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近似条件似然的一个时间序列例证AI 解读

We consider the calculation of confidence intervals for the correlation parameter, based on observations of a large number of short Gaussian first-order autoregressive processes with different means but common correlation and variance. Ordinary profile likelihood gives very misleading answers. The approximate conditional likelihood of Cox & Reid (1987) is calculated and shown to lead to consistent estimation of the correlation. Simulations verify that the usual asymptotic…

多元时间序列的稳健建模AI 解读

A robust estimation procedure for multiple time series is proposed based on robustifying the residual autocovariances in the estimating equation. The asymptotic distribution of these estimators is derived. A robustified multivariate portmanteau statistic is also obtained which can be useful in model diagnostic checking. An illustrative example based on the mink-muskrat data is presented.

自相关误差回归模型的大样本推断AI 解读

Based on intermittent observations from several independent regression models with autocorrelated errors, we derive tests of homogeneity, and the maximum likelihood estimate of the common regression parameter. The estimate for the regression parameter is based on aggregated data in the form of sample means at each time point. The limit distributions of the test statistics, and the estimate are considered.

股票市场国际化与英国外汇管制的取消AI 解读

This paper aims to assess the impact of the abolition of U.K. exchange control on the degre of integration of U.K. and overseas stock markets. Using cointegration techniques, we find that although there is no significant increase in the correlation of short-run stock market returns for the United Kingdom and certain overseas markets post 1979, there does appear to be a marked increase in the degree to which these markets move together in the long run after this date--there…

AR(1) 误差线性模型的 Edgeworth 检验尺寸修正AI 解读

T. J. Rothenberg's (1984) Edgeworth test size correction for the linear model with a nonscalar covariance matrix is applied to the special case of AR(1) errors. Simulations show that the correction reduces the overrejection that is commonly encountered in this model, although substantial overrejection remains when the original amount is large. When the regressors are autocorrelated and collinear (for example, two trended regressors) there is not nearly as much overrejection…

Recent work by Said and Dickey (1984, 1985), Phillips (1987), and Phillips and Perron (1988) examines tests for unit roots in the autoregressive part of mixed autoregressive integrated moving average models (tests for stationarity). Monte Carlo experiments show that these unit-root tests have different finite-sample distributions from the unit-root tests developed by Fuller (1976) and Dickey and Fuller (1979, 1981) for autoregressive processes. In particular, the tests…

通胀指数的经验测量：多指标分布滞后方法AI 解读

Zellner (1970) considered an interesting model containing an unobservable variable that was treated as a linear combination of many observable variables. Goldberger (1972a,b, 1974) extended Zellner's model to the case of several dependent variables in the multiple causes model (MCM) and the multiple indicator multiple cause model. This article presents a dynamic extension of the MCM that allows for a geometrically distributed lag in the unobservable variable. The maximum…

动态模型预测中初步数据的最优利用AI 解读

Timely economic forecasts by means of dynamic models rely on updated time series, the last figure(s) of which are provisional and will be typically subjected to a number of revisions. A general approach to the efficient use of provisional observations in dynamic models is presented, based on the state-space methodology and the Kalman filter. Suitable adaptations are introduced, chiefly involving the measurement equations. Some applications are carried out for Italy,…

ARMA 模型中的镜像与不变分布AI 解读

The finite sample distributions of estimators and test statistics in ARMA time series models are generally unknown. For typical sample sizes, the approximations provided by asymptotic distributions are often unsatisfactory. Hence simulation or numerical integration methods are used to investigate the distributions. In practice only a limited part of the parameter space is examined using these methods. Thus any results which allow us to infer properties from one portion of…

含单整过程回归的统计推断：第二部分AI 解读

This paper continues the theoretical investigation of Park and Phillips. We develop an asymptotic theory of regression for multivariate linear models that accommodates integrated processes of different orders, nonzero means, drifts, time trends, and cointegrated regressors. The framework of analysis is general but has a common architecture that helps to simplify and codify what would otherwise be a myriad of isolated results. A good deal of earlier research by the authors…

结构时间序列分析与建模软件包评述AI 解读

Abstract This package performs specialized tasks related to specification, estimation, prediction and diagnostic checking in the context of a particular class of unobserved‐components models. It is menu‐driven and easy to use. Although the present (first) release suffers from a number of limitations, omissions and bugs, it is nevertheless a useful tool in the hands of a knowledgeable user.

