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具有稳定型误差的温和爆炸自回归的极限定理AI 解读

We discuss the limiting behavior of the serial correlation coefficient in mildly explosive autoregression, where the error sequence is in the domain of attraction of an α-stable law, α ∈ (0,2]. Therein, the autoregressive coefficient ρ = ρn > 1 is assumed to satisfy the condition ρn → 1 such that n(ρn − 1) → ∞ as n → ∞. In contrast to the vast majority of existing literature in the area, no specific form of ρ is required. We show that the serial correlation coefficient…

半参数多元波动率模型AI 解读

We consider a model for a multivariate time series where the conditional covariance matrix is a function of a finite-dimensional parameter and the innovation distribution is nonparametric. The semiparametric lower bound for the estimation of the euclidean parameter is characterized, and it is shown that adaptive estimation without reparametrization is not possible. Based on a consistent first-stage estimator (such as quasi maximum likelihood), we propose a semiparametric…

扩散过程的扩散函数参数设定检验AI 解读

A new consistent test is proposed for the parametric specification of the diffusion function in a diffusion process without any restrictions on the functional form of the drift function. The data are assumed to be sampled discretely in a time interval that can be fixed or lengthened to infinity. The test statistic is shown to follow an asymptotic normal distribution under the null hypothesis that the parametric diffusion function is correctly specified. Monte Carlo…

遥远未来的贴现：模型选择如何影响确定性等价贴现率？AI 解读

Abstract Recent work in evaluating investments with long‐term consequences has turned towards establishing a schedule of Declining Discount Rates (DDRs). Using US data we show that the employment of models that account for changes in the interest rate generating mechanism has important implications for operationalising a theory of DDRs that depends upon uncertainty. The policy implications of DDRs are then analysed in the context of climate change for the USA, where the use…

平稳与非平稳 ARFIMA 过程的最小距离估计AI 解读

A new parametric minimum distance time-domain estimator for ARFIMA processes is introduced in this paper. The proposed estimator minimizes the sum of squared correlations of residuals obtained after filtering a series through ARFIMA parameters. The estimator is easy to compute and is consistent and asymptotically normally distributed for fractionally integrated (FI) processes with an integration order d strictly greater than −0.75. Therefore, it can be applied to both…

单位根检验能否区分单位根过程与平稳非线性过程？AI 解读

Standard unit-root tests are known to be biased towards the non-rejection of a unit-root when they are applied to time series with non-linear dynamics. Unfortunately, not much is known about the source of the power loss mainly because the analysis on nonstationarity and nonlinearity to this date has been fragmentary. By means of a Monte Carlo study, the current paper investigates the finite sample performance of five popular unit-root tests against a wide class of non-linear…

单整结构动态模型的滞后增广两阶段与三阶段最小二乘估计AI 解读

We consider a lag-augmented two- or three-stage least-squares estimator for a structural dynamic model of non-stationary and possibly cointegrated variables without the prior knowledge of unit roots or rank of cointegration. We show that the conventional two-and three-stage least-squares estimators are consistent but contain non-standard distributions without the strict exogeneity assumption; hence the conventional Wald type test statistics may not be chi-square distributed.…

椭圆对称条件下动态非线性系统的半参数效率界AI 解读

We analyze semiparametric efficient estimation of non-linear simultaneous equation models in a time series context and derive a semiparametric efficiency bound for estimation of the parameters when the errors are i.i.d. from an unknown elliptically symmetric density. We derive the bound in the case of errors that are elliptically symmetric conditional on predetermined variables. Copyright Royal Economic Society 2007

时间序列线性检验AI 解读

process, and is consistent against non-linearity of either form. Finite sample simulation evidence, together with empirical evidence from an application to US Dollar real exchange rates, suggests that our procedure should work well in practice. Copyright Royal Economic Society 2007

摘要暂缺

一种简单的风险调整指数加权移动平均AI 解读

In such contexts as medical monitoring there is a need for a simple procedure to estimate the level of a smoothly changing dynamic process while adjusting for risk factors associated with heterogeneous nonnormal observations. Standard methods exist for when the data are normal, and simple methods have been developed for nonnormal data without covariates. The dynamic generalized linear model (DGLM) may be considered a standard for nonnormal data with covariates, but perhaps…

日度电力现货价格的周期季节性 Reg-ARFIMA–GARCH 模型AI 解读

Novel periodic extensions of dynamic long-memory regression models with autoregressive conditional heteroscedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method of approximate maximum likelihood. The methods are implemented for time series of 1,200–4,400 daily price observations in four European power markets. Apart from persistence,…

利用半参数贝叶斯方法预测美国癌症死亡人数AI 解读

We present two models for the short-term prediction of the number of deaths arising from common cancers in the United States. The first is a local linear model, in which the slope of the segment joining the number of deaths for any two consecutive time periods is assumed to be random with a nonparametric distribution, which has a Dirichlet process prior. For slightly longer prediction periods, we present a local quadratic model. This extension of the local linear model…

