论文检索

I(2) 系统中的混合正态性与辅助性AI 解读

This paper studies asymptotic likelihood inference on cointegration parameters in systems integrated of order two. We start with so-called triangular systems and then extend the analysis to vector autoregressions. We show that even when all unit root restrictions have been imposed, the asymptotic observed information is not (locally) ancillary, which implies that the log-likelihood ratio is not locally asymptotically mixed normal. The results are applied to inference on…

连续时间系统的精确离散对应模型推导AI 解读

The exact discrete model satisfied by equispaced data generated by a linear stochastic differential equations system is derived by a method that does not imply restrictions on observed discrete data per se. The method involves integrating the solution of the continuous time model in state space form and a nonstandard change in the order of three types of integration, facilitating the representation of the exact discrete model as an asymptotically time-invariant vector…

含未知 I(0)、I(1) 与 I(2) 混合成分的向量自回归AI 解读

This paper develops a new estimation method for nonstationary vector autoregressions (VAR's) with unknown mixtures of I (0), I (1), and I (2) components. The method does not require prior knowledge on the exact number and location of unit roots in the system. It is, therefore, applicable for VAR's with any mixture of I (0), I (1), and I (2) variables, which may be cointegrated in any form. The limit theory for the stationary component of our estimator is still normal,…

长程依赖下的非参数 Granger 因果检验AI 解读

This paper introduces a nonparametric Granger-causality test for covariance stationary linear processes under, possibly, the presence of long-range dependence. We show that the test is consistent and has power against contiguous alternatives converging to the parametric rate T−1/2. Since the test is based on estimates of the parameters of the representation of a VAR model as a, possibly, two-sided infinite distributed lag model, we first show that a modification of Hannan's…

基于损失函数的 DSGE 模型评估AI 解读

Abstract In this paper we propose a Bayesian econometric procedure for the evaluation and comparison of DSGE models. Unlike in many previous econometric approaches we explicitly take into account the possibility that the DSGE models are misspecified and introduce a reference model to complete the model space. Three loss functions are proposed to assess the discrepancy between DSGE model predictions and an overall posterior distribution of population characteristics that the…

含结构突变的VAR过程的协整秩检验AI 解读

Tests for the cointegrating rank of a vector autoregressive process are considered that allow for possible exogenous shifts in the mean of the data-generation process. The break points are assumed to be known a priori. It is proposed to estimate and remove the deterministic terms such as mean, linear-trend term, and a shift in a first step. Then systems cointegration tests are applied to the adjusted series. The resulting tests are shown to have known limiting null…

近单位根情形下单变量冲击响应的置信区间AI 解读

This article proposes a method for constructing confidence intervals for the impulse response function of a univariate time series with a near unit root. These confidence intervals control coverage, whereas the existing techniques can all have coverage far below the nominal level. I apply the proposed method to several measures of U.S. aggregate output.

含截距 VAR 过程的协整秩检验AI 解读

Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. In addition to the likelihood ratio (LR) tests developed by Johansen and Juselius (1990, Oxford Bulletin of Economics and Statistics , 52, 169–210) and others we also consider an alternative class of tests that is based on estimating the trend parameters of the deterministic term in a different way. The asymptotic local power of these tests is derived and compared to that of…

向量自回归谱的渐近同时置信带AI 解读

Asymptotic simultaneous confidence bands for all ω in [0, 0.5] are obtained for each scalar function in a spectral density matrix, as well as for the logarithm of the autospectra, the squared coherence and the phase spectra. The bands are illustrated using a simulation study and surface elevation data.

