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实现渐近正态性的半非参数估计量自适应规则AI 解读

In econometrics, seminonparametric (SNP) estimators originated in the consumer demand literature. The Fourier flexible form is a well-known example. The idea is to replace the consumer's indirect utility function with a truncated series expansion and then use a parametric procedure, such as nonlinear multivariate regression, to set a confidence interval on an elasticity. More recently, SNP estimators have been used in nonlinear time series analysis. A truncated Hermite…

含混合存量、流量数据及外生变量导数的开放高阶连续时间动态模型AI 解读

This paper is concerned with deriving formulae for higher order derivatives of exogenous variables for use in estimating the parameters of an open secondorder continuous time model with mixed stock and flow data and first and second order derivatives of exogenous variables which are not observable. This should provide the basis for the future estimation of continuous time models in a range of applied areas using the new Gaussian estimation computer program developed by…

采样频率变化下的检验一致性AI 解读

This paper considers the consistency property of some test statistics based on a time series of data. While the usual consistency criterion is based on keeping the sampling interval fixed, we let the sampling interval take any equispaced path as the sample size increases to infinity. We consider tests of the null hypotheses of the random walk and randomness against positive autocorrelation (stationary or explosive). We show that tests of the unit root hypothesis based on the…

特征根位于或接近单位圆的自回归最小二乘估计量的渐近行为AI 解读

Some asymptotic properties of the least-squares estimator of the parameters of an AR model of order p, p ≥ 1, are studied when the roots of the characteristic polynomial of the given AR model are on or near the unit circle. Specifically, the convergence in distribution is established and the corresponding limiting random variables are represented in terms of functionals of suitable Brownian motions. Further, the preceding convergence in distribution is strengthened to that…

线性去趋势向量自回归中的伪推断札记AI 解读

A simulation study is designed to evaluate the sensitivity of inference in a Vector Autoregression in which the variables of interest (GNP, the money stock, the price level, and a short-term interest rate) are treated as trend stationary processes. Using the normal asymptotic theory, the authors find that an artificially generated random walk Granger-causes the genuine variables in the model as often as 60% of the time for a 5% level test. They also observe substantial bias…

门限自回归似然比检验的临界值AI 解读

SUMMARY Likelihood ratio tests for threshold autoregression have been considered by Chan, and Chan and Tong. However, except for the simplest case, percentage points of the (asymptotic) null distribution of the test statistic have not been tabulated. The purpose of this paper is to tabulate the approximate upper percentage points for the general case. This is done via the Poisson clumping heuristic developed by Aldous. Monte Carlo experiments show that the approximation is…

作为路径积分的似然与成本AI 解读

SUMMARY We consider the optimal estimation, prediction and control etc. of time series. The essence of a path integral characterization is considered to be that optimal estimates and decisions etc. are obtained by the free extremization of some form. In Sections 2–5 it is shown for some stock situations that this property is ensured by the direct maximization of likelihood (rather than by appeal to the formally equivalent but operationally contrasting least square…

连续时间中的误差修正与长期均衡AI 解读

This paper deals with error correction models (ECM's) and cointegrated systems that are formulated in continuous time. Long-run equilibrium coefficients in the continuous system are always identified in the discrete time reduced form, so that there is no aliasing problem for these parameters. The long- run relationships are also preserved under quite general data filtering. Frequency domain procedures are outlined for estimation and inference. These methods are…

摘要暂缺

现值关系中的协整检验AI 解读

A Bayesian methodology is used to examine the bivariate time series properties of stock prices and dividends. The hypothesis that stock prices and dividends are cointegrated is emphasized. Exact small sample results are calculated using a specific parameterization for the bivariate model. Some commonly encountered problems in conventional cointegration tests based on asymptotic theory are thereby eliminated. We consider three hypotheses whose nonlinear form entails the need…

A stochastic macroeconomic model with no free parameters can be tested by comparing its features, such as moments, with those of data. Repeated simulation allows exact tests and gives the distribution of the sample moment under the null hypothesis that the model is true. The authors calculate the size of tests of the model studied by R. Mehra and E. C. Prescott. The approximate size of their test (which seeks to match model-generated, mean, risk-free interest rates and…

平稳时间序列长期性质的检验AI 解读

In this article, a Wald test is developed for testing long-run properties of stationary time series. The authors specialize the test and consider testing the long-run independence of two time series. They examine two applications of the test for long-run independence.

