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ARMAX 时间序列模型的多折预测验证AI 解读

This article presents a new procedure for multifold predictive validation in time series. The procedure is based on the so-called “filtered residuals,” in-sample prediction errors evaluated in such a way that they are similar to out-of-sample ones. The filtered residuals are obtained from parameters estimated by eliminating from the estimation process the estimated innovations at the points to be predicted. Thus, instead of using the deletion of observations to validate the…

用马尔可夫转换模型与工具变量检验远期汇率无偏假说AI 解读

Abstract This paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing the unbiased forward exchange rate (UFER) hypothesis. Using US/UK data, it is shown that the UFER hypothesis cannot be rejected, provided that instrumental variables are used to account for within‐regime correlation between explanatory variables and disturbances in the Markov…

估值比率与长期股票价格可预测性AI 解读

Abstract Using annual data for 1872–1997, this paper re‐examines the predictability of real stock prices based on price–dividend and price–earnings ratios. In line with the extant literature, we find significant evidence of increased long‐horizon predictability; that is, the hypothesis that the current value of a valuation ratio is uncorrelated with future stock price changes cannot be rejected at short horizons but can be rejected at longer horizons based on bootstrapped…

股票收益建模与预测：利用期货信息、区制转换和国际溢出AI 解读

Abstract This paper proposes a vector equilibrium correction model of stock returns that exploits the information in the futures market, while allowing for both regime‐switching behaviour and international spillovers across stock market indices. Using data for three major stock market indices since 1989, we find that: (i) in sample, our model outperforms several alternative models on the basis of standard statistical criteria; (ii) in out‐of‐sample forecasting, our model…

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互补自动建模方法的比较：RETINA 与 PcGetsAI 解读

In Perez-Amaral, Gallo, and White (2003, Oxford Bulletin of Economics and Statstics 65, 821–838), the authors proposed an automatic predictive modeling tool called relevant transformation of the inputs network approach (RETINA). It is designed to embody flexibility (using nonlinear transformations of the predictors of interest), selective search within the range of possible models, control of collinearity, out-of-sample forecasting ability, and computational simplicity. In…

利用子空间方法估计线性动态系统AI 解读

This paper provides a survey on a class of so-called subspace methods whose main proponent is CCA proposed by Larimore (1983, Proceedings of the 1983 American Control Conference 2 ). Because they are based on regressions these methods for the estimation of ARMAX systems are attractive as a result of their conceptual simplicity and their numerical advantages as compared to traditional estimators based on criterion optimization. Under the assumption of correct specification…

稳健协方差矩阵估计：长记忆与反持续性修正的 HAC 估计AI 解读

Smoothed nonparametric estimates of the spectral density matrix at zero frequency have been widely used in econometric inference, because they can consistently estimate the covariance matrix of a partial sum of a possibly dependent vector process. When elements of the vector process exhibit long memory or antipersistence such estimates are inconsistent. We propose estimates which are still consistent in such circumstances, adapting automatically to memory parameters that can…

非平衡时间序列数据的非参数推断AI 解读

This paper is concerned with the practical problem of conducting inference in a vector time series setting when the data are unbalanced or incomplete. In this case, one can work with only the common sample, to which a standard HAC/bootstrap theory applies, but at the expense of throwing away data and perhaps losing efficiency. An alternative is to use some sort of imputation method, but this requires additional modeling assumptions, which we would rather avoid. We show how…

无限阶向量自回归的自动推断AI 解读

Infinite order vector autoregressive (VAR) models have been used in a number of applications ranging from spectral density estimation, impulse response analysis, and tests for cointegration and unit roots, to forecasting. For estimation of such models it is necessary to approximate the infinite order lag structure by finite order VARs. In practice, the order of approximation is often selected by information criteria or by general-to-specific specification tests. Unlike in…

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向量自回归模型的贝叶斯估计AI 解读

This article examines frequentist risks of Bayesian estimates of vector autoregressive (VAR) regression coefficient and error covariance matrices under competing loss functions, under various noninformative priors, and in the normal and Student-t models. Simulation results show that for the regression coefficient matrix, an asymmetric LINEX estimator does better overall than the posterior mean. No dominating estimator emerges for the error covariance matrix. We find that the…

定性变量的动态预测AI 解读

This article presents a new Qual VAR model for incorporating information from qualitative and/or discrete variables in vector autoregressions. With a Qual VAR, it is possible to create dynamic forecasts of the qualitative variable using standard VAR projections. Previous forecasting methods for qualitative variables, in contrast, produce only static forecasts. I apply the Qual VAR to forecasting the 2001 business recession out of sample and to analyzing the Romer and Romer…

汇率的长期摆动AI 解读

Several authors have reported evidence of long swings in U.S. dollar exchange rates by rejecting the random walk in favor of a Markov regime-switching model. We show that this evidence is not robust to an extension of the sample period. One should, however, not conclude that long swings are thus absent, because the tests may have insufficient power. A possible reason for this is the low data frequency, because existing tests are based on quarterly data, and we find that the…

参数已知的潜在协整向量非平稳性检验的最优功效AI 解读

Theory often specifies a particular cointegrating vector among integrated variables, and testing for a unit root in the known cointegrating vector is often required. Although it is common to simply use a univariate test for a unit root for this test, it is known that this does not take into account all available information. We show here that in such testing situations, a family of tests with optimality properties exists. We use this to characterize the extent of the loss in…

时间序列数据的偏度、峰度与正态性检验AI 解读

We present the sampling distributions for the coefficient of skewness, kurtosis, and a joint test of normality for time series observations. We show that when the data are serially correlated, consistent estimates of three-dimensional long-run covariance matrices are needed for testing symmetry or kurtosis. These tests can be used to make inference about any conjectured coefficients of skewness and kurtosis. In the special case of normality, a joint test for the skewness…

可贸易品与非贸易品购买力平价的收敛速度AI 解读

This article estimates the speed of the adjustment coefficient in structural error-correction models. We use a system method for real exchange rates of traded and nontraded goods by combining a single-equation method with Hansen and Sargent's instrumental variables methods for linear rational expectations models. We apply these methods to a modified version of Mussa's model. Our results show that the half-lives of purchasing power parity deviations for the rates of traded…

非线性与衰退的永久影响AI 解读

Abstract This paper presents a new nonlinear time series model that captures a post‐recession ‘bounce‐back’ in the level of aggregate output. While a number of studies have examined this type of business cycle asymmetry using recession‐based dummy variables and threshold models, we relate the ‘bounce‐back’ effect to an endogenously estimated unobservable Markov‐switching state variable. When the model is applied to US real GDP, we find that the Markov‐switching regimes are…

美国与欧元区经济周期的冲击和摩擦比较：贝叶斯 DSGE 方法AI 解读

Abstract This paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy over a common sample period (1974–2002). The structural estimation methodology allows us to investigate whether differences in business cycle behaviour are due to differences in the type of shocks that affect the two economies, differences in the propagation mechanism of those shocks, or differences in the way the central bank responds to those…

马尔可夫转换模型能多好地描述实际经济周期？以同步性为例AI 解读

Abstract The objective of this paper is to evaluate the effectiveness of using a Markov switching model to measure the synchronization of business cycles. We use a Bayesian, Gibbs sampling approach to estimate a multivariate Markov switching model of GDP growth for several countries. We look for evidence of synchronization across countries in the sense of common Markov states, covariance of impulses and a long‐run co‐integrating relationship. We then use the fitted data…