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分类依据与纠错

AI 根据所提供的论文材料归类:摘要明确研究非平稳且非协整序列的函数系数回归,并以货币数量论为应用,直接对应时间序列计量。

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关注这篇论文的作者
Ying Wang
Yundong Tu

非协整函数系数回归的极限理论与推断

研究问题
当非平稳序列不满足正式协整且回归误差也可能非平稳时,如何估计由协变量调节的函数系数联系,并对这种相关关系开展推断?
方法与思路
作者提出非参数函数系数估计量,推导涉及非对角矩阵归一化及随机偏差的混合正态极限,并构造具有卡方渐近分布的系数恒定性检验。
材料陈述的贡献
摘要称,估计量具有 n 阶收敛速度,数值研究显示相较既有估计效率改善,恒定性检验在局部备择下发散更快,并提供货币数量论应用。
阅读关注点
应核对非协整情况下函数系数的相关性解释、一致估计所需联系条件,以及非对角归一化、随机偏差和恒定性检验的处理。
阅读边界
仅依据所给 RePEc 出版社摘要;允许的非平稳过程、带宽条件及效率比较幅度未说明,不能将相关联系视为因果或推断版本变化。

原文摘要

Functional coefficient (FC) cointegrating regressions offer empirical investigators flexibility in modeling economic relationships by introducing covariates that influence the direction and intensity of comovement among nonstationary time series. FC regression models are also useful when formal cointegration is absent, in the sense that the equation errors may themselves be nonstationary, but where the nonstationary series display well-defined FC linkages that can be meaningfully interpreted as correlation measures involving the covariates. The present paper proposes new nonparametric estimators for such FC regression models where the nonstationary series display linkages that enable consistent estimation of the correlation measures between them. Specifically, we develop n-consistent estimators for the functional coefficient and establish their asymptotic distributions, which involve mixed normal limits that facilitate inference. Two novel features that appear in the limit theory are (i) the need for non-diagonal matrix normalization due to the presence of stationary and nonstationary components in the regression; and (ii) random bias elements that appear in the asymptotic distribution of the kernel estimators, again resulting from the nonstationary regression components. Numerical studies reveal that the proposed estimators achieve significant efficiency improvements compared to the estimators suggested in earlier work by Sun et al. (2011). Easily implementable specification tests with standard chi-square asymptotics are suggested to check for constancy of the functional coefficient. These tests are shown to have faster divergence rate under local alternatives and enjoy superior performance in simulations than tests proposed in Gan et al. (2014). An empirical application based on the quantity theory of money is included, illustrating the practical use of correlated but non-cointegrated regression relations.

笔记与分组