PIVOTAL STRUCTURAL CHANGE TESTS IN LINEAR SIMULTANEOUS EQUATIONS WITH WEAK IDENTIFICATION
弱识别线性联立方程中的渐近枢轴结构变化检验AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要明确以结构变化检验为研究对象,因此选择结构变化方向;联立方程本身不足以确定具体宏观应用。
弱识别线性联立方程中的渐近枢轴结构变化检验AI 解读 ↓
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Asymptotically pivotal structural change tests are developed for simultaneous equations with weakly identified parameters, extending the boundedly pivotal tests of Caner (2007, Journal of Econometrics 137, 28–67) by means of a simple reparametrization of the model.
含噪网络测量下时变网络构成与预测依赖的分离
A common question about networked time series is whether outcomes changed because shocks transmit more strongly or because the pattern of connections changed. Standard practice inserts a recorded network into an outcome regression and reads movements of the fitted coefficient as changes in transmission strength. When the network is latent, time varying, and measured with error, this reading fails: changes in strength and changes in composition can produce the same outcome…
存在变点与近弱识别时的高效两样本工具变量估计
We consider estimation and inference in a linear model with endogenous regressors where the parameters of interest change across two samples. If the first-stage is common, we show how to use this information to obtain more efficient two-sample GMM estimators than the standard split-sample GMM, even in the presence of near-weak instruments. We also propose two tests to detect change points in the parameters of interest, depending on whether the first-stage is common or not.…
美国投资 Euler 方程的实证证据
Summary Is the typical specification of the Euler equation for investment employed in dynamic stochastic general equilibrium (DSGE) models consistent with aggregate macro data? The answer is yes using state‐of‐the‐art econometric methods that are robust to weak instruments and exploit information in possible structural changes. Unfortunately, however, there is very little information about the values of the parameters in aggregate data because investment is unresponsive to…
使用 OLS 估计和检验含内生回归变量模型的结构变化
We consider the problem of estimating and testing for multiple breaks in a single-equation framework with regressors that are endogenous, i.e. correlated with the errors. We show that even in the presence of endogenous regressors it is still preferable, in most cases, to simply estimate the break dates and test for structural change using the usual ordinary least squares (OLS) framework. Except for some knife-edge cases, it delivers estimates of the break dates with higher…
美国货币政策的均衡不确定性与识别失效:稳健检验结果
Summary We propose a novel identification‐robust test for the null hypothesis that an estimated New Keynesian model has a reduced form consistent with the unique stable solution against the alternative of sunspot‐driven multiple equilibria. Our strategy is designed to handle identification failures as well as the misspecification of the relevant propagation mechanisms. We invert a likelihood ratio test for the cross‐equation restrictions (CER) that the New Keynesian system…
基于广义经验似然隐含概率的结构变化检验
This paper proposes Pearson-type statistics based on implied probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith 1997, The Economic Journal 107, 503–519) assigns a set of implied probabilities to each observation such that moment conditions are satisfied. The proposed test statistics for structural change are based on the information content in these implied probabilities. We consider cases of structural change with…