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操作性主观统计方法在理性预期中的应用AI 解读

This article presents a sequential scoring analysis of six econometric forecast distributions for the main components of the annual U.S. gross national product (GNP) accounts—nominal GNP, real GNP, and the implicit price deflator. Analysis of sequential forecasts is presented in terms of proper scoring rules. Computations relevant to the calibration and refinement properties of the forecast distributions are discussed. Annual data are studied for the period 1952–1982. The…

混合VARMA过程多项式矩阵中非零元素的识别AI 解读

S. G. Koreisha, T. M. Pukkila; Identification of Nonzero Elements in the Polynomial Matrices of Mixed Varma Processes, Journal of the Royal Statistical Soc

无限方差过程的一致阶数判定AI 解读

SUMMARY Order determination for autoregressive processes when the residuals have a distribution belonging to the domain of attraction of an infinite variance stable law is examined. The use of the FPEα criterion of Bhansali and Downham (1977) is shown to provide a consistent estimator of the order with any α > 0. Order determination for moving average processes is considered; a procedure based on autoregressive estimates of the inverse correlations, see Bhansali (1983), is…

时间序列参数的频域加权最小二乘估计AI 解读

A procedure for estimating the parameters of a time series is proposed. The estimate minimizes a criterion function which is the weighted sum of squares of the distances between the periodogram and the spectrum of the series. Under regularity conditions, the estimate is shown to be strongly consistent. The asymptotic distribution of the estimate is also obtained. It is shown that, for a Gaussian process, an asymptotically efficient estimate can be obtained by using an…

线性随机模型估计量分布的强近似：平稳与爆炸性 AR 模型AI 解读

It is shown that in the stationary autoregressive case (Part I [Sections 1-5)] the distributions of least squares estimators and their close relatives such as sample autocovariances and the recently introduced general $M$-estimators converge to suitable Gaussian distributions uniformly over all Borel sets and uniformly over suitable neighborhoods of the parameter. Specifically, the notion of strongly asymptotically shift equivariance is introduced and it is shown that the…

多期条件矩限制所蕴含的效率界AI 解读

In this article we study a class of econometric models that imply a set of multiperiod conditional moment restrictions. These restrictions depend on an unknown parameter vector. We construct an extensive class of consistent, asymptotically normal estimators of this parameter vector and calculate the greatest lower bound for the asymptotic covariance matrices of estimators in this class. In so doing, we extend results reported by Hansen (1985) and Stoica, Söderström, and…

近非平稳时间序列的参数推断AI 解读

A first-order autoregressive (AR) time series Yt = βY t-1 + εt is said to be nearly nonstationary if β is close to 1. For a nearly nonstationary AR(1) model, it is shown that the limiting distribution of the least squares estimate of β obtained by Chan and Wei (1987) can be expressed as a functional of the Ornstein-Uhlenbeck process. This alternative expression provides a simple and efficient means to tabulate the percentiles of the limiting distribution that furnishes a…

自回归系数估计量的偏差AI 解读

This article presents simple expressions for the bias of estimators of the coefficients of an autoregressive model of arbitrary, but known, finite order. The results include models both with and without a constant term. The effects of overspecification of the model order on the bias are described. The emphasis is on least-squares and Yule-Walker estimators, but the methods extend to other estimators of similar design. Although only the order T -1 component of the bias is…

事前实际利率模型及其导出的通胀预测AI 解读

A methodology for estimating expected real interest rates and making inflation forecasts, together with appropriate confidence intervals, is presented. The role of price expectations in determining real interest rates is also analyzed. Structural breaks in the process generating real interest rates are detected in 1980 and 1983 by tracking the accuracy of interest-rate forecasts. Analysis of these structural breaks reveals that the break at the beginning of 1983 returns the…

基于双谱的时间序列高斯性与线性检测AI 解读

Statistical techniques have been developed that use estimated bispectrum values to test whether a sample of a time series is consistent with the hypothesis that the observations are generated by a linear process. The magnitude of the test statistics indicates the amount of divergence between the observations and the linear model hypothesis. It is important to investigate such a divergence, since the usual linear model coefficients can be shown to be biased in the face of…

时间序列模型的交叉验证滤波器AI 解读

A filter is presented which computes cross-validation errors and associated statistics for an arbitrary state space model. The procedure is more efficient than an existing approach. Diffuse initial conditions are easily handled using a minor extension. The relationship to the fixed interval smoothing algorithm is investigated.

