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流动性效应的结构模型AI 解读

In this paper we examine a number of recent studies that claim to have obtained a well-defined liquidity effect using structural VAR models based on broad measures of money. These studies can be distinguished in terms of the identifying restrictions, sample periods, and frequency of data used. We show that estimation of the structural coefficients of all these models can be achieved by instrumental-variable methods, where the instruments are predetermined variables and the…

商业周期转折点、新同步指数与持续期依赖：状态转换动态因子模型AI 解读

The synthesis of the dynamic factor model of Stock and Watson (1989) and the regime-switching model of Hamilton (1989) proposed by Diebold and Rudebusch (1996) potentially encompasses both features of the business cycle identified by Burns and Mitchell (1946): (1) comovement among economic variables through the cycle and (2) nonlinearity in its evolution. However, maximum-likelihood estimation has required approximation. Recent advances in multimove Gibbs sampling…

脉冲响应函数的小样本置信区间AI 解读

Bias-corrected bootstrap confidence intervals explicitly account for the bias and skewness of the small-sample distribution of the impulse response estimator, while retaining asymptotic validity in stationary autoregressions. Monte Carlo simulations for a wide range of bivariate models show that in small samples bias-corrected bootstrap intervals tend to be more accurate than delta method intervals, standard bootstrap intervals, and Monte Carlo integration intervals. This…

失业持续性：冲击规模是否重要？AI 解读

One of the stylized facts of unemployment is that shifts in its mean rate between decades and half-decades account for most of its variance. In this paper, we use a statistical analysis based on Markov switching regression models to identify the dates of infrequent changes in the mean of the unemployment rate series of fifteen countries. We find that in most countries, unemployment persistence is much reduced once the (infrequently) changing mean rate, induced by large…

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非平稳自回归模型中残差序贯经验过程的弱收敛AI 解读

This paper establishes the weak convergence of the sequential empirical process $\hat{K}_n$ of the estimated residuals in nonstationary autoregressive models. Under some regular conditions, it is shown that $\hat{K}_n$ converges weakly to a Kiefer process when the characteristic polynomial does not include the unit root 1; otherwise $\hat{K}_n$ converges weakly to a Kiefer process plus a functional of stochastic integrals in terms of the standard Brownian motion. The latter…

长记忆过程的状态空间建模AI 解读

This paper develops a state space modeling for long-range dependent data. Although a long-range dependent process has an infinite-dimensional state space representation, it is shown that by using the Kalman filter, the exact likelihood function can be computed recursively in a finite number of steps. Furthermore, an approximation to the likelihood function based on the truncated state space equation is considered. Asymptotic properties of these approximate maximum likelihood…

X-12-ARIMA 季节调整程序的新功能与方法——回复AI 解读

David F. Findley, Brian C. Monsell, William R. Bell, Mark C. Otto, Bor-Chung Chen, [New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program]: Reply, Journal of Business & Economic Statistics, Vol. 16, No. 2 (Apr., 1998), pp. 169-177

结构不稳定性与库存的生产平滑模型AI 解读

The production-smoothing model of inventories implies that inventories, labor inputs, sales, and factor input prices are cointegrated if sales and factor prices are I(1) with one cointegrating vector for each state variable held. These propositions are tested in six nondurable-goods industries. All industries provide evidence of cointegration. Fewer quasi-fixed factors are found than previous research often assumed. Estimates of cointegrating vectors provide implausible…

预测涵盖检验AI 解读

The authors consider the situation in which two forecasts of the same variable are available. The possibility exists of forming a combined forecast as a weighted average of the individual ones and estimation the weights that should be optimally attached to each forecast. If the entire weight should optimally be associated with one forecast, that forecast is said to encompass the other. A natural test for forecast encompassing is based on least squares regression. The authors…

股票收益中的非线性与非平稳性AI 解读

This article addresses the question of whether recent findings of nonlinearities in high-frequency financial time series have been contaminated by possible shifts in the distribution of the data. It applies a recursive version of the Brock-Dechert-Scheinkman statistic to daily data on two stock-market indexes between January 1980 and December 1990. It is shown that October 1987 is highly influential in the characterization of the stock-market dynamics and appears to…

X-12-ARIMA 季节调整程序的新功能与方法AI 解读

X-12-ARIMA is the Census Bureau's new seasonal-adjustment program. It provides four types of enhancements to X-ll-ARIMA—(1) alternative seasonal, trading-day, and holiday effect adjustment capabilities that include adjustments for effects estimated with user-defined regressors; additional seasonal and trend filter options; and an alternative seasonal-trend-irregular decomposition; (2) new diagnostics of the quality and stability of the adjustments achieved under the options…