实际产出的跨期性质：贝叶斯分析AI 解读

This paper analyzes the univariate properties of real output and extends traditional analyzes in three ways: (1) a Bayesian approach is taken; (2) extensive cross-country comparisons are performed; and (3) a model is developed which allows for the possibility that real output may be fractionally integrated. In addition, standard comparisons between ARIMA and deterministic trend models are made. The class of fractionally integrated processes, while possessing certain…

线性回归模型中移动平均扰动与自回归扰动的检验AI 解读

This article considers testing for first-order moving average against first-order autoregressive disturbances in the linear-regression model. Tests investigated include approximate point-optimal invariant (POI) tests, an asymptotic test of the second-order residual autocorrelation coefficient, and a Lagragne multiplier (LM) test. A Monte Carlo experiment compares their small-sample performances. Of the asymptotic tests, the LM test has the most satisfactory sizes, but its…

时间序列重抽样：估计养老金抗通胀方案下的损失概率AI 解读

Abstract Any pension protection formula that falls short of complete compensation for inflation has associated with it a time‐series of probability distributions of future purchasing power losses. A method of estimating those distributions is proposed and applied. The method is based on the idea of representing inflation as a multivariate time‐series process and using a model fitted to historical data to generate a large artificial sample of ‘realized’ inflation sequences by…

不稳定一阶自回归过程的自助法AI 解读

Consider a first-order autoregressive process $X_t = \beta X_{t - 1} + \varepsilon_t$, where $\{\varepsilon_t\}$ are independent and identically distributed random errors with mean 0 and variance 1. It is shown that when $\beta = 1$ the standard bootstrap least squares estimate of $\beta$ is asymptotically invalid, even if the error distribution is assumed to be normal. The conditional limit distribution of the bootstrap estimate at $\beta = 1$ is shown to converge to a…

弥散卡尔曼滤波AI 解读

The Kalman recursion for state space models is extended to allow for likelihood evaluation and minimum mean square estimation given states with an arbitrarily large covariance matrix. The extension is computationally minor. Application is made to likelihood evaluation, state estimation, prediction and smoothing.

季节差分的若干拉格朗日乘子检验AI 解读

Determining whether a time series has a unit root is an important problem in many time series analyses. For seasonal time series the problem is more complicated as one has to decide whether both regular and seasonal differencing or just one of them would suffice to transform a series into stationarity. This important problem is addressed via the Lagrange multiplier test approach. The large sample representations of the test statistics in terms of integrals of Wiener…

摘要暂缺

平稳一阶自回归模型的连续时间近似AI 解读

We consider the least-squares estimator in a strictly stationary first-order autoregression without an estimated intercept. We study its continuous time asymptotic distribution based on an asymptotic framework where the sampling interval converges to zero as the sample size increases. We derive a momentgenerating function which permits the calculation of percentage points and moments of this asymptotic distribution and assess the adequacy of the approximation to the finite…

一阶自回归预测的偏差AI 解读

The exact finite sample behavior is investigated on the bias of multiperiod leastsquares forecasts in the normal autoregressive model y t = α + β y t –1 + u t . Necessary and sufficient conditions are given for the existence of the bias and an expression is presented which we use to obtain exact numerical results for finite samples. The unit root and near unit root behavior is studied in detail and some popular preconceptions about the behavior of the bias are shown to be…

最小绝对偏差回归估计量的渐近理论AI 解读

The LAD estimator of the vector parameter in a linear regression is defined by minimizing the sum of the absolute values of the residuals. This paper provides a direct proof of asymptotic normality for the LAD estimator. The main theorem assumes deterministic carriers. The extension to random carriers includes the case of autoregressions whose error terms have finite second moments. For a first-order autoregression with Cauchy errors the LAD estimator is shown to converge at…

无限方差创新的积分过程中的 M 估计极限理论AI 解读

We consider the limiting distributions of M -estimates of an “autoregressive” parameter when the observations come from an integrated linear process with infinite variance innovations. It is shown that M -estimates are, asymptotically, infinitely more efficient than the least-squares estimator (in the sense that they have a faster rate of convergence) and are conditionally asymptotically normal.

商业周期的持续期依赖：参数方法AI 解读

This paper reexamines duration dependence in U.S. business cycles using parametric hazard models. Positive duration dependence would indicate that expansions or contractions are more likely to end as they become "older." This paper provides statistically significant evidence of positive duration dependence for expansions before World War II and contractions after World War II. The evidence is stronger than in earlier research utilizing nonparametric techniques, because…