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误差修正模型的解释：部分调整、前瞻行为与国际动态货币需求AI 解读

Abstract An error correction model is derived from a stochastic dynamic programming problem incorporating rational expectations. A parametric restriction is derived that allows a test for the theoretical proposition that the optimal strategy behind the error correction from entails the failure to asymptotically close the gap between the choice variable and the growing target. This is accomplished by nesting a partial adjustment model with forward‐looking expectations within…

摘要暂缺

具有无限方差的一阶自回归过程AI 解读

For a first-order autoregressive process Y t = β Y t−1 + ∈ t where the ∈ t 'S are i.i.d. and belong to the domain of attraction of a stable law, the strong consistency of the ordinary least-squares estimator b n of β is obtained for β = 1, and the limiting distribution of b n is established as a functional of a Lévy process. Generalizations to seasonal difference models are also considered. These results are useful in testing for the presence of unit roots when the ∈ t 'S…

利用多重协整与非对称误差修正模型研究生产、销售和库存关系AI 解读

The accumulated sum of a stationary series is called integrated. If a linear combination of some of the integrated series is stationary, it is said to be cointegrated. This paper presents empirical results on inventories to consider the possibility of a deeper form of cointegration called multicointegration, which is introduced in Granger and Lee (1989). A vector integrated series is multicointegrated if the accumulated sum of its stationary (cointegrated) linear combination…

大崩盘、石油价格冲击与单位根假说AI 解读

The unit root hypothesis is examined allowing a possible one-time change in the level or in the slope of the trend function. When fluctuations are stationary around a breaking trend function, standard tests cannot reject the unit root, even asymptotically. Consistent tests are derived and applied to the Nelson-Plosser data set (allowing a change in level for the 1929 crash) and to the postwar quarterly real GNP series (allowing a change in slope after 1973). The unit root…

商品相对价格与协整AI 解读

The Prebisch-Singer hypothesis of a secular decline in the relative price of primary commodities is reassessed, on the basis of recently available time series data, for 1900-86. Special attention is given to adequate dynnamic modeling of price fluctuations. Primary and manufactured-goods prices are found to be cointegrated. The hypothesis of stationarity for the long-run relative-price movements cannot be rejected. The empirical evidence does not support the Prebisch-Singer…

商品相对价格与协整AI 解读

The Prebisch-Singer hypothesis of a secular decline in the relative price of primary commodities is reassessed, on the basis of recently available time series data, for 1900-86. Special attention is given to adequate dynnamic modeling of price fluctuations. Primary and manufactured-goods prices are found to be cointegrated. The hypothesis of stationarity for the long-run relative-price movements cannot be rejected. The empirical evidence does not support the Prebisch-Singer…

时间序列数据中的单位根检验AI 解读

Let Y t satisfy the stochastic difference equation for t = 1,2,…, where e t are independent and identically distributed random variables with mean zero and variance σ 2 and the initial conditions ( Y −p+1 ,…, Y 0 ) are fixed constants. It is assumed that the process is invertible and that the true, but unknown, roots m 1 , m 2 ,…, m p of satisfy the hypothesis H d : m 1 = … = m d = 1 and | m j | < 1 for j = d + 1,…, p . We present a reparameterization of the model for Y t…

每日汇率中的信息：一个条件方差的解释AI 解读

Formal testing procedures confirm the presence of a unit root in the autoregressive polynomial of the univariate time series representation of daily exchange-rate data. The first differences of the logarithms of daily spot rates are approximately uncorrelated through time, and a generalized autoregressive conditional heteroscedasticity model with daily dummy variables and conditionally t-distributed errors is found to provide a good representation to the leptokurtosis and…

漫步吉布森悖论：随机游走视角AI 解读

Abstract Evidence to support the Gibson paradox is often given in the form of a simple correlation between the nominal interest rate and the log of price level, or in the form of a simple linear regression between these two variables. Authors then show, using standard procedures of statistical inference, that the price level possesses a significant coefficient. We argue that this class of evidence is spurious since the nominal interest rate and the price level (both…

股票市场国际化与英国外汇管制的取消AI 解读

This paper aims to assess the impact of the abolition of U.K. exchange control on the degre of integration of U.K. and overseas stock markets. Using cointegration techniques, we find that although there is no significant increase in the correlation of short-run stock market returns for the United Kingdom and certain overseas markets post 1979, there does appear to be a marked increase in the degree to which these markets move together in the long run after this date--there…

