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用最小二乘识别向量线性过程的阶梯规范形式AI 解读

In this paper a method of identifying stationary and invertible vector autoregressive moving-average time series is proposed. The models are presumed to be represented in (reversed) echelon canonical form. Consideration is given to both parameter estimation and the determination of structural indices, the evaluations being based on the use of closed form least squares calculations. Consistency of the technique is shown and the operational characteristics of the procedure…

时间序列中的非参数函数估计AI 解读

Consider a stationary time series $(\mathbf{X}_t, Y_t), t = 0, \pm 1,\ldots,$ with $\mathbf{X}_t$ being $\mathbb{R}^d$-valued and $Y_t$ real-valued. The conditional mean function is given by $\theta(\mathbf{X}_0) = E(Y_0\mid\mathbf{X}_0)$. Under appropriate regularity conditions, a local average estimator of this function based on a finite realization $(\mathbf{X}_1, Y_1),\ldots,(\mathbf{X}_n, Y_n)$ can be chosen to achieve the optimal rate of convergence $n^{-1/(2 + d)}$ bot…

核谱估计的自助法AI 解读

An approach to bootstrapping kernel spectral density estimates is described which is based on resampling from the periodogram of the original data. We show that it is asymptotically valid under suitable conditions, and we illustrate its performance for a medium-sized time series sample with a small simulation study.

人脑电偶极子参数的频域估计AI 解读

Human brain evoked potentials are elicited by a stimulus and can be recorded by scalp electrodes. Many researchers have proposed models in which evoked potentials are generated by equivalent electrical dipoles in the brain. Each dipole is defined by a set of parameters that specify its location, orientation, and magnitude. Existing approaches to estimation of dipole parameters do not realistically account for errors resulting from background brain electrical activity…

使用普通最小二乘残差的 CUSUM 检验AI 解读

The authors show that the CUSUM test of the stability over time of the coefficients of a linear regression model, which is usually based on recursive residuals, can also be applied to ordinary least squares residuals. The authors derive the limiting null distribution of the resulting test and compare its local power to that of the standard procedure. It turns out that neither version is uniformly superior to the other. Copyright 1992 by The Econometric Society.

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短自回归时间序列均值的最佳线性无偏估计AI 解读

A simple formula for computing the best linear unbiased estimate of the mean of an autoregressive process as well as its variance is given. Numerical results show that the estimate can have much lower variance than that of the usual sample mean.

含 ARMA 误差的线性回归：GLS 变换矩阵与半递归估计AI 解读

For a general stationary ARMA( p,q ) process u we derive the exact form of the orthogonalizing matrix R such that R ′ R = Σ −1 , where Σ = E ( uu ′) is the covariance matrix of u , generalizing the known formulae for AR ( p ) processes. In a linear regression model with an ARMA( p,q ) error process, transforming the data by R yields a regression model with white-noise errors. We also consider an application to semi-recursive (being recursive for the model parameters, but not…

随机微分方程系统的连续记录渐近理论AI 解读

This paper considers estimation based on a set of T + 1 discrete observations, y (0), y ( h ), y (2 h ),…, y ( Th ) = y ( N ), where h is the sampling frequency and N is the span of the data. In contrast to the standard approach of driving N to infinity for a fixed sampling frequency, the current paper follows Phillips [35,36] and Perron [29] and examines the “dual” asymptotics implied by letting h tend to zero while the span N remains fixed. We suggest a way of explicitly…

通过自回归近似估计与检验协整系统AI 解读

This paper studies the estimation and testing of general cointegrated systems by using an autoregressive approximation. Simple estimators for both the cointegration vectors and their weight matrix in the autoregressive error correction model representation of the system are developed. Since these estimators assume that the number of cointegration vectors and their normalization are fixed in advance, convenient specification tests for checking the validity of these…

一致的非参数阶数确定与混沌AI 解读

SUMMARY We give a brief introduction to deterministic chaos and a link between chaotic deterministic models and stochastic time series models. We argue that it is often natural to determine the embedding dimension in a noisy environment first in any systematic study of chaos. Setting the stochastic models within the framework of non-linear autoregression, we introduce the notion of a generalized partial autocorrelation and an order. We approach the estimation of the…

线性滤波器与非线性系统AI 解读

SUMMARY It has been asserted in the literature that the low pass filtering of time series data may lead to erroneous results when calculating attractor dimensions. Here we prove that finite order, non-recursive filters do not have this effect. In fact, a generic, finite order, non-recursive filter leaves invariant all the quantities that can be estimated by using embedding techniques such as the method of delays.

