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汇率的长记忆AI 解读

Using the Geweke-Porter-Hudak test, the author finds evidence of long memory in exchange-rate data. This implies t hat the empirical evidence of unit roots in exchange rates may not be robust to long-memory alternatives. Fractionally integrated autoregressive moving average models are estimated by both the time-domain exact maximum likelihood method and the frequency-domain approximate maximum likelihood method. Impulse-response functions and forecasts based.on these…

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非平稳自回归中的 OLS 偏差AI 解读

An analytical formula is derived to approximate the finite sample bias of the ordinary least-squares (OLS) estimator of the autoregressive parameter when the underlying process has a unit root. It is found that the bias is expressible in terms of parabolic cylinder functions which are easy to compute. Numerical evaluation of the formula reveals that the approximation is very accurate. The derived formula inspires a heuristic approximation, obtained by leastsquares fitting of…

伪回归、协整与近协整渐近理论的另一种研究方法AI 解读

An alternative approach is taken to the asymptotic theory of cointegration. The present approach gives a different expression for the limiting distributions of statistics associated with cointegration, which enables us to compute accurately the distribution functions. Alternative interpretations of cointegration are given and a notion of near cointegration is introduced. We then devise tests which take cointegration as the null and discuss the limiting local power under the…

带线性约束的协整向量估计AI 解读

A general approach for the estimation of cointegration vectors with linear restrictions is described. In the special case of zero restrictions, the cointegration relations of the paper are formally similar to the structural form of a traditional simultaneous equation model. The proposed estimation procedures require a conventional rank condition of identification but no exogeneity assumption. In place of exogenous variables there are series that are not cointegrated and can…

含确定性趋势的自回归积分移动平均模型中的若干单位根检验AI 解读

For a nonstationary time series we consider a model which can accommodate the possibility of deterministic and stochastic trends. Assuming that we are primarily interested in testing for the stochastic trend, that is, for a unit root in the time series, we employ the Lagrange multiplier principle and obtain test statistics. The asymptotic distributions of the test statistics. The asymptotic distributions of the test statistics are characterized by functionals of stochastic…

出口导向增长假说适用于工业化国家吗？AI 解读

This paper tries to establish whether a causal link between exports and productivity exists for four developed market economies based on cointegration and Granger-causality techniques. These techniques allow serious problems encountered in previous attempts to examine this relationship to be overcome, while recent trade theory suggests that the relationship between trade and productivity is fundamentally ambiguous. The findings of the econometric analysis suggest that an…

恩格尔定律与协整AI 解读

A time-series counterpart of Engel's law is that the expenditure share on food declines as the economy grows. The main purpose of this paper is to test whether Houthakker's addilog utility function can simultaneously explain this time-series observation and cross-sectional observations concerning Engel's law. Masao Ogaki and Joon Y. Park's cointegration approach is used to estimate parameters of the utility function from time-series data. Total expenditure elasticities…

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以平稳性为原假设、单位根为备择的检验AI 解读

We propose a test of the null hypothesis that an observable series is stationary around a deterministic trend. The series is expressed as the sum of deterministic trend, random walk, and stationary error, and the test is the LM test of the hypothesis that the random walk has zero variance. The asymptotic distribution of the statistic is derived under the null and under the alternative that the series is difference-stationary. Finite sample size and power are considered in a…

异方差协整AI 解读

This paper develops an asymptotic theory of estimation and inference in ‘cointegrated’ regression models with errors displaying nonstationary variances. Least squares estimates are shown to be consistent at a T12 rate. Hypothesis testing requires the use of a robust covariance matrix estimate, in contrast to earlier work on cointegrated regressions. The inference theory is not nuisance-free, but preliminary investigations indicate that approximation by the normal…

均值变化时间序列的单位根检验：修正与扩展AI 解读

This note provides a correction to the treatment of the asymptotic distribution of tests for a unit root for the additive outlier model presented in Perron (1990). It is shown that the tests, as stated for that case, have asymptotic distributions that depend on the correlation structure of the data even if the appropriate order of the autoregression is selected. The authors present a simple modification that yields statistics with the same asymptotic distributions (free of…

对数线性模型的加总AI 解读

When economic theory suggests a log-linear specification for individual agents, e.g., Cobb-Douglas production, it is common to estimate the same log-linear model with aggregate data, invoking a representative agent assumption and thereby assuming away aggregation errors. This paper gives necessary and sufficient restrictions on the distribution of agents in an economy for log-linear agent models to aggregate into log-linear macro models, and discusses the aggregation bias…

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存在确定性趋势时协整向量的有效估计与检验AI 解读

Estimation and inference in cointegrated models is examined in the presence of deterministic trends in the data. It is suggested that trends be excluded in the levels regression for maximal efficiency. Fully modified test statistics are asymptotically chi-square. A chi-square test for the validity of trend exclusion is presented. The asymptotic distributions of standard cointegration test statistics are shown to depend both upon regressor trends and estimation detrending…

评估利率期限结构的预期假说：协整向量分析AI 解读

The author tests cointegration restrictions that are consistent with the expectations hypothesis of the term structure by employing the full-information maximum likelihood methods developed by S. Johansen. Yield curves appear to be the result of cointegration among interest rates. The cointegration vectors that best describe the long-term impact of interest-rate levels on interest-rate changes can often be written as linear combinations of interest-rate spreads. There is,…

非平稳性与水平突变：购买力平价应用AI 解读

The authors consider testing for a unit root in a time series with a structural change in mean occurring at an unknown date. They derive and tabulate the asymptotic distributions of the minimal t-statistic over all possible break points (and other related statistics) in the appropriate regressions. However, emphasis is given to the tabulation of finite sample critical values with particular attention given to the effect of various procedures to select the order of the…

单位根与趋势突变假说的递归和序贯检验：理论与国际证据AI 解读

This paper investigates the possibility, raised by P. Perron (1989, 1990) and P. Rappoport and L. Reichlin (1989), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike those authors, the authors treat the break date as unknown a priori. Asymptotic distributions are developed for recursive, rolling, and sequential tests for unit roots and/or changing coefficients in time series regressions. When applied to data on real…

含 I(1) 过程回归中的参数不稳定性检验AI 解读

This article derives the large-sample distributions of Lagrange multiplier (LM) tests for parameter instability against several alternatives of interest in the context of cointegrated regression models. The fully modified estimator of Phillips and Hansen is extended to cover general models with stochastic and deterministic trends. The test statistics considered include the SupF test of Quandt, as well as the LM tests of Nyblom and of Nabeya and Tanaka. It is found that the…

大萧条、石油价格冲击与单位根假说的进一步证据AI 解读

Perron (1989) has carried out tests of the unit root hypothesis against the alternative hypothesis of trend stationarity with a break in the trend occurring at the Great Crash of 1929 or at the 1973 oil price shock. Here a variation of Perron's test is considered in which the break point is estimated rather than fixed. The asymptotic distribution of the "estimated break point" test statistic is determined and the data considered by Perron are reanalyzed. The authors find…

有限样本中一般单位根检验的功效与水平之间的关系AI 解读

Abstract We show that the maximum power of a generic unit root test against any stationary alternative is equal to the true level of the test. We then use Monte Carlo methods to investigate the implications for several such tests. We show patterns of rejection probabilities over a variety of unit root and stationary processes. We discuss the implications of these results for some of the uses of unit root tests in applied work.

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