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从 VAR 模型到结构模型：工资—价格螺旋的应用AI 解读

Abstract In this paper a VAR model is considered as a general framework in which a structural model can be tested. We carefully describe the hypotheses defining a structural model; this leads us to discuss various notions such as: predeterminedness, non‐causality, exogeneity, contemporaneous identification, overall identification, weak and strong structural forms. Then we propose a test procedure, based on the asymptotic least‐squares method, which allows successive testing…

多元时间序列的典型偏自相关函数AI 解读

We propose a definition of the partial autocorrelation function $\beta(\cdot)$ for multivariate stationary time series suggested by the canonical analysis of the forward and backward innovations. Here $\beta(\cdot)$ satisfies $\beta(-n) = \beta(n)', n = 0, 1, \cdots,$ where $\beta(0)$ is nonnegative definite, $\{\beta(n), n = 1, 2, \cdots\}$ is a sequence of square matrices having singular values less than or equal to 1 and such that the order of $\beta(n + 1)$ is equal to…

爆炸性自回归中的弱自适应估计量AI 解读

Consider the model $X_i = \rho X_{i - 1} + \varepsilon_i, |\rho| > 1$, where $X_0, \varepsilon_1, \varepsilon_2, \cdots$ are independent random variables with $\varepsilon_1, \varepsilon_2, \cdots$ having common density $\psi$. This paper gives sufficient conditions under which the sequence of experiments induced by $\{X_0, X_1, \cdots, X_n\}$ has a weak limit in the sense of Le Cam. In general, the limiting experiment is translation invariant and neither LAN nor LAMN. The…

混合过程下非参数模型稳健估计量的渐近分布AI 解读

In this paper we obtain the asymptotic distribution of robust nonparametric autoregression estimators for dependent observations. Weights based on kernel and nearest-neighbor methods are considered.

季节分数差分模型在货币总量中的应用AI 解读

In this article, three significant variables used by the U.S. Federal Reserve as targets to shape monetary policy, the monetary aggregates M1, M2, and M3, are examined using a seasonal fractionally differenced model. The sample autocorrelation functions of these monetary variables exhibit a decay pattern at the seasonal lags that is typical of a fractional model. The seasonal fractionally differenced model is found to remove a great deal of the autocorrelation at the…

生物医学时间序列的建模与监测AI 解读

A framework for modeling and monitoring medical time series is developed, based on extensions to the linear dynamic model. The approach is designed to provide for on-line, recursive updating and inference for time series that are subject to several forms of potential discontinuous change, and that may have missing values. The models and methods introduced are illustrated with three biomedical series.

均值变化最大似然检验的渐近分布AI 解读

For the maximum likelihood tests for a change in the mean of independent random variables, it is proved that the limit distribution is a double exponential, i.e. Gumbel, distribution. Our results also explain why the maximum likelihood methods are very powerful on the tails.

定位伯努利变量序列中的变化区段AI 解读

The theory underlying inferences about a single change point in a sequence of independent Bernoulli variables is extended to the two change points problem where the distance between the two change points is known, namely a changed segment. Both null and nonnull distributions of the log likelihood ratio for testing the hypothesis that there is no changed segment against the alternative that there is one of specified length are derived using recurrence equations. The…

摘要暂缺

This article examines the persistence of the variance, as measured by the generalized autoregressive conditional heteroskedasticity (GARCH) model, in stock-return data. In particular, we investigate the extent to which persistence in variance may be overstated because of the existence of, and failure to take account of, deterministic structural shifts in the model. Both an analysis of daily stock-return data and a Monte Carlo simulation experiment confirm the hypothesis that…

In a recent article, Garcia-Ferrer, Highfield, Palm, and Zellner (1987) used pooling techniques to forecast annual output growth rates in nine countries. Examining various model specifications, they found that, among the fixed-parameter models investigated, a third-order autoregressive (AR) model with leading indicators, AR(3)LI, produces the best forecasts overall. A reexamination using state-space methods shows that a more parsimonious fixed-parameter model, which does not…

ARIMA 噪声模型的重复时间序列分析AI 解读

This article develops a theory and methodology for repeated time series (RTS) measurements on autoregressive integrated moving average-noise (ARIMAN) process. The theory enables us to relax the normality assumption in the ARIMAN model and to identify models for each component series of the process. We discuss the properties, estimation, and forecasting of RTS ARIMAN models and illustrate with examples.

