Econometrics and Statistics最新文献

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Fluctuation-type monitoring test for explosive behavior 波动式爆炸性能监测试验

IF 2.5 Q2 ECONOMICS

Econometrics and Statistics

Pub Date : 2026-01-01 Epub Date: 2023-06-29 DOI: 10.1016/j.ecosta.2023.06.007

Eiji Kurozumi

A fluctuation-type monitoring test for a bubble is proposed. The initial value is dealt with by either OLS or quasi-difference demeaning. The asymptotic property of the test under mildly explosive and local alternatives is investigated. It is shown that the fluctuation-type test has an advantage over the existing methods when the bubble appears mid- to late in the monitoring period or the bubble period is relatively long, whereas the CUSUM monitoring scheme performs better in view of power for an early bubble in the monitoring period. This theoretical property is supported in finite samples by Monte Carlo simulations. As none of the existing tests uniformly outperforms the others, the union of rejections strategy by combining the two or three monitoring tests is also proposed, which is shown to work well in finite samples.

提出了一种波动型气泡监测试验方法。初始值由OLS或准差分贬低处理。研究了该试验在轻度爆炸和局部替代条件下的渐近性质。结果表明，当气泡出现在监测周期的中后期或气泡周期较长时，波动型试验优于现有方法，而CUSUM监测方案在监测周期的早期气泡功率方面表现更好。这一理论性质在有限样本中得到了蒙特卡罗模拟的支持。由于现有的几种检测方法的性能都不一致，因此提出了将两种或三种监测方法结合起来的拒绝联合策略，该策略在有限样本情况下具有良好的效果。

引用次数: 0

Mean group instrumental variable estimation of time-varying large heterogeneous panels with endogenous regressors 内源性回归因子的时变大型异质性面板的平均组工具变量估计

IF 2.5 Q2 ECONOMICS

Econometrics and Statistics

Pub Date : 2026-01-01 Epub Date: 2023-06-22 DOI: 10.1016/j.ecosta.2023.06.004

Yu Bai , Massimiliano Marcellino , George Kapetanios

The large heterogeneous panel data models are extended to the setting where the heterogenous coefficients are changing over time and the regressors are endogenous. Kernel-based non-parametric time-varying parameter instrumental variable mean group (TVP-IV-MG) estimator is proposed for the time-varying cross-sectional mean coefficients. The uniform consistency is shown and the pointwise asymptotic normality of the proposed estimator is derived. A data-driven bandwidth selection procedure is also proposed. The finite sample performance of the proposed estimator is investigated through a Monte Carlo study and an empirical application on multi-country Phillips curve with time-varying parameters.

大型异质性面板数据模型被扩展到异质性系数随时间变化且回归量是内生的设置。针对时变截面均值系数，提出了基于核函数的非参数时变参数工具变量均值组估计方法。证明了该估计量的一致相合性，并导出了该估计量的点向渐近正态性。提出了一种数据驱动的带宽选择方法。通过蒙特卡罗研究和具有时变参数的多国菲利普斯曲线的经验应用，研究了所提估计器的有限样本性能。

引用次数: 0

Risk-return trade-off in international stock returns: Skewness and business cycles 国际股票收益的风险收益权衡：偏态与商业周期

IF 2.5 Q2 ECONOMICS

Econometrics and Statistics

Pub Date : 2026-01-01 Epub Date: 2023-03-04 DOI: 10.1016/j.ecosta.2023.02.004

Henri Nyberg , Christos S. Savva

The fundamental risk-return relation is examined with a flexible regime switching model combining the impact of skewness and business cycle regimes in stock returns. Key methodological and empirical findings point out the need for a highly nonlinear and non-Gaussian model to get a reliable picture on the risk-return relationship. With an international dataset of major countries to global financial markets, the empirical results show that accounting especially for skewness patterns leads to the expected positive risk-return relation, which is importantly also maintained over different business cycle conditions.

结合偏度和经济周期制度对股票收益的影响，采用灵活的制度转换模型考察了基本风险收益关系。关键的方法和实证研究结果指出，需要一个高度非线性和非高斯模型来获得可靠的风险回报关系。利用主要国家到全球金融市场的国际数据集，实证结果表明，特别考虑偏态模式导致预期的正风险-收益关系，并且在不同的经济周期条件下也重要地保持。

引用次数: 0

A nonparametric spatial regression model using partitioning estimators 基于分区估计的非参数空间回归模型

IF 2.5 Q2 ECONOMICS

Econometrics and Statistics

Pub Date : 2026-01-01 Epub Date: 2023-02-20 DOI: 10.1016/j.ecosta.2023.02.003

Jose Olmo , Marcos Sanso-Navarro

Conventional spatial regression models are extended by modelling the spatial effects of the exogenous regressor model (SLX) as a functional coefficient. This coefficient is estimated by partitioning the domain of the spatial variable into a set of disjoint intervals and approximating the function using local Taylor expansions. The asymptotic properties of the proposed partitioning estimator are derived, and pointwise and uniform tests for the presence of spatial effects are developed. An empirical application of this work is used to study environmental Engel curves and provides strong evidence of neighbouring effects in the relationship between households’ income and the amount of pollution embodied in the goods and services they consume.

