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用于预测的神经网络模型AI 解读

In this article we introduce a neural net designed for nonlinear statistical prediction. The net is based on a stochastic model featuring a multilayer feedforward architecture with random connections between units and noisy response functions. A Bayesian inferential procedure for this model, based on the Kalman filter, is derived. The resulting learning algorithm generalizes the so-called onedimensional Newton method, an updating algorithm currently popular in the neural net…

移动平均模型的简单非迭代估计量AI 解读

We examine a simple noniterative estimator for the parameters of a general moving average process. This non-maximum-likelihood estimator derives moving average model parameters directly from the coefficients of an approximating autoregressive model. The estimator is evaluated through asymptotic expansions and by simulation, and is also compared with maximum likelihood and the related estimator of Durbin (1959). The comparison with maximum likelihood by simulation suggests a…

基于扩散过程离散观测的贝叶斯因子AI 解读

We present an approach to model selection for a time series of data on a fine time scale. The underlying process generating the data is modelled as a continuous time stochastic process. The underlying continuous processes are assumed to be diffusions with time varying drift and diffusion coefficient. Several approaches to modelling the diffusion coefficient are described. To perform model selection, we propose an approximation to the Bayes factor that uses only the discrete…

以协整为原假设、无协整为备择的残差检验AI 解读

This paper proposes a residual-based test of the null of cointegration using a structural single equation model. It is shown that the limiting distribution of the test statistic for cointegration can be made free of nuisance parameters when the cointegrating relation is efficiently estimated. The limiting distributions are given in terms of a mixture of a Brownian bridge and vector Brownian motion. It is also shown that this test is consistent. Critical values are given for…

使用有限信息的渐近最优检验与外生性检验AI 解读

By appropriately partitioning the joint hypothesis of weak exogeneity and the maintained overidentifying restrictions in the linear dynamic simultaneous equations model and showing that the component subhypotheses are separable, asymptotically optimal tests for the weak exogeneity hypothesis may be constructed using limited information statistics. A necessary and sufficient condition for the separability of parametric hypotheses of the mixed implicit function and constraint…

E.J.（Ted）Hannan：学术生涯与影响AI 解读

after having been a professor of statistics there for the 27 years preceding his retirement in 1986.He held visiting appointments at many overseas universities, including Stanford and Yale, and received numerous honors for his work, including a fellowship of the Econometric Society, the Pitman medal of the Australian Statistical Society, and the Lyle medal of the Australian Academy of Sciences.For many years, Ted was the sole Fellow of the Econometric Society in Australia,…

存在线性趋势时协整秩似然比检验的有限样本性质AI 解读

This paper investigates the finite sample properties of likelihood ratio tests for 'stochastic cointegration' that have recently been proposed by S. Johansen and P. Perron and J. Y. Campbell. The author transforms the model into a canonical form and conducts a comprehensive simulation study. He finds that the test performance is very sensitive to the value of the stationary root(s) of the process and to the correlation between the innovations that drive the stationary and…

小样本偏误与调整成本AI 解读

The response of most stock variables (e.g., capital, housing, consumer durables, and prices) to exogenous impulses involves a dynamic-or 'short-run' - reaction, and a target - or 'long-run' - reaction. The difference between these two is typically attributed to some form of adjustment cost. In this paper I argue that the small sample problems of cointegrating procedures used to estimate the ' long'-run component are particularly severe when adjustment costs are important.…

ARMA 模型递归估计的稳健方法AI 解读

SUMMARY In this paper we consider the problem of fitting, recursively in time, an autoregressive moving average (ARMA) model to time series data where outliers may be present. Although many recursive estimation procedures are available for fitting ARMA models, they are based on the recursive least squares algorithm which is known to be badly affected by additive outliers. to minimize the impact of these sort of outliers we investigate some robustified versions of the…

不规则采样时间序列的连续时间自回归模型参数化AI 解读

SUMMARY An increasingly valuable tool for modelling irregularly sampled time series data is the continuous time autoregressive model. The natural parameters in this model are the coefficients of the linear stochastic differential equation describing the process which gives rise to the data. A transformation of these parameters is introduced, based on the Cayley–Hamilton transformation. The new parameter space is identical with that of discrete time autoregressive models. The…

误差修正模型中协整系数最大似然估计量的若干精确分布理论AI 解读

The author derives some exact finite sample disbibutions and characterizes the tail behavior of maximum likelihood estimators of the cointegrating coefficients in error correction models. The reduced rank regression estimator has a distribution with Cauchy-like tails and no finite moments of integer order. The maximum likelihood estimator of the coefficients in a particular triangular system representation has matrix t-distribution tails with finite integer moments to order…