摘要暂缺

系数具有马尔可夫切换的向量自回归过程的若干性质AI 解读

Some statistical properties of a vector autoregressive process with Markov-switching coefficients are considered. Sufficient conditions for this nonlinear process to be covariance stationary are given. The second moments of the process are derived under the conditions. The autocovariance matrix decays at exponential rate, permitting the application of the law of large numbers. Under the stationarity conditions, although sharing the “mean-reverting” property with conventional…

自回归模型中基于残差的正态性检验：渐近理论与模拟证据AI 解读

Existing results for the asymptotic validity of the Jarque-Bera test in vector autoregressive (VAR) models assume stationarity. In applied work, however, researchers often work with possibly integrated and cointegrated process. We prove the asymptotic validity of the Jarque-Bera test for vector error-correction (VEC) models and for unrestricted VAR models with possibly integrated or cointegrated variables. We also propose the use of bootstrap critical values in stationary…

协整VAR模型中的若干参数稳定性检验AI 解读

Some methods for the evaluation of parameter constancy in cointegrated vector autoregressive (VAR) models are discussed. Two different ways of re-estimating the VAR-model are proposed; one in which all parameters are estimated recursively based upon the likelihood function for the first observations, and another in which the cointegrating relations are estimated recursively from a likelihood function, where the short-run parameters have been concentrated out. We suggest…

摘要暂缺

协整对数似然比检验渐近分布的近似AI 解读

Tail approximation of the asymptotic distribution of the log likelihood ratio test for cointegration in a vector autoregressive process is studied. In dimension 2, an approximation of weighted χ 2 type is derived by applying multivariate saddlepoint approximation techniques to a Fourier inversion integral.

摘要暂缺

脉冲响应百分位与百分位t自助置信区间的有限样本性质AI 解读

A Monte Carlo analysis of the coverage accuracy and average length of alternative bootstrap confidence intervals for impulse-response estimators shows that the accuracy of equal-tailed and symmetric percentile- t intervals can be poor and erratic in small samples (both in models with large roots and in models without roots near the unit circle). In contrast, some percentile bootstrap intervals may be both shorter and more accurate. The accuracy of percentile-t intervals…

脉冲响应的误差带AI 解读

We show how to correctly extend known methods for generating error bands in reduced form VAR's to overidentified models. We argue that the conventional pointwise bands common in the literature should be supplemented with measures of shape uncertainty, and we show how to generate such measures. We focus on bands that characterize the shape of the likelihood. Such bands are not classical confidence regions. We explain that classical confidence regions mix information about…

摘要暂缺

含平稳回归变量的VAR模型协整秩推断AI 解读

The issue of including stationary explanatory variables is addressed in the vector autoregressive (VAR) model, when testing for cointegration rank. It is shown that simply in-cluding stationary explanatory variables as extra regressors will lead to nuisance parameters in the asymptotic distribution of the trace statistic for cointegration rank. The nuisance parame-ters are characterized as canonical correlations between the common trends (which in this case also involve the…

摘要暂缺

向量自回归过程中协整向量有效归一化的检验AI 解读

This article develops test procedures for checking the validity of general normalizing restrictions imposed on cointegrating vectors in vector autoregressive processes. Such test procedures are of importance because normalizing restrictions, possibly combined with overidentifying restrictions, are often necessary for a proper interpretation of cointegrating vectors. The null hypothesis of the authors' tests assumes that the employed normalization is valid or, alternatively,…

含I(2)变量的线性二次调整成本模型估计AI 解读

This paper derives a method for estimating and testing the Linear Quadratic Adjustment Cost (LQAC) model when the target variable and some of the forcing variables follow I(2) processes. Based on a forward-looking error-correction formulation of the model it is shown how to obtain strongly consistent estimates of the structural parameters from both a linear and a non-linear cointegrating regression where first-differences of the I(2) variables are included as regressors…

This paper examines the roles played by innovations identified from a simple four-variable VAR characterized by cointegration. Using knowledge of cointegration rank and “textbook” relations that link macroeconomic aggregates, we identify distinct “real” and “nominal” innovations that dictate the long-run behavior of the model. We also examine the explanatory power of transitory innovations that are orthogonal to these permanent shocks. One of the permanent shocks displays…