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非线性动态结构AI 解读

Methods for nonlinear impulse response analysis are introduced. The methods are based on conditional moment profiles defined for a stationary time series. Comparing conditional moment profiles to baseline profiles is the nonlinear analog of conventional impulse-response analysis. The bootstrap may be used for statistical inference. Profile bundles may be examined for evidence of damping or persistence. Application to bivariate NYSE price and volume series from 1928 to 1987…

GARCH 过程的时间聚合AI 解读

The authors derive low frequency, say weekly, models implied by high frequency, say daily, ARMA models with symmetric GARCH errors. They show that low frequency models exhibit conditional heteroskedasticity of the GARCH form as well. The parameters in the conditional variance equation of the low frequency model depend upon mean, variance, and kurtosis parameters of the corresponding high frequency model. Moreover, strongly consistent estimators of the parameters in the high…

估计线性动态模型的脉冲响应、阶跃响应与方差分解的渐近分布AI 解读

Formulas are derived for computing asymptotic covariance matrices of sets of impulse responses, step responses, or variance decompositions of estimated dynamic simultaneous-equations models in vector autoregressive moving-average (VARMA) form. Computed covariances would be used to test linear restrictions on sets of impulse responses, step responses, or variance decompositions. The results unify and extend previous formulas to handle any model in VARMA form, provide accurate…

未知变化点下参数不稳定与结构变化的检验AI 解读

This paper considers tests for parameter instability and structural change with unknown change point. The results apply to a wide class of parametric models that are suitable for estimation by generalized method of moments procedures. The asymptotic distributions of the test statistics considered here are nonstandard because the change point parameter only appears under the alternative hypothesis and not under the null. The tests considered here are shown to have nontrivial…

高阶单整系统中协整向量的简便估计量AI 解读

Efficient estimators of cointegrating vectors are presented for systems involving deterministic components and variables of differing, higher orders of integration. The estimators are computed using GLS or OLS, and Wald statistics constructed from these estimators have asymptotic x [superscript] 2 distributions. These and previously proposed estimators of cointegrating vectors are used to study long-run U.S. money (M1) demand. M1 demand is found to be stable over 1900-1989;…

欧洲货币体系周度汇率的信息：均值回归、条件异方差与跳跃AI 解读

Weekly rates of the European Monetary System (EMS) vis-a-vis the Deutsche mark from April 1979 to March 1991 are modeled as a combined MA (1)-GARCH (1, 1)-jump process. The moving average (MA) part accounts for mean reversion required for the rates to stay inside the target zone. The generalized autoregressive conditional heteroscedasticity (GARCH) part accounts for changing volatility, whereas the jump process models parity changes and other erratic movements. Using an…

基于马尔可夫转换模型的经济周期分析AI 解读

This article explores the Hamilton Markov-switching model through an analysis of the business cycles of eight developed market economies. Forecasting and specification tests suggest only marginal improvements over linear autoregressive models. Yet filtered and smoothed conditional probabilities indicate turning points in business cycles that closely correlate with turning points from traditional methods. Tests regarding the asymmetry of business cycles reject the null of…

移动平均参数估计：经典估计的堆积现象与贝叶斯后验AI 解读

The authors analyze posterior distributions of the moving average parameter in the first-order case and sampling distributions of the corresponding maximum likelihood estimator. Sampling distributions 'pile up' at unity when the true parameter is near unity; hence, if one were to difference such a process, estimates of the moving average component of the resulting series would spuriously tend to indicate that the process was overdifferenced. Flat-prior posterior…

利用后验赔率检测多个方差变点AI 解读

This article uses a Bayesian procedure based on obtaining posterior odds to assess the evidence about the existence of multiple changes of variance in a time series. The approach is developed for sequences of independent observations. An extension to consider autoregressive models is also discussed. The information on the data about the location of the change points and the magnitude of the variances at the different pieces of the series is summarized through posterior…

作为不可观测成分的远期外汇溢价：札记AI 解读

We reconsider the signal-extraction approach to measuring premia in the pricing of forward foreign exchange, put forward by Wolff, in which the difference between the forward rate and the associated future spot rate is modeled as an autoregressive moving average (ARMA) model for the risk premium buried in a white-noise forecast error. We point out that an ARMA model for the risk premium is not always identifiable from information on the difference between the forward rate…

含马尔可夫转换异方差的不可观测成分时间序列模型：状态变化与通胀不确定性AI 解读

In this article, I first extend the standard unobserved-component time series model to include Hamilton's Markov-switching heteroscedasticity. This will provide an alternative to the unobserved-component model with autoregressive conditional heteroscedasticity, as developed by Harvey, Ruiz, and Sentana and by Evans and Wachtel. I then apply a generalized version of the model to investigate the link between inflation and its uncertainty (U.S. data, gross national product…

GAUSS 与 MATLAB：一项比较AI 解读

Abstract I compare two high‐level matrix programming languages with built‐in function libraries and graphics routines. Their interactive nature and convenient syntax makes them ideal for use in econometric applications. The languages are remarkably similar in terms of their features and performance. MATLAB's chief advantage is that it runs on a wider array of hardware and operating systems than GAUSS. GAUSS's main advantage is that it has better coverage of statistical and…