Recent work by Said and Dickey (1984, 1985), Phillips (1987), and Phillips and Perron (1988) examines tests for unit roots in the autoregressive part of mixed autoregressive integrated moving average models (tests for stationarity). Monte Carlo experiments show that these unit-root tests have different finite-sample distributions from the unit-root tests developed by Fuller (1976) and Dickey and Fuller (1979, 1981) for autoregressive processes. In particular, the tests…

含单整过程回归的统计推断：第二部分AI 解读

This paper continues the theoretical investigation of Park and Phillips. We develop an asymptotic theory of regression for multivariate linear models that accommodates integrated processes of different orders, nonzero means, drifts, time trends, and cointegrated regressors. The framework of analysis is general but has a common architecture that helps to simplify and codify what would otherwise be a myriad of isolated results. A good deal of earlier research by the authors…

多元自回归时间序列的单位根非平稳性检验AI 解读

The characteristic equation of a multiple autoregressive time series involves the eigenvalues of a matrix equation which determine if the series is stationary. Suppose one eigenvalue is 1 and the rest are less than 1 in magnitude. We show that ordinary least squares may be used to estimate the matrices involved and that the largest estimated eigenvalue has distributional properties that allow us to test this unit root hypothesis using critical values tabulated by Dickey…

摘要暂缺

移动平均误差下的单位根检验AI 解读

In this paper we propose a new approach to testing for unit roots in a time series {yt} with moving average innovations based on an instrumental variable estimator. If {yt} is a random walk with moving average innovations, we derive the limiting distribution of the instrumental variable estimator when the estimated model is either (i) the true model, (ii) a random walk with shift in mean, or (iii) a random walk with shift in mean and a linear time trend. These distributions…

共同趋势检验AI 解读

Cointegrated multiple time series share at least one common trend. Two tests are developed for the number of common stochastic trends (i.e., for the order of cointegration) in a multiple time series with and without drift. Both tests involve the roots of the ordinary least squares coefficient matrix obtained by regressing the series onto its first lag. Critical values for the tests are tabulated, and their power is examined in a Monte Carlo study. Economic time series are…

含单整过程回归的统计推断：第一部分AI 解读

This paper develops a multivariate regression theory for integrated processes which simplifies and extends much earlier work. Our framework allows for both stochastic and certain deterministic regressors, vector autoregressions, and regressors with drift. The main focus of the paper is statistical inference. The presence of nuisance parameters in the asymptotic distributions of regression F tests is explored and new transformations are introduced to deal with these…

回归变量具有单位根时的渐近正态性AI 解读

Under fairly general conditions, ordinary least squares and linear instrumental variables estimators are asymptotically normal when a regression equation has nonstationary right hand side variables. Standard formulas may be used to calculate a consistent estimate of the asymptotic variance-covariance matrix of the estimated parameter vector, even if the disturbances are conditionally heteroskedastic and autocorrelated. So inference may proceed in the usual way. The key…

摘要暂缺

多期条件矩限制所蕴含的效率界AI 解读

In this article we study a class of econometric models that imply a set of multiperiod conditional moment restrictions. These restrictions depend on an unknown parameter vector. We construct an extensive class of consistent, asymptotically normal estimators of this parameter vector and calculate the greatest lower bound for the asymptotic covariance matrices of estimators in this class. In so doing, we extend results reported by Hansen (1985) and Stoica, Söderström, and…

Real exchange rates between the United States and its major trading partners were calculated for the Bretton Woods and flexible exchange rate periods. Unit root tests indicate that Purchasing Power Parity performed poorly in both periods. Tests for cointegration reveal limited instances in which it is possible to estimate the deviations from PPP as an error correcting model. The estimated error correcting models indicate that foreign, but not U.S., prices responded to…

相依异质过程的不变性原理与中心极限定理AI 解读

Building on work of McLeish, we present a number of invariance principles for doubly indexed arrays of stochastic processes which may exhibit considerable dependence, heterogeneity, and/or trending moments. In particular, we consider possibly time-varying functions of infinite histories of heterogeneous mixing processes and obtain general invariance results, with central limit theorems following as corollaries. These results are formulated so as to apply to economic time…

货币、价格与收入的经验关系再考察AI 解读

This article investigates the relationship between sum, Divisia, and monetary velocity money, prices, and income using the notion of Granger (1969) causality. This is achieved by evaluating empirically (using Dickey–Fuller unit-root tests) whether the macroeconomic time series under consideration are trend stationary or difference stationary and by conducting tests using three different, ad hoc, lag lengths—8, 6, and 4 quarters—as well as a statistically determined—using…