Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
含未观测随机动态效应的非线性时间序列与面板模型的拉普拉斯变换识别AI 解读 ↓
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含未观测随机动态效应的非线性时间序列与面板模型的拉普拉斯变换识别AI 解读 ↓
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We consider nonlinear parametric and semi-parametric models for time series and panel data including unobserved dynamic effects. These regression models have an affine specification with respect to lagged endogenous variables and unobserved dynamic effects. We derive conditional moment restrictions based on suitable Laplace transforms. We show how to deploy these nonlinear moment restrictions to identify the parameters of the affine regression model, and the parametric or nonparametric distribution of the unobserved effects. This approach is appropriate for studying identification in (nonlinear) latent factor models encountered in macroeconomic and financial applications as well as in panel models with stochastic time effects.
近单位根交互效应面板中的因子分析方法
In a recent study, Bai (2013) proposes a new factor analytical (FA) method for estimation of stationary dynamic panel data models with fixed effects. Our interest in this method originates with the fact it does not require explicit demeaning of the data, a practice that is known to cause problems of bias and low power in near unit root panels. The purpose is to study the properties of FA when applied to such panels when the common component admits to a interactive effects…
具有非平稳多因子误差结构的面板
The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently, work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference in the case of stationary panel regressions with a multifactor error structure. This paper extends this work and examines the important case where the unobservable common factors follow unit root processes. The extension to I(1)…
允许截面依赖的面板数据广义非线性工具变量单位根检验
This paper proposes a unit root test for panel data with cross-sectional dependence. The test generalizes the nonlinear IV unit root test of Chang (2002) to the case where there exist some common factors in panels. The main idea is to eliminate the cross-sectional dependence through the method of principal components as in Bai and Ng (2004) and then apply Chang's test to the treated data. Under certain conditions, the proposed test is consistent and has a standard normal…
无限阶面板自回归过程的工具变量估计
We consider instrumental variables (IV) estimation of a possibly infinite order dynamic panel autoregressive (AR) process with individual effects. The estimation is based on the sieve AR approximation, with its lag order increasing with sample size. Transforming the variable to eliminate individual effects generates an endogeneity problem, particularly when the time series is only moderately long. IV approaches are useful to obtain well-behaved estimators in panels with…
张量因子模型中多个变点的检测与模态识别
We study the problem of modeling high-dimensional tensor-valued time series under a Tucker decomposition-based factor model while permitting the presence of multiple structural change points. Such data call for a method that (i) handles high dimensionality and complex dependence while achieving consistency in multiple change points and further, (ii) addresses a unique challenge posed by the multi-dimensional array setting, of identifying the modes associated with each change…
不依赖序列排序的得分驱动动态因子模型
This paper introduces a novel score-driven dynamic factor model designed for filtering cross-sectional co-movements in panels of time series. The model is formulated using elliptical distribution for noise terms, allowing the update of the time-varying parameter to be potentially nonlinear and robust to outliers. We derive stochastic properties of time series generated by the model, such as stationarity and ergodicity, and establish the invertibility of the filter. We prove…