分数单位根的有效 Wald 检验AI 解读

In this article we introduce efficient Wald tests for testing the null hypothesis of the unit root against the alternative of the fractional unit root. In a local alternative framework, the proposed tests are locally asymptotically equivalent to the optimal Robinson Lagrange multiplier tests. Our results contrast with the tests for fractional unit roots, introduced by Dolado, Gonzalo, and Mayoral, which are inefficient. In the presence of short range serial correlation, we…

多元回归中结构变化的估计与检验AI 解读

This paper considers issues related to estimation, inference, and computation with multiple structural changes that occur at unknown dates in a system of equations. Changes can occur in the regression coefficients and/or the covariance matrix of the errors. We also allow arbitrary restrictions on these parameters, which permits the analysis of partial structural change models, common breaks that occur in all equations, breaks that occur in a subset of equations, and so…

存在截面依赖时的简单面板单位根检验AI 解读

Abstract A number of panel unit root tests that allow for cross‐section dependence have been proposed in the literature that use orthogonalization type procedures to asymptotically eliminate the cross‐dependence of the series before standard panel unit root tests are applied to the transformed series. In this paper we propose a simple alternative where the standard augmented Dickey–Fuller (ADF) regressions are augmented with the cross‐section averages of lagged levels and…

非平稳面板的子抽样假设检验：汇率与股票价格应用AI 解读

Abstract This paper studies subsampling hypothesis tests for panel data that may be nonstationary, cross‐sectionally correlated, and cross‐sectionally cointegrated. The subsampling approach provides approximations to the finite sample distributions of the tests without estimating nuisance parameters. The tests include panel unit root and cointegration tests as special cases. The number of cross‐sectional units is assumed to be finite and that of time‐series observations…

意大利内部迁移的长期趋势：存在个体依赖的面板协整研究AI 解读

Abstract The objective of this paper is to examine the long‐run determinants of internal migrations from southern Italy. In order to accomplish this task, the paper develops a bootstrap test for panel cointegration analysis with dependent units. Monte Carlo simulations show that the test, based on the Continuous‐Path Block bootstrap, has good power and size properties and is robust to both short‐ and long‐run dependence across units. The empirical analysis points to income…

欧盟内部贸易引力模型：异质共同因子面板中的 CCEP-HT 估计AI 解读

Abstract We follow recent developments of panel data studies and allow for the existence of both observed and unobserved common factors where their individual responses are allowed to be heterogeneous. We then develop a generalized Hausman–Taylor estimation methodology, and apply our proposed estimation technique to an analysis of the gravity equation of bilateral trade flows among 15 European countries over 1960–2001. Empirical results demonstrate that our proposed approach…

面板单位根检验与空间依赖AI 解读

Abstract This paper studies the performance of panel unit root tests when spatial effects are present that account for cross‐section correlation. Monte Carlo simulations show that there can be considerable size distortions in panel unit root tests when the true specification exhibits spatial error correlation. These tests are applied to a panel data set on net real income from the 1000 largest French communes observed over the period 1985–1998. Copyright © 2007 John Wiley &…

面板单位根检验中截面依赖的动态因子提取AI 解读

Abstract Recently, considerable emphasis has been placed on the problems arising out of cross‐sectional dependence in panel unit root tests. This paper adopts the factor‐based cross‐sectional dependence paradigm of Bai and Ng ( 2005 ) but suggests alternative factor extraction methods. Some theoretical results for these methods are provided. Further, a detailed Monte Carlo study of these methods for multiple and persistent factors is undertaken. It is found that results are…

社会资本、生产壁垒与资本份额：非平稳面板中的参数异质性AI 解读

Abstract Recent advances in the growth literature have proposed that difficult‐to‐quantify concepts such as social capital may play an important role in explaining the degree of persistent income disparity that is observed among countries. Other recently explored possibilities include institutional mechanisms which generate barriers to aggregate production. An important limitation for empirical work in this area stems from the fact that it is difficult to distinguish sources…

利用多分辨率近似对分形过程进行推断AI 解读

We consider Bayesian inference via Markov chain Monte Carlo for a variety of fractal Gaussian processes on the real line. These models have unknown parameters in the covariance matrix, requiring inversion of a new covariance matrix at each Markov chain Monte Carlo iteration. The processes have no suitable independence properties so this becomes computationally prohibitive. We surmount these difficulties by developing a computational algorithm for likelihood evaluation based…

多个时间序列片段的对齐AI 解读

We consider a local least-squares criterion for aligning multiple time series fragments differing by locations and show the consistency of the time-lag estimator and the asymptotic normality of the location estimator. We apply the criterion to the problem of aligning 50 glacial varve fragments and construct a 3000-year surrogate for global temperature.