UNIFORM CONVERGENCE RATES OVER MAXIMAL DOMAINS IN STRUCTURAL NONPARAMETRIC COINTEGRATING REGRESSION
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结构非参数协整回归在最大定义域上的一致收敛速率AI 解读 ↓
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This paper presents uniform convergence rates for kernel regression estimators, in the setting of a structural nonlinear cointegrating regression model. We generalise the existing literature in three ways. First, the domain to which these rates apply is much wider than the domains that have been considered in the existing literature, and can be chosen so as to contain as large a fraction of the sample as desired in the limit. Second, our results allow the regression disturbance to be serially correlated, and cross-correlated with the regressor; previous work on this problem (of obtaining uniform rates) having been confined entirely to the setting of an exogenous regressor. Third, we permit the bandwidth to be data-dependent, requiring it to satisfy only certain weak asymptotic shrinkage conditions. Our assumptions on the regressor process are consistent with a very broad range of departures from the standard unit root autoregressive model, allowing the regressor to be fractionally integrated, and to have an infinite variance (and even infinite lower-order moments).
协整系统中平滑结构变化的检验
This paper develops an econometric framework for analysing smooth structural change in cointegrated systems following a known intervention time. We consider a vector error-correction model in which the cointegration rank and the pre-intervention cointegrating structure are identified from a stable pre-intervention subsample. After the intervention, both the adjustment coefficients and the cointegrating vectors are allowed to evolve smoothly as functions of rescaled time,…
函数系数回归与气候敏感性分析的新渐近理论
A general asymptotic theory is established for sample cross moments of nonstationary time series, allowing for long-range dependence and local unit roots. The theory provides a substantial extension of earlier results on nonparametric regression that include near-cointegrated nonparametric regression as well as spurious nonparametric regression. Many new models are covered by the limit theory, among which are functional coefficient regressions in which both regressors and…
允许单整回归量的函数系数模型局部多项式估计极限理论
Limit theory for functional coefficient cointegrating regression was recently found to be considerably more complex than earlier understood. The issues were explained and correct limit theory derived for the kernel weighted local level estimator in Phillips and Wang (2023b). The present paper provides complete limit theory for the general kernel weighted local pth order polynomial estimators of the functional coefficient and the coefficient derivatives. Both stationary and…
非协整函数系数回归的极限理论与推断
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…
长时间跨度高频回归的若干 fixed-b 结果
This paper develops fixed-b asymptotic results for heteroskedasticity autocorrelation robust (HAR) Wald tests for high frequency data using the continuous time framework of Chang et al. (2023) (CLP). It is shown that the fixed-b limit of HAR Wald tests for high frequency stationary regressions is the same as the standard fixed-b limit in Kiefer and Vogelsang (2005). For the case of cointegrating regression the form of the fixed-b limits are different from the stationary case…
协整多项式回归:完全修正最小二乘法的稳健性
Cointegrating polynomial regressions (CPRs) include deterministic variables, integrated variables, and their powers as explanatory variables. Based on a novel kernel-weighted limit result and a novel functional central limit theorem, this paper shows that the fully modified ordinary least squares (FM-OLS) estimator of Phillips and Hansen (1990, Review of Economic Studies 57, 99–125) is robust to being used in CPRs. Being used in CPRs refers to a widespread empirical practice…