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分位数自回归AI 解读

We consider quantile autoregression (QAR) models in which the autoregressive coefficients can be expressed as monotone functions of a single, scalar random variable. The models can capture systematic influences of conditioning variables on the location, scale, and shape of the conditional distribution of the response, and thus constitute a significant extension of classical constant coefficient linear time series models in which the effect of conditioning is confined to a…

用边际积分估计和检验加性模型中的变系数AI 解读

We propose marginal integration estimation and testing methods for the coefficients of varying-coefficient multivariate regression models. Asymptotic distribution theory is developed for the estimation method, which enjoys the same rate of convergence as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical results are derived under the fairly general conditions of absolute regularity (β-mixing). Application of the…

用二元混合转移分布模型刻画带标记点过程AI 解读

We propose new probability models for the analysis of marked point processes. These models deal with the type of data that arrive or are observed in possibly unequal time intervals, such as financial transactions and earthquakes, among others. The models treat both the time between event arrivals and the observed marks as stochastic processes. We adopt a class of bivariate distributions to form the bivariate mixture transition distribution. In these models the conditional…

预测者多快吸收新信息？跨国调查证据AI 解读

Abstract Using forecasts from Consensus Economics Inc., we provide evidence on the efficiency of real GDP growth forecasts by testing whether forecast revisions are uncorrelated. As the forecast data used are multi‐dimensional—18 countries, 24 monthly forecasts for the current and the following year and 16 target years—the panel estimation takes into account the complex structure of the variance–covariance matrix due to propagation of shocks across countries and economic…

基于德国数据的欧元区小型货币系统AI 解读

Abstract Previous euro area money demand studies have used aggregated national time series data from the countries participating in the European Monetary Union (EMU). However, aggregation may be problematic because macroeconomic convergence processes have taken place in the countries of interest. Therefore, in this study, quarterly German data until 1998 are combined with data from the euro area from 1999 until 2002 and these series are used for fitting a small vector error…

状态空间模型中的有效似然估计AI 解读

Motivated by studying asymptotic properties of the maximum likelihood estimator (MLE) in stochastic volatility (SV) models, in this paper we investigate likelihood estimation in state space models. We first prove, under some regularity conditions, there is a consistent sequence of roots of the likelihood equation that is asymptotically normal with the inverse of the Fisher information as its variance. With an extra assumption that the likelihood equation has a unique root…

非参数自回归与非参数回归的渐近等价性AI 解读

It is proved that nonparametric autoregression is asymptotically equivalent in the sense of Le Cam’s deficiency distance to nonparametric regression with random design as well as with regular nonrandom design.

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Burridge–Guerre 非参数单位根检验的推广AI 解读

In this note the nonparametric unit root test of Burridge and Guerre (1996, Econometric Theory, 12, 705–723), which is based on the standardized number of crossings of a level of a random walk, is extended in two ways, allowing for a deterministic trend in the process and more general innovations. The test has a well-known standard limit distribution. Monte Carlo experiments revealed the good finite-sample properties of the proposed test.The authors appreciate helpful…

内生解释变量单方程协整模型中的 fixed-b 渐近理论AI 解读

This note uses fixed bandwidth (fixed-b) asymptotic theory to suggest a new approach to testing cointegration parameters in a single-equation cointegration environment. It is shown that the standard tests still have asymptotic distributions that are free of serial correlation nuisance parameters regardless of the bandwidth or kernel used, even if the regressors in the cointegration relationship are endogenous.I thank Tim Vogelsang for his guidance, Pentti Saikkonen for the…

基于小波谱密度估计的多元时间序列序列相关检验AI 解读

A new one-sided test for serial correlation in multivariate time series models is proposed. The test is based on a comparison between a multivariate spectral density estimator and the spectral density under the null hypothesis of no serial correlation. Duchesne and Roy (2004, Journal of Multivariate Analysis 89, 148–180) considered a multivariate kernel-based spectral density estimator. However, when the spectral density exhibits irregular features (because of strong…

动态回归模型的数据驱动非参数设定检验AI 解读

The paper introduces a new nonparametric specification test for dynamic regression models. The test combines chi-square statistics based on Fourier series regression. A data-driven choice of the regression order, which uses the square root of the number of Fourier coefficients, is proposed. The benefits of the new test are (1) the selection procedure produces explicit and chi-square critical values that give a finite-sample size close to the nominal size; (2) the test is…

气温序列趋势的半参数估计与检验AI 解读

The application of a partially linear model to global and hemispheric temperature series is proposed. Partially linear modelling allows the trend to take a very general form rather than imposing the restriction of linearity seen in existing studies. The removal of the linearity restriction is based on the fact that it is well accepted that a significant trend is present in global temperature series. The model will allow for the data to "speak for themselves" with regard to…

平稳与非平稳协整回归的工具变量估计AI 解读

Instrumental variables estimation is classically employed to avoid simultaneous equations bias in a stable environment. Here we use it to improve upon ordinary least-squares estimation of cointegrating regressions between non-stationary and/or long memory stationary variables where the integration orders of regressor and disturbance sum to less than 1, as happens always for stationary regressors, and sometimes for mean-reverting non-stationary ones. Unlike in the classical…

三区制SETAR模型中的单位根检验AI 解读

This paper proposes a simple testing procedure to distinguish a unit root process from a globally stationary three-regime self-exciting threshold autoregressive process. Following the threshold cointegration literature we assume that the process follows the random walk in the corridor regime, and therefore we propose that the null of a unit root be tested by the Wald statistic for the joint significance of autoregressive parameters in both lower and upper regimes. We…

初始观测来自无条件分布时的单位根检验与结构变化AI 解读

Following Elliott (1999; International Economic Review 40, 767--83.) and Perron and Rodríguez (2003; Journal of Econometrics 115,1--27), we develop unit root tests in the context of structural change models using GLS detrended data ( Elliott, Rothenberg and Stock 1996; Econometrica 64, 813--39) when the initial observation is drawn from its unconditional distribution. We derive the limiting distributions of the M-tests ( Stock, 1999 cointegration, causality and forecasting;…

含结构突变的单位根检验：联合假设的设定AI 解读

Several tests based on a t-ratio have been proposed in the literature to decide the order of integration of a time series allowing for a structural break. However, another approach based on testing a joint hypothesis of unit root and the irrelevance of some nuisance parameters is also feasible. This paper proposes new unit root tests consistent with the presence of a structural break applying this second perspective. Our approach deals both with the case where the break is…

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扩散指数预测的置信区间与因子增强回归推断AI 解读

We consider the situation when there is a large number of series, N, each with T observations, and each series has some predictive ability for some variable of interest. A methodology of growing interest is first to estimate common factors from the panel of data by the method of principal components and then to augment an otherwise standard regression with the estimated factors. In this paper, we show that the least squares estimates obtained from these factor-augmented…

利率的树结构多状态模型AI 解读

This article develops a generalized tree-structured (GTS) model of the short-term interest rate that accommodates regime-dependent mean reversion and regime-dependent volatility clustering and level effects in the conditional variance. The model is constructed using the idea of multivariate tree-structured thresholds and nests the popular generalized autoregressive conditional heteroscedasticity and square root processes as simple special cases. It allows us to estimate the…

追踪欧元区商业周期AI 解读

This article proposes a multivariate bandpass filter based on the trend plus cycle decomposition model. The underlying multivariate dynamic factor model relies on specific formulations for trend and cycle components and produces smooth business cycle indicators with bandpass filter properties. Furthermore, cycle shifts for individual time series are incorporated as part of the multivariate model and estimated simultaneously with the remaining parameters. The inclusion of…