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时间序列中一般非参数回归函数的一致估计AI 解读

We propose an estimator of the conditional distribution of XtXt-1,Xt-2,..., and the corresponding regression function , where the conditioning set is of infinite order. We establish consistency of our estimator under stationarity and ergodicity conditions plus a mild smoothness condition.

基于转移分布的跳跃扩散非参数检验AI 解读

We develop a specification test for the transition density of a discretely sampled continuous-time jump-diffusion process, based on a comparison of a nonparametric estimate of the transition density or distribution function with their corresponding parametric counterparts assumed by the null hypothesis. As a special case, our method applies to pure diffusions. We provide a direct comparison of the two densities for an arbitrary specification of the null parametric model…

重新检验通货膨胀的平稳性AI 解读

Abstract In a recent examination of the integrated nature of inflation, Culver and Papell ( Journal of Applied Econometrics , 1997) applied a range of unit root and stationarity tests to data from a panel of 13 OECD economies. The results obtained were mixed. While little evidence of stationarity was detected using univariate methods, rejection of the unit root hypothesis was observed under panel data unit root testing, although rejection was found to be sensitive to…

聚合并非解法：购买力平价谜题再现AI 解读

Abstract Recently, Imbs, Mumtaz, Ravn and Rey (2005, hereinafter IMRR) have argued that much of the purchasing power parity (PPP) puzzle is due to upwardly biased estimates of persistence. According to them, the source of the bias is the existence of heterogeneous price adjustment dynamics at the sectoral level that established time series or panel data methods fail to control for. This paper re‐examines this claim in two steps. Firstly, we demonstrate that IMRR's measures…

非平稳动态因子模型下的欧元区共同变动与异质性AI 解读

Abstract This paper establishes stylized facts on comovements and heterogeneity of individual euro area countries' output and price developments in the past two decades. For this purpose, a non‐stationary structural dynamic factor model is fitted to a large dataset of euro area macroeconomic variables. The main results are as follows. Both common factors and idiosyncratic components are important in explaining individual countries' output and price developments in the euro…

α 稳定自回归过程的最大似然估计AI 解读

We consider maximum likelihood estimation for both causal and noncausal autoregressive time series processes with non-Gaussian α-stable noise. A nondegenerate limiting distribution is given for maximum likelihood estimators of the parameters of the autoregressive model equation and the parameters of the stable noise distribution. The estimators for the autoregressive parameters are n1/α-consistent and converge in distribution to the maximizer of a random function. The form…

长记忆估计量：傅里叶方法与小波方法的比较AI 解读

Semi-parametric estimation methods of the long-memory exponent of a time series have been studied in several papers, some applied, others theoretical, some using Fourier methods, others using a wavelet-based technique. In this paper, we compare the Fourier and wavelet approaches to the local regression method and to the local Whittle method. We provide an overview of these methods, describe what has been done and indicate the available results and the conditions under which…

长记忆与长期变异AI 解读

A commonly used defining property of long memory time series is the power law decay of the autocovariance function. Some alternative methods of deriving this property are considered, working from the alternate definition in terms of a fractional pole in the spectrum at the origin. The methods considered involve the use of (i) Fourier transforms of generalized functions, (ii) asymptotic expansions of Fourier integrals with singularities, (iii) direct evaluation using…

非平稳分数阶系统中协整秩的 Wald 检验AI 解读

This paper develops new methods for determining the cointegration rank in a nonstationary fractionally integrated system, extending univariate optimal methods for testing the degree of integration. We propose a simple Wald test based on the singular value decomposition of the unrestricted estimate of the long run multiplier matrix. When the "strength" of the cointegrating relationship is less than 1/2, the test statistic has a standard asymptotic distribution, like Lagrange…

序列相关的自动 Portmanteau 检验AI 解读

This article introduces a data-driven Box-Pierce test for serial correlation. The proposed test is very attractive compared to the existing ones. In particular, implementation of this test is extremely simple for two reasons: first, the researcher does not need to specify the order of the autocorrelation tested, since the test automatically chooses this number; second, its asymptotic null distribution is chi-square with one degree of freedom, so there is no need of using a…

经瞬时变换的平稳时间序列推断AI 解读

The paper is about an approach for parametric inference on instantaneously transformed stationary processes. The paper discusses the asymptotics of the Whittle estimator of the parameters involved and also provides the explicit expression of the asymptotic covariance matrix which does not necessarily require the innovation Gaussianity assumption. As a specific instantaneous transformation, the paper introduces a new version of the Box-Cox transformation and investigates in…

基于经验谱测度的局部平稳时间序列局部推断AI 解读

The time varying empirical spectral measure plays a major role in the treatment of inference problems for locally stationary processes. The properties of the empirical spectral measure and related statistics are studied -- both when its index function is fixed or when dependent on the sample size. In particular we prove a general central limit theorem. Several applications and examples are given including semiparametric Whittle estimation, local least squares estimation and…

