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谱密度的广义似然比检验AI 解读

There are few techniques available for testing whether or not a family of parametric times series models fits a set of data reasonably well without serious restrictions on the forms of alternative models. In this paper, we consider generalised likelihood ratio tests of whether or not the spectral density function of a stationary time series admits certain parametric forms. We propose a bias correction method for the generalised likelihood ratio test of Fan et al. (2001). In…

相关残差多因子模型的识别AI 解读

We specify some conditions for the identification of a multi‐factor model with correlated residuals, uncorrelated factors and zero restrictions in the factor loadings. These conditions are derived from the results of Stanghellini (1997) and Vicard (2000) which deal with single‐factor models with zero restrictions in the concentration matrix. Like these authors, we make use of the complementary graph of residuals and the conditions build on the role of odd cycles in this…

非高斯时间序列模型的多步采样器：对 Shephard 与 Pitt（1997）的评论AI 解读

This note points out a problem in the multi‐move sampler as proposed by Shephard & Pitt (1997) and provides an alternative correct formulation.

高斯时间序列中 Whittle 测度的相互毗连性AI 解读

For a stationary time series, Whittle constructed a likelihood for the spectral density based on the approximate independence of the discrete Fourier transforms of the data at certain frequencies. Whittle's likelihood has been widely used in the literature for constructing estimators. In this paper, we show that, for a Gaussian time series, the Whittle measure is mutually contiguous with the actual distribution of the data. As a consequence, most asymptotic properties of…

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通过最大化“脏”马尔可夫随机场后验进行平滑的统计分析AI 解读

We consider Bayesian nonparametric function estimation using a Markov random field prior based on the Laplace distribution. We describe efficient methods for finding the exact maximum a posteriori estimate, which handle constraints naturally and avoid the problems posed by nondifferentiability of the posterior distribution; the methods also make links to spline and wavelet smoothers and to a dual posterior distribution. Three automatic smoothing parameter selection…

时间序列背景下条件均值差异的检验AI 解读

In this article we study tests for equality of two regression curves when the inputs are driven by a time series. The basic process underlying the test statistics is the empirical process of the time series marked by the difference in the pertaining dependent variables. The main results hold under strict stationarity of the input variables, but no mixing condition or special modeling of the time series will be necessary. A simulation study is reported on, which illustrates…

非线性时间序列的蒙特卡洛平滑AI 解读

We develop methods for performing smoothing computations in general state-space models. The methods rely on a particle representation of the filtering distributions, and their evolution through time using sequential importance sampling and resampling ideas. In particular, novel techniques are presented for generation of sample realizations of historical state sequences. This is carried out in a forward-filtering backward-smoothing procedure that can be viewed as the…

A systems cointegration rank test is proposed that is applicable for vector autoregressive (VAR) processes with a structural shift at unknown time. The structural shift is modeled as a simple shift in the level of the process. It is proposed to estimate the break date first on the basis of a full unrestricted VAR model. Two alternative estimators are considered and their asymptotic properties are derived. In the next step the deterministic part of the process including the…

This paper investigates a generalized method of moments (GMM) approach to the estimation of autoregressive roots near unity with panel data and incidental deterministic trends. Such models arise in empirical econometric studies of firm size and in dynamic panel data modeling with weak instruments. The two moment conditions in the GMM approach are obtained by constructing bias corrections to the score functions under OLS and GLS detrending, respectively. It is shown that the…

更高功效的面板单位根检验及其实际汇率均值回复应用AI 解读

Abstract Unit root tests, seeking mean or trend reversion, are frequently applied to panel data. We show that more powerful variants of commonly applied tests are readily available. Moreover, power gains persist when the modifications are applied to bootstrap procedures that may be employed when cross‐correlation of a rather general sort among individual panel members is suspected. Copyright © 2004 John Wiley & Sons, Ltd.