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对 DeCoster 与 Mitchell《非线性货币动态》的评论AI 解读

The concept of dimension, its uses, and the difficulties in estimation are not universally well understood. A recent article in the Journal of Business & Economic Statistics by DeCoster and Mitchell (1991) (DM) illustrates our claim. Dimension calculations are useful for characterizing the topological properties of the data. The nonexistence of a lowdimensional attracting set, however, implies nothing about the presence of complicated dynamics. For succinct reference to…

双重单位根的半参数检验AI 解读

In this article, I argue that if an explosive root is considered a serious alternative to an I(2) process, then joint testing for the number of unit roots along the lines of Hasza and Fuller is preferable instead of prior differencing as suggested by Dickey and Pantula. A semiparametric equivalent of the Hasza-Fuller test that permits rather general assumptions about the innovation process is developed. The test is a straightforward generalization of the Phillips Z test for…

基于椭圆模型混合的单位根假说决策理论分析AI 解读

This paper develops a formal decision theoretic approach to testing for a unit root in economic time series. The approach is empirically implemented by specifying a loss function based on predictive variances; models are chosen so as to minimize expected loss. In addition, the paper broadens the class of likelihood functions traditionally considered in the Bayesian unit root literature. Empirical results indicate that, while the posterior probability of trend-stationarity is…

工具变量估计下细分模型与加总模型的选择AI 解读

A choice criterion is proposed for discriminating between disaggregate and aggregate models estimated by the instrumental variables method. The criterion, based on prediction errors, represents a generalization of criteria developed in the context of classical regressions models. The paper also derives general tests for aggregation bias in the instrumental variables context. The criterion and tests are applied in an analysis of U.K. employment demand. It is shown that a…

结构时间序列模型的预测表现AI 解读

Although theoretical research on the properties of structural time-series models has regularly appeared in the literature, there is as yet scant evidence on the forecasting performance of structural models relative to more traditional methods. This study compares the empirical performance of structural time-series models to four methods that are similar in complexity using 111 business and economic time series. The structural approach appears to perform quite well on annual,…

使用目标区间模型对欧洲货币体系汇率进行单变量分析AI 解读

Abstract The models in the literature on exchange‐rate target zones imply a non‐linear time series model for the exchange rate. We show how the parameters of such models can be estimated and develop Maximum Likelihood and Method of Simulated Moments estimators for the target zone model of Krugman (1991). The Maximum Likelihood estimator is based on a computationally attractive approximation to the exact predictive density of the continuous time model. Monte Carlo experiments…

一阶自回归最小二乘估计量的鞍点近似AI 解读

Phillips (1978) extended Daniels' (1956) approximation to the density of a modified correlation coefficient to obtain a saddlepoint approximation to the density of the least squares estimator in the first order noncircular autoregression. The resulting approximation is undefined in a substantial part of the tails. In this note, we establish that asuitable deformation of the contour of integration leads to a different type of saddlepoint approximation defined everywhere on…

线性模型残差自相关检验的一种方案AI 解读

This note proposes a test of goodness of fit for time series models based on the sum of the squared residual partial autocorrelations. The test statistic is asymptotically X2. Its small-sample performance is studied through a Monte Carlo experiment. It appears sensitive to erroneous specifications especially when the fitted model understates the order of the moving average component.

二次型之比各阶矩的Laplace近似AI 解读

The Laplace method for approximating integrals is applied to give a general approximation for the kth moment of a ratio of quadratic forms in random variables. The technique utilises the existence of a dominating peak at the boundary point on the range of integration. As closed form and tractable formulae do not exist in general, this simple approximation, which only entails basic algebraic operations, has evident practical appeal. We exploit the approximation to provide an…

扫描统计量检测伯努利序列变化区段的功效AI 解读

Fu & Curnow (1990) derive recursive equations to find the level of significance and power of a likelihood ratio test for a changed segment of specified length, based on the scan statistic, the maximum number of successes within the specified length. Their method is computationally feasible for segment lengths of 20 or less. We present and evaluate highly accurate approximations as well as bounds for the power function of this test that are computationally feasible even for…

平稳与部分非平稳 VARMA 过程精确似然的快速算法AI 解读

An expression for the likelihood function of a stationary vector autoregressive-moving average process is developed. The expression is very efficient numerically and applies to any stationary but not necessarily invertible model. In particular, when the multivariate process is autoregressive, the exact likelihood can be evaluated with a small number of operations depending on the order of the autoregressive operator and the process dimension, but not on the size of the…