普通最小二乘与工具变量回归中的扰动自相关结构检验AI 解读

Robert E. Cumby, John Huizinga, Testing the Autocorrelation Structure of Disturbances in Ordinary Least Squares and Instrumental Variables Regressions, Econometrica, Vol. 60, No. 1 (Jan., 1992), pp. 185-195

永久与暂时成分的相对重要性：识别与若干理论界AI 解读

Much macroeconometric discussion has recently emphasized the economic significance of the size of the permanent component in GNP. Consequently, a large literature has developed that tries to estimate this magnitude--measured, essentially, as the spectral density of increments in GNP at frequency zero. This paper shows that, unless the permanent component is a random walk, this attention has been misplaced: in general, that quantity does not identify the magnitude of the…

典范协整回归AI 解读

A new procedure for statistical inference in cointegrating regressions is developed. The author introduces canonical cointegrating regressions (regressions formulated with the transformed data). The required transformations involve simple adjustments of the integrated processes using stationary components in cointegrating models. Canonical cointegrating regressions, therefore, represent the same cointegrating relationships as the original models. They are, however,…

季节性时间序列建模与预测的另一种方法AI 解读

This article proposes an alternative methodology for modeling and forecasting seasonal series. The approach is in the Bayesian autoregression tradition pioneered by Doan, Litterman, and Sims and builds seasonality directly into the prior of the coefficients of the model by means of a set of uncertain linear restrictions. As an illustration, the method is applied to 10 U.S. quarterly macroeconomic series. For each series, the author compares the forecasting performance of a…

实际国民生产总值的条件非对称性：半非参数方法AI 解读

Two critical assumptions are often made in empirical research regarding the relationship between economic variables and economic disturbances--linearity and Gaussianity. Together, these two assumptions place strong restrictions on the time series behavior of a model. Most important, these restrictions imply conditional symmetry. Using seminonparametric (SNP) techniques, this article presents evidence that real gross national product growth displays conditional asymmetry.…

英国劳动力市场离散切换非均衡模型的检验AI 解读

Abstract This paper develops a test procedure for serial correlation for discrete switching disequilibrium models which include both an endogenous price adjustment equation and lagged dependent variables. The tests are applied to a model of the UK labour market and the model is respecified in the light of the test results.

“客观”贝叶斯单位根检验AI 解读

Abstract Due to weaknesses in traditional tests, a Bayesian approach is developed to investigate whether unit roots exist in macroeconomic time‐series. Bayesian posterior odds comparing unit root models to stationary and trend‐stationary alternatives are calculated using informative priors. Two classes of reference priors which are informative but require minimal subjective prior input are used. In this sense the Bayesian unit root tests developed here are objective.…

Siegel 复合周期性检验统计量的渐近分位点AI 解读

Fisher's test for a periodicity at a single Fourier frequency is often inadequate in practice where it is necessary to test for compound periodicities, i.e. spectral lines at several frequencies. Siegel (1980) derived a test statistic for compound periodicity and provided percentage points for m not exceeding 50, where N = 2m + 1 is the length of the time series. Here the distribution of the test statistic is rewritten to enable computation of exact percentage points for m…

非线性时间序列建模中残差自相关的渐近标准误AI 解读

The asymptotic distribution of residual autocorrelations for some very general nonlinear time series models is derived. This includes the important class of threshold models. Consequently more accurate standard errors for residual autocorrelations can be obtained facilitating model diagnostic checkings in many situations. A small simulation result applying the methodology to threshold models is reported.

一阶非循环自回归中的尾概率近似AI 解读

A saddlepoint expansion is derived for the cumulative distribution function of the least squares estimator of the autoregressive coefficient. The new method is shown to be superior both analytically and numerically to many existing approximations. Unlike other methods the new approximation performs uniformly well over the whole range of the distribution including the extreme tail, even when the sample size is as small as 10.

具有 ARMA 误差的非参数样条回归AI 解读

We estimate by spline nonparametric regression an unknown function observed with autocorrelated errors when the errors are modelled by an autoregressive moving average model. Unknown parameters are estimated by either maximum likelihood, cross-validation or generalized cross-validation. By expressing the problem in state space form we obtain O(n) algorithms to estimate the function and its derivatives and evaluate the marginal likelihood and cross-validation functions. The…