一阶自回归中 p 值与检验力的自助法估计：蒙特卡洛研究AI 解读

The small-sample behavior of the bootstrap is investigated as a method for estimating p values and power in the stationary first-order autoregressive model. Monte Carlo methods are used to examine the bootstrap and Student-t approximations to the true distribution of the test statistic frequently used for testing hypotheses on the underlying slope parameter. In contrast to Student's t, the results suggest that the bootstrap can accurately estimate p values and power in this…

均值发生变化的时间序列单位根检验AI 解读

This study considers testing for a unit root in a time series characterized by a structural change in its mean level. My approach follows the “intervention analysis” of Box and Tiao (1975) in the sense that I consider the change as being exogenous and as occurring at a known date. Standard unit-root tests are shown to be biased toward nonrejection of the hypothesis of a unit root when the full sample is used. Since tests using split sample regressions usually have low power,…

单位根检验与季节调整的统计陷阱：美国战后实际国民生产总值的案例AI 解读

Unit-root tests applied to the postwar seasonally adjusted quarterly gross national product series strongly support the null hypothesis of the presence of a unit root in the data-generating process. Evidence reported here with seasonally unadjusted data is far less conclusive. It is explained why seasonal-adjustment procedures may alter the outcome of conventional tests.

英国抵押贷款市场中配给的测量与结构变化处理AI 解读

Abstract UK mortgage markets have undergone major structural changes in the past few years, resulting in mortgages no longer being rationed. The ending of rationing has implications for the specification of empirical models of housing demand. Housing models have never adequately resolved how to incorporate unobservable mortgage rationing. Conventional proxy methods are particularly unsuitable, when rationing ceases. In this paper, we propose a new way of measuring rationing…

摘要暂缺

多元非平稳过程的渐近性质及其自回归应用AI 解读

Asymptotic properties of multivariate time series with characteristic roots on the unit circle are considered. For a vector autoregressive moving average (ARMA) process, we derive the limiting distributions of certain statistics which are useful in understanding nonstationary processes. These distributions are derived in a unified manner for all types of characteristic roots and are expressed in terms of stochastic integrals of Brownian motions. For applications, we use the…

概率与统计：纪念 Franklin A. Graybill 的论文集AI 解读

Admissibility in Linear Models with Polyhedral Covariance Structure (A.-M. Azzam, D. Birkes, J. Seely). Simulated Power Comparisons of the Asymptotic and Nonasymptotic Goodman and Kruskal Tau Tests for Sparse R and C Tables (K.J. Berry, P.W. Mielke, Jr.). Schemes Exhibiting Hurst Behavior (D.C. Boes). The Extension of Grubb's Estimators for Classes of Incomplete Block Designs (R.A. Bradley, D.A. Rollier). Applications of Innovation Representations in Time Series Analysis…

分数单位根分布AI 解读

Asymptotic distributions are derived for the ordinary least squares estimate of a first order autoregression model when the series is fractionally integrated. The fractional unit root distribution is introduced to describe the limiting distribution. The unit root distribution is shown to be an atypical member of this family because its density is nonzero over the entire real line. For -1/2 Copyright 1990 by The Econometric Society.

误差自相关线性回归中的精确检验与置信集AI 解读

This article proposes a general method to build exact tests and confidence sets in linear regressions with first-order autoregressive Gaussian disturbances. Because of a nuisance parameter problem, we argue that generalized bounds tests and conservative confidence sets provide natural inference procedures in such a context. Given an exact confidence set for the autocorrelation coefficient, we describe how to obtain a similar simultaneous confidence set for the…

多元时间序列谱密度矩阵相关统计量的分布渐近展开及应用AI 解读

Let { X ( t )} be a multivariate Gaussian stationary process with the spectral density matrix f 0 (ω), where θ is an unknown parameter vector. Using a quasi-maximum likelihood estimator θ̂ of θ, we estimate the spectral density matrix f 0 (ω) by f θ̂ (ω). Then we derive asymptotic expansions of the distributions of functions of f θ̂ (ω). Also asymptotic expansions for the distributions of functions of the eigenvalues of f θ̂ (ω) are given. These results can be applied to…

具有单位根和无限方差误差的时间序列回归AI 解读

In [4] Chan and Tran give the limit theory for the least-squares coefficient in a random walk with i.i.d. (identically and independently distributed) errors that are in the domain of attraction of a stable law. This paper discusses their results and provides generalizations to the case of I (1) processes with weakly dependent errors whose distributions are in the domain of attraction of a stable law. General unit root tests are also studied. It is shown that the…

向量自回归模型中脉冲响应函数与预测误差方差分解的渐近分布AI 解读

In recent years, vector autoregressive models have become standard tools for economic analyses. Impulse response functions and forecast error variance decompositions are usually computed from these models in order to investigate the interrelationships within the system. However, sometimes no measures of estimation uncertainty are provided by authors. One reason may be that the relevant asymptotic distribution theory is distributed over various publications. In this article,…