in the long run for s ix European currencies: the Pound, Lira, Norwegian Krone, Schilling, Escudo, and Peseta. However, PPP has to be rejected.for the United States and…

条件方差中的共同持久性AI 解读

A common finding in many of the recent empirical studies with the ARCH class of models applied to high frequency financial data concerns the apparent persistence of shocks for forecast of the future conditional variances. It is likely that several different variables share this same implied long-run component, however. In that situation, the variables are defined to be copersistent in variance. Conditions for copersistence to occur in the linear multivariate GARCH model are…

一阶自回归／单位根模型的精确中位无偏估计AI 解读

First-order autoregressive/unit root models with independent identically distributed normal errors are considered, including those without an intercept, those with an intercept, and those with an intercept and time trend. The autoregressive parameter is allowed to lie in the interval (-1, 1], which includes the unit root case. Exactly median-unbiased estimators and exact confidence intervals of the autoregressive parameter are introduced. Corresponding exactly…

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购买力平价的分数协整分析AI 解读

A generalized.notion of cointegration, called fractional cointegration, is introduced to examine the long-run purchasing power parity hypothesis. By allowing deviations from equilibrium to follow a fractional process, the fractional cointegration analysis can capture a wider range of mean reversion behavior than standard cointegration analyses. This gain in flexibil ity in modeling mean-reverting dynamics is found to be important for evaluating long-run purchasing power…