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时变泊松自回归AI 解读

In this paper we propose a new time-varying econometric model, called Time-Varying Poisson AutoRegressive with eXogenous covariates (TV-PARX), suited to model and forecast time series of counts. {We show that the score-driven framework is particularly suitable to recover the evolution of time-varying parameters and provides the required flexibility to model and forecast time series of counts characterized by convoluted nonlinear dynamics and structural breaks.} We study the…

异方差 VAR 模型中确定协整秩的自适应信息准则方法AI 解读

Standard methods, such as sequential procedures based on Johansen's (pseudo-)likelihood ratio (PLR) test, for determining the co-integration rank of a vector autoregressive (VAR) system of variables integrated of order one can be significantly affected, even asymptotically, by unconditional heteroskedasticity (non-stationary volatility) in the data. Known solutions to this problem include wild bootstrap implementations of the PLR test or the use of an information criterion,…