库存生产平滑模型的长期含义：一项实证检验AI 解读

Abstract This paper provides an empirical test of the long‐run implications of the production smoothing model of inventories, the dominant framework for inventory investment research in the past. Intertemporal models of a firm holding inventories of finished goods predict a long‐run relationship between inventories, shipments, factor input prices, and the real interest rate which is tested here using cointegration test procedures. These tests provide little support for the…

去趋势、典型事实与经济周期AI 解读

Abstract The stylized facts of macroeconomic time series can be presented by fitting structural time series models. Within this framework, we analyse the consequences of the widely used detrending technique popularised by Hodrick and Prescott (1980). It is shown that mechanical detrending based on the Hodrick–Prescott filter can lead investigators to report spurious cyclical behaviour, and this point is illustrated with empirical examples. Structural time‐series models also…

单位根下自相关系数的极限分布AI 解读

The limiting distribution of the normalized autocorrelation coefficient in the case of a unit root is given in a closed form. It is found that high order transcendental functions such as the parabolic cylinder functions are indispensable to express this distribution, thus departing from the simple standard normal distribution that arises in the case of a stable root. Using the formulae derived in this paper, some numerical results available from previous studies are then…

用局部平均估计量进行时间序列非参数函数估计AI 解读

Let $(\mathbf{X}_t, Y_t)$ be a stationary time series with $\mathbf{X}_t$ being $R^d$-valued and $Y_t$ real valued, and where $Y_t$ is not necessarily bounded. Let $E(Y_0 \mid \mathbf{X}_0)$ be the conditional mean function. Under appropriate regularity conditions, local average estimators of this function can be chosen to achieve the optimal rate of convergence $(n^{-1} \log n)^{1/(d + 2)}$ in $L_\infty$ norm restricted to a compact. The result answers a question raised by…

长程相关下的对比统计量AI 解读

The background of the paper is the empirical observation from a variety of subject areas that long-range correlations appear to be much more frequent than has been previously assumed. This includes high-quality measurement series which are commonly treated as prototypes of "i.i.d." observations. Evidence is briefly cited in the paper. It has already been shown elsewhere that long-range dependence leads to results that can be qualitatively different from those obtained under…

谱分布的拟合优度检验AI 解读

The spectral distribution function of a stationary stochastic process standardized by dividing by the variance of the process is a linear function of the autocorrelations. The integral of the sample standardized spectral density (periodogram) is a similar linear function of the autocorrelations. As the sample size increases, the difference of these two functions multiplied by the square root of the sample size converges weakly to a Gaussian stochastic process with a…

均值偏移检测中 EWMA、CUSUM 与 Shiryayev–Roberts 方法的比较AI 解读

Pollak and Siegmund compared the Shiryayev-Roberts procedure with the CUSUM procedure for detecting a change in the drift of a Brownian motion based on the conditional average delay time. In this paper, the exponentially weighted moving average (EWMA) procedure proposed by Roberts is compared with the Shiryayev-Roberts and CUSUM procedures. The comparison is based on the stationary average delay time as advocated by Shiryayev. The optimal design for the EWMA procedure and…

未知变点之前的参数估计AI 解读

Consider the problem of estimating $\mu$, based on the observation of $Y_0, Y_1, \ldots, Y_n$, where it is assumed only that $Y_0, Y_1, \ldots, Y_\kappa \operatorname{iid} N(\mu, \sigma^2)$ for some unknown $\kappa$. Unlike the traditional change-point problem, the focus here is not on estimating $\kappa$, which is now a nuisance parameter. When it is known that $\kappa = k$, the sample mean $\bar{Y}_k = \sum^k_0Y_i/(k + 1)$, provides, in addition to wonderful efficiency…

检验正态观测参数变化的最大似然方法AI 解读

We compute the asymptotic distribution of the maximum likelihood ratio test when we want to check whether the parameters of normal observations have changed at an unknown point. The proof is based on the limit distribution of the largest deviation between a $d$-dimensional Ornstein-Uhlenbeck process and the origin.

含随机趋势成分的回归模型极大似然估计AI 解读

This article is concerned with the estimation of a regression model with a stochastic trend component. It is shown that the probability of estimating the trend to be deterministic is very sensitive to the type of likelihood function used as the basis of inference.

多元时间序列均值变化预测：企业失败预测应用AI 解读

A firm in the early stages of financial distress exhibits characteristics different from those of healthy firms. As the economic condition of a firm worsens, its financial characteristics shift toward those of failed firms. Practitioners in the financial sector have long been interested in the early detection of a firm's slide toward insolvency. Several models have been developed with this purpose in mind, but these older models are static in nature. Therefore, a need exists…

ARIMA模型中移动平均单位根的检验AI 解读

Test procedures for detecting overdifferencing or a moving average unit root in Gaussian autoregressive integrated moving average (ARIMA) models are proposed. The tests can be used when an autoregressive unit root is a serious alternative but the hypothesis of primary interest implies stationarity of the observed time series. This is the case, for example, if one wishes to test the null hypothesis that a multivariate time series is cointegrated with a given theoretical…