通过将外生回归模型（SLX）的空间效应建模为功能系数，扩展了传统的空间回归模型。该系数是通过将空间变量的域划分为一组不相交的区间并使用局部泰勒展开式逼近函数来估计的。导出了所提出的分区估计量的渐近性质，并给出了空间效应存在的点向检验和一致检验。这项工作的经验应用被用于研究环境恩格尔曲线，并提供了强有力的证据，证明家庭收入与他们消费的商品和服务中体现的污染量之间的关系存在邻近效应。

引用次数: 0

A Unified Frequency Domain Cross-Validatory Approach to HAC Standard Error Estimation HAC标准误差估计的统一频域交叉验证方法

IF 2.5 Q2 ECONOMICS

Econometrics and Statistics

Pub Date : 2026-01-01 Epub Date: 2023-07-03 DOI: 10.1016/j.ecosta.2023.06.006

Zhihao Xu , Clifford M. Hurvich

A unified frequency domain cross-validation (FDCV) method is proposed to obtain a heteroskedasticity and autocorrelation consistent (HAC) standard error. This method enables model/tuning parameter selection across both parametric and nonparametric spectral estimators simultaneously. The candidate class for this approach consists of restricted maximum likelihood-based (REML) autoregressive spectral estimators and lag-weights estimators with the Parzen kernel. Additionally, an efficient technique for computing the REML estimators of autoregressive models is provided. Through simulations, the reliability of the FDCV method is demonstrated, comparing favorably with popular HAC estimators such as Andrews-Monahan and Newey-West.

提出了一种统一频域交叉验证（FDCV）方法来获得异方差和自相关一致性（HAC）标准误差。该方法可以同时跨参数和非参数谱估计器进行模型/调谐参数选择。该方法的候选类包括基于限制最大似然（REML）的自回归谱估计器和带有Parzen核的滞后权重估计器。此外，还提供了一种计算自回归模型的REML估计量的有效方法。通过仿真，证明了FDCV方法的可靠性，并与常用的HAC估计方法如Andrews-Monahan和Newey-West进行了比较。

引用次数: 0

Pooled Bewley Estimator of Long Run Relationships in Dynamic Heterogenous Panels 动态异质面板长期关系的混合Bewley估计

IF 2.5 Q2 ECONOMICS

Econometrics and Statistics

Pub Date : 2026-01-01 Epub Date: 2023-11-03 DOI: 10.1016/j.ecosta.2023.11.001

Alexander Chudik , M. Hashem Pesaran , Ron P. Smith

Using a transformation of the autoregressive distributed lag model due to Bewley, a novel pooled Bewley (PB) estimator of long-run coefficients for dynamic panels with heterogeneous short-run dynamics is proposed. The PB estimator is directly comparable to the widely used Pooled Mean Group (PMG) estimator, and is shown to be consistent and asymptotically normal. Monte Carlo simulations show good small sample performance of PB compared to the existing estimators in the literature, namely PMG, panel dynamic OLS (PDOLS), and panel fully-modified OLS (FMOLS). Application of two bias-correction methods and a bootstrapping of critical values to conduct inference robust to cross-sectional dependence of errors are also considered. The utility of the PB estimator is illustrated in an empirical application to the aggregate consumption function.

通过对自回归分布滞后模型的变换，提出了一种具有异质短期动态的动态面板长期系数池Bewley （PB）估计方法。PB估计量与广泛使用的PMG （Pooled Mean Group）估计量具有直接可比性，并被证明是一致的和渐近正态的。蒙特卡罗模拟表明，与文献中现有的估计器（即PMG、面板动态OLS （pols）和面板全修正OLS (FMOLS)）相比，PB具有良好的小样本性能。还考虑了两种偏差校正方法的应用和临界值的自举来对误差的横截面依赖性进行鲁棒推断。PB估计器的效用在总消费函数的经验应用中得到说明。

引用次数: 0

Robust Fixed-b Inference in the Presence of Time-Varying Volatility 时变波动存在下的鲁棒Fixed-b推理

IF 2.5 Q2 ECONOMICS

Econometrics and Statistics

Pub Date : 2026-01-01 Epub Date: 2023-06-01 DOI: 10.1016/j.ecosta.2023.05.003

Matei Demetrescu , Christoph Hanck , Robinson Kruse-Becher

Time-varying volatility arises in many macroeconomic and financial applications. While “fixed-

b

” arguments provide refinements in the use of estimators for the asymptotic variance of GMM estimators, the resulting fixed-

b

distributions of test statistics are not pivotal under time-varying volatility. Three approaches to robustify inference are investigated: (i) wild bootstrapping, (ii) time transformations and (iii) selection of test statistics and critical values according to the outcome of a pretest for heteroskedasticity. Simulations quantify the distortions from using the original fixed-

b

approach and compare the effectiveness of the proposed corrections. Overall, the wild bootstrap is to be recommended. An empirical application to the Fama & French five factor model illustrates the relevance of the procedures.

