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加性单指标协整时间序列模型的稳健 M 估计AI 解读

Robust M-estimation uses loss functions, such as least absolute deviation (LAD), quantile loss and Huber's loss, to construct its objective function, in order to for example eschew the impact of outliers, whereas the difficulty in analysing the resultant estimators rests on the nonsmoothness of these losses. Generalized functions have advantages over ordinary functions in several aspects, especially generalized functions possess derivatives of any order. Generalized…

多指标非平稳时间序列模型：稳健估计理论与实践AI 解读

This paper proposes a class of parametric multiple-index time series models that involve linear combinations of time trends, stationary variables and unit root processes as regressors. The inclusion of the three different types of time series, along with the use of a multiple-index structure for these variables to circumvent the curse of dimensionality, is due to both theoretical and practical considerations. The M-type estimators (including OLS, LAD, Huber's estimator,…

COVID-19 的时间趋势：一项面板数据研究AI 解读

In this paper, we study the trending behaviour of COVID-19 data at country level, and draw attention to some existing econometric tools which are potentially helpful to understand the trend better in future studies. In our empirical study, we find that European countries overall flatten the curves more effectively compared to the other regions, while Asia & Oceania also achieve some success, but the situations are not as optimistic elsewhere. Africa and America are still…