维多利亚时代后期英法经济增长转折：证据的重新评估AI 解读

Abstract The paper investigates the question of whether the trend rate of growth of GDP slowed down in Britain or France in the nineteenth century. We establish that real GDP belongs to the trend‐stationary process class of time‐series in each case rather than the difference‐stationary process and using Kalman filter techniques, analyse trends in a model incorporating time‐varying parameters without specifying breakpoints in advance. We find, contrary to the literature, that…

多元自回归时间序列的单位根非平稳性检验AI 解读

The characteristic equation of a multiple autoregressive time series involves the eigenvalues of a matrix equation which determine if the series is stationary. Suppose one eigenvalue is 1 and the rest are less than 1 in magnitude. We show that ordinary least squares may be used to estimate the matrices involved and that the largest estimated eigenvalue has distributional properties that allow us to test this unit root hypothesis using critical values tabulated by Dickey…

平稳线性过程极限定理的括号条件AI 解读

This paper aims at improvement in regularity conditions on spectral densities for the limit theorems of the quasi maximum-likelihood estimator and the quasi likelihood-ratio statistic. The approach parallels the Daniels-Huber-Pollard proofs of central limit theorems under nonstandard conditions for i.i.d. situations. The results of the paper enable one to dispense with excessive regularity conditions on the spectral density.

检验参数是否随时间保持不变AI 解读

Tests are proposed for detecting possible changes in parameters when the observations are obtained sequentially in time. While deriving the tests the alternative one has in mind specifies the parameter process as a martingale. The distribution theory of these tests relies on the large-sample results; that is, only the limiting null distributions are known (except in very special cases). The main tool in establishing these limiting distributions is weak convergence of…

季节调整的敏感性分析：实证案例研究AI 解读

Three detailed case studies illustrating the seasonal analysis of economic time series are presented using component models for seasonal and nonseasonal behavior. Analyses are performed within a semi-Bayesian framework where inferences for target quantities of interest, such as seasonally adjusted values, are obtained as posterior distributions conditional on observed data and fitted parameter values. Such an approach is similar to previous model-based methods of seasonal…

自相关线性模型中普通最小二乘法的效率AI 解读

This article provides a reconsideration of Kramer's (1980) results on least squares estimation in linear models with autocorrelated errors. Kramer's results are shown to be dependent on his measure of efficiency and to understate the advantages of correcting for autocorrelation.

门限自回归过程的检验与建模AI 解读

The threshold autoregressive model is one of the nonlinear time series models available in the literature. It was first proposed by Tong (1978) and discussed in detail by Tong and Lim (1980) and Tong (1983). The major features of this class of models are limit cycles, amplitude dependent frequencies, and jump phenomena. Much of the original motivation of the model is concerned with limit cycles of a cyclical time series, and indeed the model is capable of producing…

系数恒定性检验统计量的分布AI 解读

This paper investigates the distribution of the locally best invariant test for coefficient constancy, against the random walk alternative, in a regression model which may contain nonvarying coefficients. Unfortunately, the distribution of the locally best invariant test depends critically on the exogenous variables of the model, even asymptotically. A modification is suggested which has a known asymptotic distribution regardless of the regression effect.

状态空间模型中信号提取、影响分析与交叉验证的快速算法AI 解读

A fast algorithm is developed for computing the conditional mean and variance of the signal given the observations in a signal plus noise model. The resulting recursions can be applied immediately to provide new and efficient formulae for smoothing part or all of the state vector. The ideas of studentized residuals and leverage from regression analysis are generalized to state space models, and the new algorithm is used to compute the various measures. The results are also…

偏群时延的估计AI 解读

The partial group delay between two channels of a multiple time series has an interpretation as the time lag between frequency components of the two channels after adjustments have been made for the influence of the remaining channels. A procedure for estimating partial group delay is proposed, and conditions for consistency and asymptotic normality of the estimating sequence are obtained.

平稳时间序列上叠加单调趋势的一致检测AI 解读

Consider a time series made up of a signal and a stationary autocorrelated error series. A statistic is proposed for examining the hypothesis that the signal term is constant versus the hypothesis that it is monotonic in time. The statistic is the ratio of a linear combination of the time series values, with coefficients introduced by Abelson & Tukey (1963), to an estimate of the standard error of the linear combination. The statistic has asymptotic power 1 for a broad class…

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利用非参数回归检查模型AI 解读

The use of nonparametric regression is explored to check the fit of a parametric regression model. The principal aim is to check the validity of the regression curve rather than necessarily to detect outliers. A pseudo likelihood ratio test is developed to provide a global assessment of fit and simulation bands are used to indicate the nature of departures from the model. The types of data considered include discrete response variables, where standard diagnostic techniques…