改善正态近似的幂变换及其应用AI 解读

Summary Random variables which are positive linear combinations of positive independent random variables can have heavily right-skewed finite sample distributions even though they might be asymptotically normally distributed. We provide a simple method of determining an appropriate power transformation to improve the normal approximation in small samples. Our method contains the Wilson–Hilferty cube root transformation for χ2 random variables as a special case. We also…

双重自回归模型的估计与平稳性检验AI 解读

Summary The paper considers the double-autoregressive model yt = φyt−1+ɛt with ɛt =ηt√(ω+αyt−12). Consistency and asymptotic normality of the estimated parameters are proved under the condition E ln |φ +√αηt|<0, which includes the cases with |φ|=1 or |φ|>1 as well as E(εt2)=∞. It is well known that all kinds of estimators of φ in these cases are not normal when ɛt are independent and identically distributed. Our result is novel and surprising. Two tests are proposed for…

广义 EWMA 控制图及其与 EWMA、CUSUM、GLR 的比较AI 解读

It is known that both the optimal exponentially weighted moving average (EWMA) and cumulative sum (CUSUM) control charts are based on a given reference value $\delta$, which, for the CUSUM chart, is the magnitude of a shift in the mean to be detected quickly. In this paper a generalized EWMA control chart (GEWMA) which does not depend on $\delta$ is proposed for detecting the mean shift. We compare theoretically the GEWMA control chart with the optimal EWMA, CUSUM and the…

03.1.2 条件异方差时间序列回归中滞后解释变量的冗余性：解答AI 解读

Redundancy of lagged regressors in a conditionally heteroskedastic time series regressionAn excellent solution has been independently proposed by the S. Anatolyev, the poser of the problem.—solution.

预测方法组合的若干理论结果AI 解读

We study some methods of combining procedures for forecasting a continuous random variable. Statistical risk bounds under the square error loss are obtained under distributional assumptions on the future given the current outside information and the past observations. The risk bounds show that the combined forecast automatically achieves the best performance among the candidate procedures up to a constant factor and an additive penalty term. In terms of the rate of…

ARCH(∞) 模型的平稳性与记忆AI 解读

We establish the necessary and sufficient conditions for covariance stationarity of ARCH(∞), for both the levels and the squares. The result applies to any form of the conditional variance coefficients. This includes GARCH(p,q) and also specifications with hyperbolically decaying coefficients, such as the autoregressive coefficients of the autoregressive fractionally integrated moving average model. The covariance stationarity condition for the levels rules out long memory…

二次差分检验：去均值、去趋势方法与初始值的作用AI 解读

In this paper we investigate the impact that starting values have upon the double differencing tests of Hasza and Fuller (1979, Annals of Statistics 7, 1106–1120) and Sen and Dickey (1987, Journal of Business and Economic Statistics 5, 463–473), based on ordinary least squares (OLS) and simple symmetric least squares (SSLS) estimation, respectively. We demonstrate that, contrary to what is observed for conventional unit root tests, when based on data that have been demeaned,…

利用协变量的平稳性检验AI 解读

Two new stationarity tests are proposed. Both tests can be viewed as generalizations of existing stationarity tests and dominate these in terms of local asymptotic power. Improvements are achieved by accommodating stationary covariates. A Monte Carlo investigation of the small sample properties of the tests is conducted, and an empirical illustration from international finance is provided.This paper has benefited from the comments of Pentti Saikkonen (the co-editor), two…

近积分非高斯模型中的最优推断与稳健推断AI 解读

Elliott, Rothenberg, and Stock (1996, Econometrica 64, 813–836) derive a class of point-optimal unit root tests in a time series model with Gaussian errors. Other authors have proposed “robust” tests that are not optimal for any model but perform well when the error distribution has thick tails. I derive a class of point-optimal tests for models with non-Gaussian errors. When the true error distribution is known and has thick tails, the point-optimal tests are generally more…

非线性函数与布朗运动收敛：超越连续映射定理AI 解读

Weak convergence results for sample averages of nonlinear functions of (discrete-time) stochastic processes satisfying a functional central limit theorem (e.g., integrated processes) are given. These results substantially extend recent work by Park and Phillips (1999, Econometric Theory 15, 269–298) and de Jong (2002, working paper), in that a much wider class of functions is covered. For example, some of the results hold for the class of all locally integrable functions,…

非平稳单变量模型中的有效似然推断AI 解读

Recent literature shows that embedding fractionally integrated time series models with spectral poles at the long-run and/or seasonal frequencies in autoregressive frameworks leads to estimators and test statistics with nonstandard limiting distributions. However, we demonstrate that when embedding such models in a general I(d) framework the resulting estimators and tests regain desirable properties from standard statistical analysis. We show the existence of a local time…

波动减弱的美国经济AI 解读

Using a Bayesian model comparison strategy, we search for a volatility reduction in U.S. real gross domestic product (GDP) growth within the postwar sample. We find that aggregate real GDP growth has been less volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real GDP.Sales and production growth in many of the components of real GDP display similar reductions in volatility, suggesting the aggregate volatility…