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多元ARMA模型中两个变量向量之间的因果性检验AI 解读

In the analysis of economic time series, a question often raised is whether a vector of variables causes another one in the sense of Granger. Most of the literature on this topic is concerned with bivariate relationships or uses finite-order autoregressive specifications. The purpose of this article is to develop a causality analysis in the sense of Granger for general vector autoregressive moving average (ARMA) models. We give a definition of Granger noncausality between…

贝叶斯网络中的参数更新AI 解读

A Bayes network is a directed acyclic graph in which the links are quantified by fixed conditional probabilities and the nodes represent random variables. The primary use of the network is to provide an efficient method for updating conditional probabilities in the graph. We consider the consequences of using the network as the computational device for updating parameter estimates in the dynamic linear model, a discrete time Bayesian model. We show that using the network…

残差相关时核回归的带宽选择AI 解读

Standard techniques for selecting the bandwidth of a kernel estimator from the data in a nonparametric regression model perform badly when the errors are correlated. In this paper we propose a modified version of an existing plug-in bandwidth selector. The method is generalized to stationary error variables by estimating a functional of the residual covariance function. The proposed bandwidth selector shows good properties in asymptotic theory and in simulations without…

随机游走与变点备择下的回归系数恒定性检验AI 解读

The locally best invariant statistic to test for the constancy of regression coefficients under a random walk alternative is shown to be the same as a Bayesian-type statistic derived under a change-point alternative. Asymptotic theory for this and more general statistics is discussed.

相依异质过程向随机积分的收敛AI 解读

This paper provides conditions to establish the weak convergence of stochastic integrals. The theorems are proved under the assumption that the innovations are strong mixing with uniformly bounded 2-h moments. Several applications of the results are given, relevant for the theories of estimation with I (1) processes, I (2) processes, processes with nonstationary variances, near-integrated processes, and continuous time approximations.

针对简单门限模型的 TR 检验功效比较AI 解读

Through Monte-Carlo simulations the estimated power of the Ramsey and Rothman time reversibility (TR) test is compared to the power of the BDS and bispectrum tests against some simple threshold alternatives. The TR test is shown to have excellent size properties and to be generally more powerful than the other two tests against the threshold models considered. Copyright 1992 by John Wiley & Sons, Ltd.

用平滑转换自回归模型刻画商业周期非线性AI 解读

During the past few years investigators have found evidence indicating that various time-series representing business cycles, such as production and unemployment, may be nonlinear. In this paper it is assumed that if the time-series is nonlinear, then it can be adequately described by a smooth transition autoregressive (STAR) model. The paper describes the application of these models to quarterly logarithmic production indices for 13 countries and "Europe." Tests reject…

并购浪潮与并购时间序列的结构AI 解读

What is the best characterization of mergers and acquisitions time-series? The traditional response is that mergers occur in "waves." I estimate a two-state, Markov switching-regime model which should capture wave structure if it is present in the data. Linear and nonlinear diagnostics tests suggest that the switching regime model fits the data well, and better than ARIMA models. Said differently, the underlying pattern in the M&A data can be characterized by dichotomous…

非标准条件下的似然比检验：检验 GNP 的马尔可夫转换模型AI 解读

A theory of testing under non-standard conditions is developed. By viewing the likelihood as a function of the unknown parameters, empirical process theory enables us to bound the asymptotic distribution of standardized likelihood ratio statistics, even when conventional regularity conditions (such as unidentified nuisance parameters and identically zero scores) are violated. This testing methodology is applied to the Markov switching model of GNP proposed by Hamilton…

作为稳定性分析非参数诊断工具的 Lyapunov 指数AI 解读

The common observation made in the empirical nonlinear dynamics literature is the constraints imposed by the availability of a limited number of observations in the implementation of the existing algorithms of Lyapunov exponents. The algorithm discussed here can estimate all "n" Lyapunov exponents of an unknown "n"-dimensional dynamical system accurately with limited number of observations. This makes the algorithm attractive for applications to economic as well as financial…

利用相关指数判断经济序列是否具有混沌AI 解读

We consider two ways of distinguishing deterministic time-series from stochastic white noise; the Grassberger-Procaccia correlation exponent test and the Brock, Dechert, Scheinkman (or BDS) test. Using simulated data to test the power of these tests, the correlation exponent test can distinguish white noise from chaos. It cannot distinguish white noise from chaos mixed with a small amount of white noise. With i.i.d. as the null, the BDS correctly rejects the null when the…