时间序列数据窗的均方误差准则AI 解读

A periodogram mean integrated squared error criterion is proposed for assessing the performance of time series data windows, or tapers. The criterion is evaluated numerically for several known autoregressive processes to determine the optimal amount of tapering in Tukey's cosine window. It is found that tapering can be extremely beneficial if the spectrum contains sharp peaks. Also, in all cases studied, the optimal number of points tapered converges to a constant as the…

状态空间模型中平滑估计的协方差AI 解读

Ansley & Kohn (1982) presented a novel proof of the fixed interval smoothing algorithm for state space models. In this note the ideas of their proof are used to provide a new formula for the covariance between smoothed estimates at any two points in time. This equation is substantially simpler than existing special cases.

近整合时间序列的回归理论AI 解读

On introduit le concept de processus aleatoire vectoriel presque integre. Ce type de processus aide a travailler vers une theorie asymptotique generale de la regression pour des series temporelles multiples

Real exchange rates between the United States and its major trading partners were calculated for the Bretton Woods and flexible exchange rate periods. Unit root tests indicate that Purchasing Power Parity performed poorly in both periods. Tests for cointegration reveal limited instances in which it is possible to estimate the deviations from PPP as an error correcting model. The estimated error correcting models indicate that foreign, but not U.S., prices responded to…

离散观测下广义 Itô 过程的最大似然估计AI 解读

This paper considers the parametric estimation problem for continuous-time stochastic processes described by first-order nonlinear stochastic differential equations of the generalized Itô type (containing both jump and diffusion components). We derive a particular functional partial differential equation which characterizes the exact likelihood function of a discretely sampled Itô process. In addition, we show by a simple counterexample that the common approach of estimating…

相依异质过程的不变性原理与中心极限定理AI 解读

Building on work of McLeish, we present a number of invariance principles for doubly indexed arrays of stochastic processes which may exhibit considerable dependence, heterogeneity, and/or trending moments. In particular, we consider possibly time-varying functions of infinite histories of heterogeneous mixing processes and obtain general invariance results, with central limit theorems following as corollaries. These results are formulated so as to apply to economic time…

经济预测组合：胜算矩阵方法AI 解读

In this article, we test a new method of combining economic forecasts, the odds-matrix approach, using Clemen and Winkler's (1986) data on gross-national-product forecasts. For these data, the results show that the odds-matrix method is more accurate than each of the other methods tested and can be expected to be especially useful when data are nonstationary or sparse.

货币、价格与收入的经验关系再考察AI 解读

This article investigates the relationship between sum, Divisia, and monetary velocity money, prices, and income using the notion of Granger (1969) causality. This is achieved by evaluating empirically (using Dickey–Fuller unit-root tests) whether the macroeconomic time series under consideration are trend stationary or difference stationary and by conducting tests using three different, ad hoc, lag lengths—8, 6, and 4 quarters—as well as a statistically determined—using…

时间序列分析的小样本效应：新的渐近理论与估计方法AI 解读

To estimate the parameters of a stationary process, Whittle (1953) introduced an approximation to the Gaussian likelihood function. Although the Whittle estimate is asymptotically efficient, the small sample behavior may be poor if the spectrum of the process contains peaks. We introduce a mathematical model that covers such small sample effects. We prove that the exact maximum likelihood estimate is still optimal in this model, whereas the Whittle estimate and the…

未来与过去之间的单位典型相关AI 解读

Stationary vector ARMA processes $x(t), t = 0, \pm 1, \pm 2, \cdots$, of $n$ components are considered that are of full rank, and the situation where there are linear functions of the future $x(t), t > 0$, and the past $x(t), t \leq 0$ (more properly the present and the past) that have unit correlation. It is shown that the number of linearly independent such pairs (i.e., the number of unit canonical correlations between future and past) is the number of zeros of the…

Cox 周期回归模型AI 解读

Cox's regression model has been successfully used for censored survival data. It can be adapted to model a counting process having a periodic underlying intensity. In survival analysis, the asymptotic properties, as studied by Andersen and Gill, correspond to a large number of processes running parallel over the same time interval. Here a single point process is observed over a large number of successive periods. Cox's model can easily be adapted to this situation and…

具有长记忆平稳误差的回归模型估计AI 解读

We consider estimation of a regression model with long-memory stationary errors. First, we estimate the regression parameters by the least-squares estimator (LSE) and, next, those describing the correlation structure of the error terms by using the residuals obtained from the LSE. Certain regularity conditions introduced to develop the asymptotic theory no longer hold in this model. In this situation we derive asymptotic properties of the preceding estimation procedure.

ARMA 参数估计的回归方法AI 解读

Regression procedures for parameter estimation in autoregression moving average (ARMA) models are discussed, mainly for providing initial estimates for iterative maximization of a Gaussian likelihood. An iterative procedure of Spliid (1983) is compared to a procedure of Hannan and Rissanen (1982), and a global convergence result is established for an iterative modification of Spliid's procedure. Spliid's iteration does not always converge; when it does, it has the same…