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结构变化检验的近似渐近 p 值AI 解读

Numerical approximations to the asymptotic distributions of recently proposed tests for structural change are presented. This enables easy yet accurate calculation of asymptotic p-values. Keywords: parameter stability, changepoint models

结构变化检验的近似渐近p值AI 解读

Numerical approximations to the asymptotic distributions of recently proposed tests for structural change are presented. This enables easy yet accurate calculation of asymptotic p values. A GAUSS program is available to perform the computations.

汇率鞅假设的联合方差比检验AI 解读

There is considerable interest as to whether exchange races behave like martingales. Liu and He (1991) test the martingale hypothesis for exchange rates using the variance ratio methodology of Lo and MacKinlay (1988). They find that exchange rates have violated martingale property since the inception of floating rates in 1973. However, Liu and He did not consider the joint implications of their tests, In this paper, we reassess the martingale hypothesis for exchange rates…

ARCH与双线性模型：非线性依赖的竞争解释AI 解读

This paper consider whether the wide acceptance of ARCH models may be at the expense of other nonlinear processes, such as bilinear models. The authors first pose a joint test for ARCH and bilinearity. A nonnested test is then suggested. The tests are then applied to three series. When GARCH models are taken as the null hypothesis, the authors fail to reject it. However, when bilinearity is taken as the null, it is rejected in two cases. Also, an out-of-sample forecasting…

永久性冲击、暂时性冲击与英国经济周期AI 解读

In this paper the business cycle properties of UK data are investigated using a VAR technique. A Real Business Cycle (RBC) model is formulated. The model includes both permanent and transitory shocks to technology. The business cycle properties of the data and the model are investigated by deriving the expected changes over various forecast horizons from a VAR model. It is found, contrary to evidence in Rotemberg and Woodford (1996), that the model can account for many…

永久与暂时冲击及英国经济周期AI 解读

In this paper the business cycle properties of UK data are investigated using a VAR technique. A Real Business Cycle (RBC) model is formulated. The model includes both permanent and transitory shocks to technology. The business cycle properties of the data and the model are investigated by deriving the expected changes over various forecast horizons from a VAR model. It is found, contrary to evidence in Rotemberg and Woodford (1996), that the model can account for many…

单位根精确检验的若干性质AI 解读

This paper is concerned with the null hypothesis that errors in a regression equation for time series data follow a random walk. We examine the power properties of most powerful invariant tests for the unit root null hypotheses against exact stationary and nonstationary first order autoregressive models. The analysis shows the importance of a constant term and a linear trend variable in certain cases. The implications of the results for models estimated using seasonal data…

面向多期预测的模型选择AI 解读

Model selection for time series data based upon joint multiperiod forecasts is investigated. Some popular selection criteria are applied to a suitable multivariate regression model to create new selection criteria. Monte Carlo experiments show that the proposed selection procedure performs more efficiently than the corresponding regular procedure, particularly when the data are generated from a high order autoregressive model. Analysis of some real data supports the…

高斯时间序列随机性修正综合检验的有限样本分布AI 解读

This paper proposes three modified portmanteau tests based on the applications of the Fisher (1921) and Hotelling (1953) transformations to sample autocorrelations. The test statistics are asymptotically chi-square. Our simulation results indicate that the empirical significance levels of the proposed tests are more reliable than the portmanteau tests of Box & Pierce (1970), Ljung & Box (1978) and Dufour & Roy (1986) when the sample size is small (15 ≤ n ≤ 40) and the number…

一阶自回归模型的单位根自助法检验AI 解读

We propose bootstrap tests for unit roots in first-order autoregressive models and we establish their asymptotic validity both for independent and for autoregressive errors; in this case, the bootstrap methodology directly approaches the asymptotic distribution, making unnecessary the usual corrections due to dependence of innovations. We also present a Monte Carlo power study comparing these tests with existing alternative methods. For small samples, the power of the…

周期结构与季节单位根检验AI 解读

The standard testing procedures for seasonal unit roots developed so far have been based mainly on time-invariant autoregressive integrated moving average (ARIMA) processes with AR polynomials involving seasonal differencing. One attractive alternative is to use periodic ARMA models. Convenient procedures are presented for testing for the presence of unit roots at the zero and seasonal frequencies in periodic time series. The limiting distributions are derived and tabulated…

基于频域自助法的传递函数模型拟合检验AI 解读

Transfer function models have been used for modeling the linear dependence between stationary time series and for improving the accuracy of forecasts. This article proposes a method to evaluate the fit of such a model by comparing certain frequency domain functionals of the model with those of the data using a model-based bootstrap algorithm. The method works by checking the ability of the fitted model to reproduce the dynamic relationship and the linear dependence structure…

