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处理组与对照组曲线估计的信号提取方法AI 解读

Suppose that the response of a group of subjects, which we call the control group, is monitored over time. At a given time after the start of the experiment, the experimenter intervenes and applies a treatment to a subset of the group. We propose a signal extraction approach to the simultaneous estimation of the treatment and control mean response curves, and their rates of change, imposing a smooth transition constraint between the two curves at the time of intervention. By…

具有相关自相关随机效应的混合模型系统的经验贝叶斯分析AI 解读

Empirical Bayes concepts are implemented in a simultaneous analysis of a system of mixed linear models having linked and serially correlated random effects. Emphasis is placed on the estimation of the random effects and exploration of the relationships between them. Application is made to the investigation of several series of laboratory assay data that were observed during overlapping time intervals and were therefore subjected to common systematic errors, or “daily…

市场模型中贝塔系数的时间序列性质检验AI 解读

Understanding the stochastic behavior of beta is fundamental to portfolio risk management. We evaluate the time series properties of beta for oil industry stocks, machinery industry stocks, and a random sample of 100 stocks. Daily returns for stocks in each of these industries and the random sample are obtained from the Center for Research in Security Prices tapes for the period July 1962 through December 1986 and are grouped into 98 quarter-year, and also 49 half-year,…

状态空间模型的自助法：高斯最大似然估计与卡尔曼滤波AI 解读

The bootstrap is proposed as a method for assessing the precision of Gaussian maximum likelihood estimates of the parameters of linear state-space models. Our results also apply to autoregressive moving average models, since they are a special case of state-space models. It is shown that for a time-invariant, stable system, the bootstrap applied to the innovations yields asymptotically consistent standard errors. To investigate the performance of the bootstrap for finite…

混沌系统的似然与贝叶斯预测AI 解读

There has recently been considerable interest in both applied disciplines and in mathematics, as well as in the popular science literature, in the areas of nonlinear dynamical systems and chaotic processes. By a nonlinear, deterministic dynamical system, we mean a time series in which, starting at some initial condition, the values of the series are some fixed, nonlinear function of the previous states. One of the more intriguing aspects of these models is their propensity…

潜在真实时间序列及其指标：一种替代方法AI 解读

de Leeuw and McKelvey proposed a method for using two imperfect indicators to predict the values of an unobserved series. In this article we suggest an alternative method that uses the multiple indicator approach to model the true time series and its indicators. We examine the identification status of the model, estimate the parameters by maximum likelihood, and use the Kalman filter to obtain predictions of the unobserved series. The method is applied to the U.S. gross…

利用多元自适应回归样条进行非线性时间序列建模AI 解读

Multivariate Adaptive Regression Splines (MARS) is a new methodology, due to Friedman, for nonlinear regression modeling. MARS can be conceptualized as a generalization of recursive partitioning that uses spline fitting in lieu of other simple fitting functions. Given a set of predictor variables, MARS fits a model in the form of an expansion in product spline basis functions of predictors chosen during a forward and backward recursive partitioning strategy. MARS produces…

混沌系统的似然与贝叶斯预测AI 解读

There has recently been considerable interest in both applied disciplines and in mathematics, as well as in the popular science literature, in the areas of nonlinear dynamical systems and chaotic processes. By a nonlinear, deterministic dynamical system, we mean a time series in which, starting at some initial condition, the values of the series are some fixed, nonlinear function of the previous states. One of the more intriguing aspects of these models is their propensity…

市场模型中贝塔系数的时间序列性质考察AI 解读

Understanding the stochastic behavior of beta is fundamental to portfolio risk management. We evaluate the time series properties of beta for oil industry stocks, machinery industry stocks, and a random sample of 100 stocks. Daily returns for stocks in each of these industries and the random sample are obtained from the Center for Research in Security Prices tapes for the period July 1962 through December 1986 and are grouped into 98 quarter-year, and also 49 half-year,…

高效的偏差校正非参数谱估计AI 解读

We consider estimation of a spectral density at a particular frequency. A linear model is developed based on the local second order behaviour of kernel spectral estimates and a second stage estimate is derived from this model. The estimate is shown to be asymptotically more efficient than the kernel estimate with the optimal, but unknown, bandwidth whenever the smoothing parameter is chosen so that it oversmooths the kernel estimate. A small-sample simulation study shows…

存在漂移时单位根的插值检验AI 解读

This paper considers tests of the null hypothesis of a unit root in an observed time series against the alternative that the series is level stationary. Interpolation tests whose critical values depend upon the value of the drift parameter are compared to the standard Dickey-Fuller tests in Monte Carlo simulations. The interpolation test performs quite well especially against one-sided alternatives.