Hilbert 空间值依赖异质数组的中心极限定理与函数中心极限定理及应用AI 解读

We obtain new central limit theorems (CLT's) and functional central limit theorems (FCLT's) for Hilbert-valued arrays near epoch dependent on mixing processes, and also new FCLT's for general Hilbert-valued adapted dependent heterogeneous arrays. These theorems are useful in delivering asymptotic distributions for parametric and nonparametric estimators and their functionals in time series econometrics. We give three significant applications for near epoch dependent…

扩散过程的准间接推断AI 解读

We discuss an estimation procedure for continuous-time models based on discrete sampled data with a fixed unit of time between two consecutive observations. Because in general the conditional likelihood of the model cannot be derived, an indirect inference procedure following Gouriéroux, Monfort, and Renault (1993, Journal of Applied Econometrics 8, 85–118) is developed. It is based on simulations of a discretized model. We study the asymptotic properties of this…

协整系统中的结构变化检验AI 解读

This paper considers tests for structural change of the cointegrating vector and the adjustment vector in the error correction model with an unknown change point. This paper derives new tests for structural change, which are applicable to maximum likelihood estimation. Our tests for structural change of the cointegrating vector have the same nonstandard asymptotic distributions that have been found by Hansen (1992a, Journal of Business and Economic Statistics 10, 321–335).…

季节单位根的 Phillips–Perron 型检验AI 解读

In this paper we consider a semiparametric version of the test for seasonal unit roots suggested by Hylleberg, Engle, Granger, and Yoo (1990, Journal of Econometrics 44, 215–238). The asymptotic theory is based on the analysis of a simple regression problem, and the results apply to tests at any given frequency in the range (0,π]. Monte Carlo simulations suggest that the test may have more power than the parametric test of Hylleberg et al. (1990). On the other hand, the…

单整向量自回归过程的参数化刻画AI 解读

This paper provides a polynomial factorization theorem that is then used to extend the characterization parts of the parametric representation theorems of Johansen (1992, Econometric Theory 8, 188–202) for vector autoregressive processes integrated of up to order 2. A characterization theorem is provided in the general case of an I ( d ) process. For the discussion of the complicated polynomial cointegration properties of such processes, the case of an I (3) process is…

序列匹配：分类时间序列的交叉谱分析AI 解读

We consider the problem of quantifying the degree to which two stationary categorical time series are coherent. The goal is to discover whether or not the sequences contain similar patterns. The problem is motivated by the problem of matching two DNA sequences. Following the ideas used in defining the spectral envelope for a qualitativevalued time series, the methods we present here focus on the problem of obtaining coherency envelopes for measuring the similarity between…

从无偏线性估计方程到无偏估计量AI 解读

We suggest in this paper bias correction and prevention measures for the estimator defined as a solution to an unbiased linear estimating equation. A new formula for the exact bias of this estimator is presented and is expressed as a convergent sequence. Feasible exact bias correction based on the formula is computationally straightforward. Connections to Firth's (1993) device of bias prevention are drawn. The primary application is to the first-order autoregression model.

时变参数模型中系数方差的中位数无偏估计AI 解读

This article considers inference about the variance of coefficients in time-varying parameter models with stationary regressors. The Gaussian maximum likelihood estimator (MLE) has a large point mass at 0. We thus develop asymptotically median unbiased estimators and asymptotically valid confidence intervals by inverting quantile functions of regression-based parameter stability test statistics, computed under the constant-parameter null. These estimators have good…

具有相关随机误差的平滑样条模型AI 解读

Spline-smoothing techniques are commonly used to estimate the mean function in a nonparametric regression model. Their performances depend greatly on the choice of smoothing parameters. Many methods of selecting smoothing parameters such as generalized maximum likelihood (GML), generalized cross-validation (GCV), and unbiased risk (UBR), have been developed under the assumption of independent observations. They tend to underestimate smoothing parameters when data are…

多元时间序列的判别与聚类AI 解读

Minimum discrimination information provides a useful generalization of likelihood methodology for classification and clustering of multivariate time series. Discrimination between different classes of multivariate time series that can be characterized by differing covariance or spectral structures is of importance in applications occurring in the analysis of geophysical and medical time series data. For discrimination between such multivariate series, Kullback-Leibler…

部分可交换二元数据的依赖阶数评估AI 解读

The problem we consider is how to assess the order of serial dependence within partially exchangeable binary sequences. We obtain exact conditional tests comparing any two orders by finding the conditional distribution of data given certain transition counts. These tests are facilitated with a new Monte Carlo scheme. Asymptotic tests are also discussed. In particular, we show that the likelihood ratio tests have an asymptotic chi-squared distribution, thus generalizing the…

具有相关随机误差的平滑样条模型AI 解读

Spline-smoothing techniques are commonly used to estimate the mean function in a nonparametric regression model. Their performances depend greatly on the choice of smoothing parameters. Many methods of selecting smoothing parameters such as generalized maximum likelihood (GML), generalized cross-validation (GCV), and unbiased risk (UBR), have been developed under the assumption of independent observations. They tend to underestimate smoothing parameters when data are…