连续时间模型中的周期性趋势AI 解读

It is undoubtedly desirable that econometric models capture the dynamic behavior, like trends and cycles, observed in many economic processes. Building models with such capabilities has been an important objective in the continuous time econometrics literature, for instance, the cyclical growth models of Bergstrom (1966); the economy-wide macroeconometric models of, for example, Bergstrom and Wymer (1976); unobserved stochastic trends of Harvey and Stock (1988 and 1993) and…

新西兰经济周期AI 解读

Our paper is in the spirit of Rex Bergstrom's interests and research in cyclical growth models and his meticulous attention to underlying data series. We develop a new quarterly real GDP series for post–World War II New Zealand, derive a new “benchmark” set of classical business cycle turning points, and establish nonparametric classical cycle characteristics. Markov-switching models, estimated by Gibbs-sampling methods, are used to derive mean growth rate and volatility…

混合存量与流量数据下协整连续时间模型的离散时间表示AI 解读

This paper derives an exact discrete time representation corresponding to a triangular cointegrated continuous time system with mixed stock and flow variables and observable stochastic trends. The discrete time model inherits the triangular structure of the underlying continuous time system and does not suffer from the apparent excess differencing that has been found in some related work. It can therefore serve as a basis for the study of the asymptotic sampling properties…

通过精确离散对应模型利用离散数据估计连续时间模型AI 解读

This paper offers a perspective on A.R. Bergstrom’s contribution to continuous-time modeling, focusing on his preferred method of estimating the parameters of a structural continuous-time model using an exact discrete-time analog. Some inherent difficulties in this approach are discussed, which help to explain why, in spite of his prescience, the methods around his time were not universally adopted as he had hoped. Even so, it is argued that Bergstrom’s contribution and…

趋势断裂假说的简便、稳健且有力检验AI 解读

In this paper we develop a simple procedure that delivers tests for the presence of a broken trend in a univariate time series that do not require knowledge of the form of serial correlation in the data and are robust as to whether the shocks are generated by an I (0) or an I (1) process. Two trend break models are considered: the first holds the level fixed while allowing the trend to break, while the latter allows for a simultaneous break in level and trend. For the known…

时变连续时间系统的离散采样AI 解读

We consider a multivariate continuous-time process, generated by a system of linear stochastic differential equations, driven by white noise, and involving coefficients that possibly vary over time. The process is observable only at discrete, but not necessarily equally-spaced, time points (though equal spacing significantly simplifies matters). Such settings represent partial extensions of ones studied extensively by A.R. Bergstrom. A model for the observed time series is…

Rex Bergstrom 对连续时间宏观计量建模的贡献AI 解读

This paper reviews the contributions of Rex Bergstrom to the development of continuous time dynamic disequilibrium macroeconomic modeling since the early 1960s. The models provide an elegant integration of economic theory with analysis of steady state and stability properties. The subsequent contributions of his Ph.D. students, spawned by Bergstrom’s work over the years, is also reviewed. It was Bergstrom’s early pioneering vision 40 years ago of formulating and estimating…

使用 Johansen 方法检验协整：临界值是否选对了？AI 解读

Abstract This paper presents Monte Carlo simulations for the Johansen cointegration test which indicate that the critical values applied in a number of econometrics software packages are inappropriate. This is due to confusion in the specification of the deterministic terms included in the vector error correction model (VECM). The result is a tendency to reject the null of no cointegration too often. Copyright © 2009 John Wiley & Sons, Ltd.

含单整或平稳噪声成分时确定性趋势的估计AI 解读

We propose a test for the slope of a trend function when it is a priori unknown whether the series is trend-stationary or contains an autoregressive unit root. The procedure is based on a Feasible Quasi Generalized Least Squares method from an AR(1) specification with parameter [alpha], the sum of the autoregressive coefficients. The estimate of [alpha] is the OLS estimate obtained from an autoregression applied to detrended data and is truncated to take a value 1 whenever…

答复AI 解读

Journal of Business and Economic Statistics. July 1, 2009, 27(3): 331-339. doi:10.1198/jbes.2009.08350. \nIn our article, we explain that the coefficients of the NKPC\nare not identified when λ = 0. For analytical tractability, our\nidentification analysis was based on the pure forward-looking\nversion of the NKPC but the result also applies to the hybrid\nversion [γb = 0 in Equation (2) in the article]; see, for example, Mavroeidis (2006).

GMM 中的弱工具变量稳健检验与新凯恩斯菲利普斯曲线AI 解读

We discuss weak instrument robust statistics in GMM for testing hypotheses on the full parameter vector or on subsets of the parameters. We use these test procedures to reexamine the evidence on the new Keynesian Phillips curve model. We find that U.S. postwar data are consistent with the view that inflation dynamics are predominantly forward-looking, but we cannot rule out the presence of considerable backward-looking dynamics. Moreover, the Phillips curve has become…

含单整或平稳噪声的趋势变化检验AI 解读

We consider testing for structural changes in the trend function of a time series without any prior knowledge of whether the noise component is stationary or integrated. Following Perron and Yabu (2009), we consider a quasi-feasible generalized least squares procedure that uses a super-efficient estimate of the sum of the autoregressive parameters αwhen α=1. This allows tests of basically the same size with stationary or integrated noise regardless of whether the break is…