出口导向增长假说适用于工业化国家吗？AI 解读

This paper tries to establish whether a causal link between exports and productivity exists for four developed market economies based on cointegration and Granger-causality techniques. These techniques allow serious problems encountered in previous attempts to examine this relationship to be overcome, while recent trade theory suggests that the relationship between trade and productivity is fundamentally ambiguous. The findings of the econometric analysis suggest that an…

恩格尔定律与协整AI 解读

A time-series counterpart of Engel's law is that the expenditure share on food declines as the economy grows. The main purpose of this paper is to test whether Houthakker's addilog utility function can simultaneously explain this time-series observation and cross-sectional observations concerning Engel's law. Masao Ogaki and Joon Y. Park's cointegration approach is used to estimate parameters of the utility function from time-series data. Total expenditure elasticities…

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不可逆非高斯 MA(q) 过程的识别与估计AI 解读

Traditional estimation procedures, such as OLS or Box-Jenkins ARIMA modelling, which are based on second-order properties, are incapable of distinguishing among autocorrelation-equivalent MA model specifications; this ambiguity is usually resolved by imposing therestriction of invertibility. This paper presents an estimation procedure based on higher-order moments which is capable of distinguishing between these alternative specifications without recourse to the…

以平稳性为原假设、单位根为备择的检验AI 解读

We propose a test of the null hypothesis that an observable series is stationary around a deterministic trend. The series is expressed as the sum of deterministic trend, random walk, and stationary error, and the test is the LM test of the hypothesis that the random walk has zero variance. The asymptotic distribution of the statistic is derived under the null and under the alternative that the series is difference-stationary. Finite sample size and power are considered in a…

异方差协整AI 解读

This paper develops an asymptotic theory of estimation and inference in ‘cointegrated’ regression models with errors displaying nonstationary variances. Least squares estimates are shown to be consistent at a T12 rate. Hypothesis testing requires the use of a robust covariance matrix estimate, in contrast to earlier work on cointegrated regressions. The inference theory is not nuisance-free, but preliminary investigations indicate that approximation by the normal…

评 Otter《多元时间序列中的典型相关及一年期与多年期宏观预测应用》AI 解读

(1992). Comments on “Canonical Correlation in Multivariate Time Series Analysis With an Application to One-Year-Ahead and Multiyear- Ahead Macroeconomic Forecasting,” by P. W. Otter. Journal of Business & Economic Statistics: Vol. 10, No. 4, pp. 470-471.

不可观测成分时间序列模型的诊断检验AI 解读

Diagnostic checking of time-series models is normally carried out using the innovations, that is the one-step ahead prediction errors. In an unobserved components model, other sets of residuals are available. These auxiliary residuals are estimators of the disturbances associated.with the unobserved components. The article shows how the properties of the auxiliary residuals may be obtained, how they are related to each other and to the innovations, and how they can be used…

预测表现的简单非参数检验AI 解读

This paper derives a distribution free procedure for testing the accuracy of forecasts when the focus of the analysis is on the correct prediction of the direction of change in the variable under consideration. The test applies to a general m x n contingency table and it is shown that the standard null hypothesis of independence in a contingency table implies the null hypothesis of the proposed test of predictive failure but not vice versa. As a test of predictive…

《多元时间序列分析中的典型相关及一年与多年期宏观预测应用》评论回复AI 解读

Pieter W. Otter, [Comments on "Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting," by P. W. Otter]: Reply, Journal of Business & Economic Statistics, Vol. 10, No. 4 (Oct., 1992), pp. 471-472

对《多元时间序列分析中的典型相关及其在一年期与多年期宏观预测中的应用》的评论AI 解读

Arnold Zellner, Chansik Hong, Comments on "Canonical Correlation in Multivariate Time Series Analysis with an Application to One-Year-Ahead and Multiyear-Ahead Macroeconomic Forecasting," by P. W. Otter, Journal of Business & Economic Statistics, Vol. 10, No. 4 (Oct., 1992), pp. 470-471

均值变化时间序列的单位根检验：修正与扩展AI 解读

This note provides a correction to the treatment of the asymptotic distribution of tests for a unit root for the additive outlier model presented in Perron (1990). It is shown that the tests, as stated for that case, have asymptotic distributions that depend on the correlation structure of the data even if the appropriate order of the autoregression is selected. The authors present a simple modification that yields statistics with the same asymptotic distributions (free of…