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利用定性调查数据探索通胀预期形成机制AI 解读

The objective of this article is to propose a method of exploring the mechanism of expectation formation based on qualitative survey data. The survey data are regarded as a sample from a multinomial distribution whose parameters are time-variant functions of inflation expectations. The parameters are estimated using a Bayesian recursive approach, which is a generalization of the Kalman filtering technique. For illustrative purposes, the method is applied to Japanese data.…

阿根廷1978—1987年的货币需求：奥斯特拉尔计划前后AI 解读

In this study, a monthly money-demand function for Argentina is estimated for a period that ends one month before the austral program (May 1985). The performance of the traditional econometric approach is compared with the new cointegration approach to time series econometrics. The comparison is carried out by a postsample forecast of the demand for money for a period of two years after the stabilization (until July 1987). The cointegration approach is found superior to the…

动态模型的设定分析AI 解读

The theoretical and empirical implications of omitted variables, particularly dynamic adjustment effects, are studied. In particular, the attempt to model for such omission by including possibly irrelevant variables is investigated. This extends the existing knowledge of misspecification analysis in several directions. Ordinary least squares is the estimation technique under study, as has been the case in several recent and related studies. In our empirical example, the…

使用结构时间序列模型进行季节调整：应用及与 Census X-11 方法的比较AI 解读

This article makes the method of seasonal adjustment operational using suitable structural time series models (STM). This so-called STM method is applied to several relevant Dutch macro- economic quarterly and monthly time series. The results are compared with those of the Census X-11 method using several formal criteria as yardsticks. The STM method proves to compete well with the Census X-11 method in this respect.

时间序列的留 K 个观测诊断AI 解读

Andrew G. Bruce, R. Douglas Martin; Leave-K-Out Diagnostics for Time Series, Journal of the Royal Statistical Society Series B: Statistical Methodology, Vo

利用增强谐波进行频率分析的新方法AI 解读

SUMMARY For stationary time series having a mixed spectrum, we introduce a new method for estimating the discrete frequencies based on amplification of the sine waves in the time series and on minimization of least squares regressions on amplified waves. Under the assumption that the continuous part of the spectrum arises from a stationary autoregressive moving average process, we show that the estimators for the discrete frequencies obtained with this method are strongly…

多元自回归移动平均时间序列理论自协方差矩阵的计算AI 解读

SUMMARY Matrix expressions relating the theoretical autocovariances of autoregressive moving average (ARMA) processes to their parameters are derived and used to design an efficient procedure for computing autocovariance sequences of multivariate ARMA processes. The method proposed is more efficient than others suggested in the literature and, in particular, reduces the computational burden associated with exact maximum likelihood estimation of ARMA models. The closed form…

抽样计数过程强度的非参数估计AI 解读

SUMMARY Sampled counting processes are often studied using methods for the analysis of stationary time series. We express some time series parameters as smoothed versions of corresponding point process parameters and use these relations to suggest estimates of the point process parameters. In addition, we propose a reconstructive approach to the estimation problem. We derive some properties of the estimators and apply them to data from meteorology, entomology and particle…

自回归模型中的线性假设检验AI 解读

The problem of testing linear hypotheses about the parameter vector of an autoregressive process with finite order is considered. Based on the property of local asymptotic normality, we derive asymptotically optimal statistical tests. Additionally, we define and investigate so-called residual rank tests. For these tests we obtain under the null hypothesis an asymptotic distribution which does not depend on the distribution of the innovation.

CUSUM 程序的决策论最优性AI 解读

Suppose $X_1, X_2, \ldots$ are independent random variables such that for some unknown $\nu$, each of $X_1, \ldots, X_{\nu - 1}$ is distributed according to $F_0$, while $X_\nu, X_{\nu + 1}, \ldots$ are all distributed according to $F_1$. We prove a result of Moustakides that claims that the CUSUM procedures are optimal in the sense of Lorden. We do that by proving that the procedures are Bayes for some stochastic mechanism of generating $\nu$.

广类平稳、可能具有无限方差的线性过程经验分位数的 Bahadur 型表示AI 解读

Bahadur has obtained an asymptotic almost sure representation for empirical quantiles of independent and identically distributed random variables. In this paper we present an analogous result for a large class of stationary linear processes.

