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可能存在平滑确定性趋势时的分数单整阶数检验AI 解读

This paper introduces a test for fractional integration in a model that possibly contains smooth deterministic trends. We model the trend component using a Chebyshev polynomial and specify the short-run dynamics semi-parametrically, accommodating a broad class of possibly nonlinear processes, including those with conditional heteroskedasticity. We use a local Whittle approach for constructing a Lagrange multiplier test statistic and for constructing a frequency-domain…

分数单整模型的修正条件平方和估计量AI 解读

In this paper, we analyse the influence of estimating a constant term on the bias of the conditional sum-of-squares (CSS) estimator in a stationary or non-stationary type-II ARFIMA ($p_1$,$d$,$p_2$) model. We derive expressions for the estimator's bias and show that the leading term can be easily removed by a simple modification of the CSS objective function. We call this new estimator the modified conditional sum-of-squares (MCSS) estimator. We show theoretically and by…

具有经验学习机制的非平稳非线性群组面板最小二乘估计AI 解读

We discuss techniques of estimation and inference for nonstationary nonlinear cohort panels with learning from experience, showing, inter alia, the consistency and asymptotic normality of the nonlinear least squares estimator used in empirical practice. Potential pitfalls for hypothesis testing are identified and solutions proposed. Monte Carlo simulations verify the properties of the estimator and corresponding test statistics in finite samples, while an application to a…