用混合转移分布模型描述时间序列的平坦段、突发与离群值AI 解读

The class of mixture transition distribution (MTD) time series models is extended to general non-Gaussian time series. In these models the conditional distribution of the current observation given the past is a mixture of conditional distributions given each one of the last p observations. They can capture non-Gaussian and nonlinear features such as flat stretches, bursts of activity, outliers changepoints in a single unified model class. They can also represent time series…

预测振荡模式：随机场时空分解方法的综合AI 解读

Spatial-temporal decompositions of climatologic fields have been obtained using a range of techniques, including principal component analysis (PCA) and principal oscillation patterns (POPS). PCA decompositions are forced to be correlated to the original field, but they may not capture interesting aspects of temporal variation. On the other hand, POPS decompositions focus on temporal variation but are not forced to correlate to the field. Here we introduce a hybrid of these…

四人家庭收入中位数估计：贝叶斯时间序列方法AI 解读

This article develops a general methodology for small domain estimation based on data from repeated surveys. The results are directly applied to the estimation of median income of four-person families for the 50 states and the District of Columbia. These estimates are needed by the U.S. Department of Health and Human Services (HHS) to formulate its energy assistance program for low income families. The U.S. Bureau of the Census, by an informal agreement, has provided such…

基于频域自助法的传递函数模型拟合检验AI 解读

Transfer function models have been used for modeling the linear dependence between stationary time series and for improving the accuracy of forecasts. This article proposes a method to evaluate the fit of such a model by comparing certain frequency domain functionals of the model with those of the data using a model-based bootstrap algorithm. The method works by checking the ability of the fitted model to reproduce the dynamic relationship and the linear dependence structure…

预测振荡模式：随机场时空分解方法的综合AI 解读

Spatial-temporal decompositions of climatologic fields have been obtained using a range of techniques, including principal component analysis (PCA) and principal oscillation patterns (POPS). PCA decompositions are forced to be correlated to the original field, but they may not capture interesting aspects of temporal variation. On the other hand, POPS decompositions focus on temporal variation but are not forced to correlate to the field. Here we introduce a hybrid of these…

无限阶协整向量自回归过程AI 解读

Estimation of cointegrated systems via autoregressive approximation is considered in the framework developed by Saikkonen (1992, Econometric Theory 8, 1-27). The asymptotic properties of the estimated coefficients of the autoregressive error correction model (ECM) and the pure vector autoregressive (VAR) representations are derived under the assumption that the autoregressive order goes to infinity with the sample size. These coefficients are often used for analyzing the…

双变量长记忆时间序列的谱分析AI 解读

This paper provides limit theorems for spectral density matrix estimators and functionals of it for a bivariate covariance stationary process whose spectral density matrix has singularities not only at the origin but possibly at some other frequencies and, thus, applies to time series exhibiting long memory. In particular, we show that the consistency and asymptotic normality of the spectral density matrix estimator at a frequency, say λ, which hold for weakly dependent time…

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美国与英国实际汇率的非线性模型AI 解读

This paper provides a framework for building and estimating non-linear real exchange rate models. The approach derives the stationary distribution from a continuous time error correction model and estimates this by MLE methods. The derived distribution exhibits a wide variety of distributional shapes including multimodality. The main result is that swings in the US/UK rate over the period 1973:3 to 1990:5 can be attributed to the distribution becoming bimodal with the rate…

美国与英国实际汇率的非线性模型AI 解读

This paper provides a framework for building and estimating non-linear real exchange rate models. The approach derives the stationary distribution from a continuous time error correction model and estimates this by MLE methods. The derived distribution exhibits a wide variety of distributional shapes including multimodality. The main result is that swings in the US/UK rate over the period 1973:3 to 1990:5 can be attributed to the distribution becoming bimodal with the rate…

单位根与协整检验的数值分布函数AI 解读

This paper employs response surface regressions based on simulation experiments to calculate distribution functions for some well-known unit root and cointegration test statistics. The principal contributions of the paper are a set of data files that contain estimated response surface coefficients and a computer program for utilizing them. This program, which is freely available via the Internet, can easily be used to calculate both asymptotic and finite-sample critical…

标准化 U 统计量最大值的极限定理及其应用AI 解读

We show that the maximally selected standardized U-statistic goes in distribution to an infinite sum of weighted chi-square random variables in the degenerate case. The result is applied to the detection of possible changes in the distribution of a sequence observation.