相关误差数据的核平滑AI 解读

Kernel smoothing is a common method of estimating the mean function in the nonparametric regression model y = f(x) + ε, where f(x) is a smooth deterministic mean function and ε is an error process with mean zero. In this article, the mean squared error of kernel estimators is computed for processes with correlated errors, and the estimators are shown to be consistent when the sequence of error processes converges to a mixing sequence. The standard techniques for bandwidth…

时间序列回归中 Durbin–Watson 等不变检验统计量分布的快速计算AI 解读

A method is given for evaluating p values in O(n) operations for a general class of invariant test statistics that can be expressed as the ratio of quadratic forms in time series regression residuals. The best known of these is the Durbin-Watson statistic, although several others have been discussed in the literature. The method is numerically exact in the sense that the user specifies the error tolerance at the outset. As with existing exact methods, the problem is…

利用同期短时间序列预测技术替代AI 解读

It has been shown in the literature that the data of technological substitutions exhibit a strong correlation across different time periods, that is, a strong serial correlation. Significant improvement in predicting such substitutions has been achieved by incorporating serial correlation and power transformation parameters into four growth curve models. The modified models, or data-based transformed models, however, break down when the number of time points is small. This…

多个变化点的最大似然估计AI 解读

Maximum likelihood estimation of the locations of changes in sequences of independent categorical random variables when there are known lower bounds on the lengths of the sub-sequences between the change points is discussed. A method is developed which finds one of the maximum likelihood solutions. The problem of estimating the number of changed segments is discussed and some numerical results about the precision of the estimates of the locations of changes are presented.…

ARMA 模型的阶数识别AI 解读

We present a new powerful method for determining the order of ARMA (p, q) models having small sets of observations. The procedure is based on an autoregressive order determination criterion and on linear estimation methods. Simulated data are used to demonstrate the capabilities of the approach.

平稳经济时间序列的无模型渐近最优预测AI 解读

Given observations on a stationary economic vector time series process we show that the best h -step ahead forecast (best in the sense of having minimal mean square forecast error) of one of the variables can be consistently estimated by nonparametric regression on an ARMA memory index. Our approach is based on a combination of the ARMA memory index modeling approach of Bierens [7] with a modification to time series of the nonparametric kernel regression approach of Devroye…

CUSUM 与平方 CUSUM 检验的局部功效AI 解读

We consider the local power of the cusum and cusum of squares tests for structural change in the linear regression model. We show that the local power of the cusum of squares test equals its size for a wide class of structural changes, as compared to a nontrivial local power for the cusum test. The conventional ranking of these procedures is thus reversed.

GARCH(1,1) 模型的平稳性与持续性AI 解读

This paper establishes necessary and sufficient conditions for the stationarity and ergodicity of the GARCH(l.l) process. As a special case, it is shown that the IGARCH(1,1) process with no drift converges almost surely to zero, while IGARCH(1,1) with a positive drift is strictly stationary and ergodic. We examine the persistence of shocks to conditional variance in the GARCH(l.l) model, and show that whether these shocks "persist" or not depends crucially on the definition…

畑中道雄教授访谈AI 解读

This interview with Michio Hatanaka is the first in this series given in the East, of which we are very proud. Hatanaka is a pioneer of econometrics in Japan. In the early 1950s he traveled to the United States to study as a graduate student at Vanderbilt University. That step was really unusual in the Japanese profession at that time. His stay in the States was extended to 1966, during which time he taught at Princeton and Rochester. His pathfinding behavior influenced and…

宏观经济系统中的协整AI 解读

Abstract This paper investigates the long‐run relationships within a set of six quarterly time‐series on the Austrian economy by means of cointegration. After analysing the univariate properties, especially with respect to the appropriate seasonal filter, the maximum‐likelihood method proposed by Johansen (1988) is applied to estimate and test the cointegrating relationships. We found three such relations, implying that the system is driven by three independent stochastic…

门限自回归的似然比检验AI 解读

SUMMARY This paper addresses the null distribution of the likelihood ratio statistic for threshold autoregression with normally distributed noise. The problem is non-standard because the threshold parameter is a nuisance parameter which is absent under the null hypothesis. We reduce the problem to the first-passage probability associated with a Gaussian process which, in some special cases, turns out to be a Brownian bridge. It is also shown that, in some specific cases, the…

时间序列模型的分解聚合AI 解读

SUMMARY We develop a model disaggregation method to derive a disaggregate model from a given aggregate model, which is then used to perform data disaggregation. Since a time series model and its autocovariance structure are closely related, we approach the problem by exploring the possibility of estimating the autocovariance structure for the unobserved disaggregated series from the available autocovariances of an aggregate model. Let the time series aggregates be the…

汇总初步劳动力市场数据估计当季国民生产总值AI 解读

Two methods of using labor-market data as indicators of contemporaneous gross national product (GNP) are developed. The establishment survey data are used by inverting a partial-adjustment equation for hours. A second GNP forecast can be extracted from the household survey by using Okun's law. Using preliminary rather than final data adds about .2 to .4 percentage points to the expected value of the root mean squared errors and changes the weights that the pooling procedures…