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国际实际利率趋同：多变量时间序列方法AI 解读

Abstract This paper investigates the dynamic behaviour of monthly ex post real interest rates from several countries over the period 1980 to 1991. It is found that real interest rates are stationary over this period and that deviations from real interest parity are significant in the short run but disappear in the long run. The latter evidence is established using the concept of co‐dependent time series proposed by Gourieroux and Peaucelle (1989) for the analysis of…

序列相关对未知时点参数变化检验的影响AI 解读

It is shown that serial correlation can produce striking effects in distributions of change-point statistics. Failure to account for these effects is shown to invalidate change-point tests, either through increases in the type 1 error rates if low frequency spectral mass predominates in the spectrum of the noise process, or through diminution of the power of the tests when high frequency mass predominates. These effects are characterized by the expression ${2\pi f(0)/\int^\pi_-\pi f(\lambda)d\lambda}$…

自回归AR(p)模型参数的R估计AI 解读

In an AR(p) model, R-estimation of a subset of parameters is considered when the complementary subset is possibly redundant. Along with the rank test of the full hypothesis and the subhypothesis of the parameters, both preliminary test and shrinkage R-estimators are considered. In the light of asymptotic distributional risk, the relative asymptotic risk-efficiency results are given. Though, the shrinkage R-estimator may dominate their classical versions, they do not in…

门限自回归模型最小二乘估计的相合性与极限分布AI 解读

It is shown that, under some regularity conditions, the least squares estimator of a stationary ergodic threshold autoregressive model is strongly consistent. The limiting distribution of the least squares estimator is derived. It is shown that the estimator of the threshold parameter is N consistent and its limiting distribution is related to a compound Poisson Process.

序贯概率预测有效性的检验AI 解读

Events are observed sequentially, and at each stage a probability for the next event is assessed. We consider the relationship between the sequence of probability forecasts and the sequence of outcomes. We argue that the forecasts may be considered “empirically valid” when both these sequences are consistent with a common joint distribution for the events. To aid in assessing validity, we introduce various test statistics that measure, in a natural way, the empirical…

用抽样调查与时间序列干预分析评估反酒驾广告活动AI 解读

The impact of a paid advertising campaign targeted at reducing youthful male drinking-driving behavior is examined using (1) pretest and posttest sample surveys taken at both a campaign site and a control site and (2) time series intervention modeling of monthly traffic accident data from both sites. These compatible analyses provide collaborative evidence that the advertising campaign reduced youthful male drinking and driving behavior and, consequently, traffic accidents.

变点问题的贝叶斯分析AI 解读

A sequence of observations undergoes sudden changes at unknown times. We model the process by supposing that there is an underlying sequence of parameters partitioned into contiguous blocks of equal parameter values; the beginning of each block is said to be a change point. Observations are then assumed to be independent in different blocks given the sequence of parameters. In a Bayesian analysis it is necessary to give probability distributions to both the change points and…

函数系数自回归模型AI 解读

In this article we propose a new class of models for nonlinear time series analysis, investigate properties of the proposed model, and suggest a modeling procedure for building such a model. The proposed modeling procedure makes use of ideas from both parametric and nonparametric statistics. A consistency result is given to support the procedure. For illustration we apply the proposed model and procedure to several data sets and show that the resulting models substantially…

时间序列模型参数与异常值效应的联合估计AI 解读

Time series data are often subject to uncontrolled or unexpected interventions, from which various types of outlying observations are produced. Outliers in time series, depending on their nature, may have a moderate to significant impact on the effectiveness of the Standard methodology for time series analysis with respect to model identification, estimation, and forecasting. In this article we use an iterative outlier detection and adjustment procedure to obtain joint…

k 阶自回归模型中某些最小距离估计量的计算AI 解读

This article gives sufficient conditions that guarantee the existence of minimizers of special classes of functions. Using these results, a certain dass of minimum distance (MD) estimators of the autoregressive parameters is shown to exist under the additive and innovative outliers; that is, autoregression (AO and IO) models. Through simulations, a certain subclass of MD estimators is shown to perform as good as or in some cases even better than other classical estimators…

长序列一般线性过程似然重复计算的快速算法AI 解读

The likelihood function of a stationary and invertible autoregressive moving average (ARMA) process for a given series is a function of the determinant of the covariance matrix of the series and a quadratic form involving the inverse of this matrix. In this article the quadratic form is transformed into a new quadratic form, whose matrix is evaluated readily and has constant elements along its diagonals; that is, it is a Symmetrie Toeplitz matrix. It allows the computation…

暂时性均值变化备择下的变点检验AI 解读

The purpose of this paper is to discuss the tests to detect an epidemic alternative in the mean value of a sequence of independent normal variables. Various test statistics, such as the likelihood ratio, the score-like statistic, Levin & Kline's statistic, the semilikelihood ratio, and the recursive residual, are studied. The large deviation approximations to the significance levels and powers are developed by integrating approximations to conditional boundary crossing…

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多变量协整分析与购买力平价的长期有效性AI 解读

This paper tests the long-run validity of PPP using Johansen's multivariate cointegration methodology on exchange rates and domestic and foreign price levels. Monthly data covering the recent flexible exchange rate period of the DM vis a vis 15 currencies le ad to the following conclusion: PPP seems to hold in the long run for s ix European currencies: the Pound, Lira, Norwegian Krone, Schilling, Escudo, and Peseta. However, PPP has to be rejected.for the United States and…

时间序列中的异常值检测AI 解读

SUMMARY The estimation and detection of outliers in a time series generated by a Gaussian auto-regressive moving average process is considered. It is shown that the estimation of additive outliers is directly related to the estimation of missing or deleted observations. A recursive procedure for computing the estimates is given. Likelihood ratio and score criteria for detecting additive outliers are examined and are shown to be closely related to the leave-k-out diagnostics…

利用分块 Levinson 方法计算多元 ARMA 模型的理论自协方差AI 解读

SUMMARY A closed form expression relating the theoretical autocovariances of a multivariate autoregressive moving average (ARMA) model to the ARMA parameters in terms of a system of linear equations has been presented recently. Using this result and the special Hankel plus Toeplitz structure of the coefficient matrix obtained after suitable partitioning, this paper presents a method for computing multivariate autocovariance functions that is based on a block Levinson…

一阶自回归／单位根模型的精确中位无偏估计AI 解读

First-order autoregressive/unit root models with independent identically distributed normal errors are considered, including those without an intercept, those with an intercept, and those with an intercept and time trend. The autoregressive parameter is allowed to lie in the interval (-1, 1], which includes the unit root case. Exactly median-unbiased estimators and exact confidence intervals of the autoregressive parameter are introduced. Corresponding exactly…

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使用季节调整数据的理性预期建模AI 解读

In a world where time series show clear seasonal fluctuations, rational agents will take account of those fluctuations in planning their own behavior. Using seasonally adjusted data to model behavior of such agents throws away information and introduces possibly severe bias. Nonetheless it may be true fairly often that rational expectations modeling with seasonally adjusted data, treating the adjusted data as if it were actual data, gives approximately correct results; and…

购买力平价的分数协整分析AI 解读

A generalized.notion of cointegration, called fractional cointegration, is introduced to examine the long-run purchasing power parity hypothesis. By allowing deviations from equilibrium to follow a fractional process, the fractional cointegration analysis can capture a wider range of mean reversion behavior than standard cointegration analyses. This gain in flexibil ity in modeling mean-reverting dynamics is found to be important for evaluating long-run purchasing power…