动态线性模型的诊断方法AI 解读

In time series analysis using dynamic linear models, retrospective analysis involves the calculation of filtered, or smoothed, distributions for state parameters in the past. We develop and illustrate novel results that are useful in retrospective assessment of the influence of individual observations on such distributions. In particular, new and computationally simple filtering equations are derived for past state parameters based on leaving out one observation at a time,…

基于谱分析的鞅假设检验AI 解读

This paper proposes a method of testing whether a time series is a martingale. A general asymptotic theory is developed for the spectral distribution function of the first differences. Under the null hypothesis, the spectral distribution function is shaped as a straight line. Several tests are developed which determine whether the sample spectral distribution function possesses this shape. These tests are consistent against all MA alternatives. Additional tests are developed…

用于估计一般线性连续时间系统的离散模型AI 解读

This paper derives discrete models for estimating systems of both first- and second-order linear differential equations in which derivatives of the exogenous variables appear in addition to their levels.

AR(1) 模型中预测误差的联合分布AI 解读

Second-order asymptotic expansion approximations to the joint distributions of dynamic forecast errors and of static forecast errors in the stationary Gaussian pure AR(1) model are derived. The approximation to the dynamic forecast errors distribution can be expressed as a multivariate normal distribution with modified mean vector and covariance matrix, thus generalizing the results of Phillips [12]. However, the approximation to the static forecast errors distribution…

通过向量自回归模型估计正交化脉冲响应AI 解读

Impulse response functions from time series models are standard tools for analyzing the relationship between economic variables. The asymptotic distribution of orthogonalized impulse responses is derived under the assumption that finite order vector autoregressive (VAR) models are fitted to time series generated by possibly infinite order processes. The resulting asymptotic distributions of forecast error variance decompositions are also given.

最小绝对偏差估计量渐近分析的简捷方法AI 解读

Using generalized functions of random variables and generalized Taylor series expansions, we provide quick demonstrations of the asymptotic theory for the LAD estimator in a regression model setting. The approach is justified by the smoothing that is delivered in the limit by the asymptotics, whereby the generalized functions are forced to appear as linear functionals wherein they become real valued. Models with fixed and random regressors, and autoregressions with infinite…

不可逆性与误设 ARMA 模型的伪极大似然估计AI 解读

Recently Tanaka and Satchell [11] investigated the limiting properties of local maximizers of the Gaussian pseudo-likelihood function of a misspecified moving average model of order one in case the spectral density of the data process has a zero at frequency zero. We show that pseudo-maximum likelihood estimators in the narrower sense, that is, global maximizers of the Gaussian pseudo-likelihood function, may exhibit behavior drastically different from that of the local…

理解单位根研究者：鸟瞰式导览AI 解读

For the first-order univariate autoregression without constant term, the joint density (corresponding to a flat prior) for the true coefficient and its least squares estimate is estimated by Monte Carlo and graphically displayed. The graphs show how a symmetric distribution for the coefficient conditional on the estimate coexists with an asymmetric distribution for the estimate conditional on the coefficient. Prior densities implicit in treating classical significance levels…

高斯向量自回归模型中协整向量的估计与假设检验AI 解读

This paper contains the likelihood analysis of vector autoregressive models allowing for cointegration. The author derives the likelihood ratio test for cointegrating rank and finds it asymptotic distribution. He shows that the maximum likelihood estimator of the cointegrating relations can be found by reduced rank regression and derives the likelihood ratio test of structural hypotheses about these relations. The author shows that the asymptotic distribution of the maximum…

半参数 ARCH 模型AI 解读

A semiparametric ARCH model is introduced with conditional first and second moments given by ARMA and ARCH formulations, and a conditional density that is approximated by a nonparametric density estimator. For several densities, the relative efficiency of the quasi-maximum likelihood estimator is compared with maximum likelihood under correct specification. These potential efficiency gains for a fully adaptive procedure are compared in a Monte Carlo experiment with the…

部分调整模型中调整速度的估计AI 解读

We reexamine a recent controversy in the inventory literature regarding the impact of estimator choice on estimated speeds of adjustment in partial adjustment models. We compare the properties of two asymptotically equivalent estimators, the residual-adjusted Aitken (RAA) and nonlinear least squares (NLS) estimators. Our results indicate that (a) the RAA estimator is very sensitive to the quality of the instrument used in first-round estimation, and (b) model…

贝叶斯路径与单位根：先验问题始终值得争论AI 解读

Abstract This paper provides detailed responses to the following eight discussants of my paper ‘To criticize the critics: an objective Bayesian analysis of stochastic trends’: Gary Koop and Mark Steel; Edward Learner; In‐Moo Kim and G. S. Maddala; Dale J. Poirier; Peter C. Schotman and Herman K. van Dijk; James H. Stock; David DeJong and Charles H. Whiteman; and Christopher Sims. This reply puts new emphasis on the call made in the earlier paper for objective Bayesian…

支持趋势平稳的证据比我们原先认为的更强AI 解读

Abstract In DeJong and Whiteman (1991a), we concluded that 11 of the 14 macroeconomic time‐series originally studied by Nelson and Plosser (1982) supported trend‐stationarity. Phillips (1991) criticizes this inference, claiming that our procedure is biased against integration, and that our results are sensitive to model and prior specification. However, Phillips' alternative models and priors bias his results in favour of integration; despite these biases, Phillips' own…