时变波动性出现在许多宏观经济和金融应用中。虽然“固定-b”参数为GMM估计量的渐近方差提供了使用估计量的改进，但在时变波动下，测试统计量的固定-b分布不是关键的。研究了三种鲁棒化推理的方法：(i)野生自举，（ii）时间变换和（iii）根据异方差预检验的结果选择检验统计量和临界值。模拟量化了使用原始固定b方法产生的失真，并比较了所提出的修正的有效性。总的来说，推荐使用野性引导。对Fama &； French五因素模型的实证应用说明了这些程序的相关性。

引用次数: 0

Instrumental variable quantile regression for clustered data 聚类数据的工具变量分位数回归

IF 2.5 Q2 ECONOMICS

Econometrics and Statistics

Pub Date : 2026-01-01 Epub Date: 2023-06-21 DOI: 10.1016/j.ecosta.2023.06.005

Galina Besstremyannaya , Sergei Golovan

The purpose is to enable inference in case of quantile regression with endogenous covariates and clustered data. It is proven that the instrumental variable quantile regression estimator is consistent where there is correlation of errors within clusters, and an asymptotic distribution for the estimator, which may be used for inference for a given quantile

τ,

is derived. As regards inference based on the entire instrumental variable quantile regression process, it is proven that cluster-based resampling of a statistic of a certain class offers a computationally tractable approach for implementing asymptotic tests. The theoretical results concerning the asymptotic properties of the instrumental variable quantile regression estimator for clustered data are supported by simulation analysis. An empirical illustration shows the use of the proposed technique in order to estimate the earning equations of US men and women where female labor supply is endogenous and subject to the shock of World War II.

目的是使推理与内生协变量和聚类数据的分位数回归的情况下。证明了工具变量分位数回归估计量在簇内存在误差相关的情况下是一致的，并且推导了估计量的渐近分布，该分布可用于给定分位数τ的推断。对于基于整个工具变量分位数回归过程的推理，证明了基于聚类的某类统计量重抽样为实现渐近检验提供了一种计算上易于处理的方法。仿真分析支持了聚类数据的工具变量分位数回归估计的渐近性的理论结果。一个实证说明显示了所提出的技术的使用，以估计美国男性和女性的收入方程，其中女性劳动力供给是内生的，并受到第二次世界大战的冲击。

引用次数: 0

A computationally efficient mixture innovation model for time-varying parameter regressions 一个计算效率高的时变参数回归混合创新模型

IF 2.5 Q2 ECONOMICS

Econometrics and Statistics

Pub Date : 2026-01-01 Epub Date: 2023-08-12 DOI: 10.1016/j.ecosta.2023.08.001

Zhongfang He

The mixture innovation (MI) model places a spike-and-slab mixture distribution for the innovations of time-varying regression coefficients and permits flexible time variation patterns while allowing for dynamic shrinkage. Despite its appeal, the standard Bayesian algorithm to block sample the vector of 0/1 mixture indicators at each time

t

needs to evaluate the model likelihood over all its

2^{K}

scenarios for a regression model with

K

regressors and becomes impractical when

K

grows. As an alternative, a new specification of the MI model is proposed in which the 0/1 mixture indicators in the original MI model are approximated by a logistic function of latent continuous variables. As such the model likelihood only needs to be evaluated twice in an Metropolis-Hastings step to block update the latent variables and hence the approximated mixture indicators at each time

t

, offering large improvement in computational efficiency while keeping the benefits of the MI model. An efficient MCMC algorithm is developed to estimate the new model. A simulation study shows that the new model can achieve the same level of estimation accuracy as the original MI model but at a much smaller computation cost. The new model is further tested in two empirical applications where block sampling the mixture indicators at each time

t

in the original MI model is practically infeasible.

混合创新（MI）模型为时变回归系数的创新提供了一个尖峰-板混合分布，并允许灵活的时间变化模式，同时允许动态收缩。尽管它很吸引人，但对于一个有K个回归量的回归模型，每次t时对0/1混合指标向量进行块采样的标准贝叶斯算法需要在所有2K个场景中评估模型的可能性，并且当K增长时变得不切实际。作为替代方案，提出了一种新的MI模型规范，其中原始MI模型中的0/1混合指标由潜在连续变量的逻辑函数近似。因此，模型似然只需要在Metropolis-Hastings步骤中评估两次，以阻止在每次时间t更新潜在变量和近似混合指标，从而在保持MI模型优点的同时大幅提高计算效率。提出了一种高效的MCMC算法对新模型进行估计。仿真研究表明，新模型可以达到与原MI模型相同的估计精度，但计算成本要小得多。新模型在两个经验应用中得到了进一步的检验，其中原始MI模型中每次t时间对混合指标进行块采样实际上是不可行的。

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引用次数: 0

Monitoring cointegration in systems of cointegrating relationships 协整关系系统中的协整监测

IF 2.5 Q2 ECONOMICS

Econometrics and Statistics

Pub Date : 2026-01-01 Epub Date: 2023-01-09 DOI: 10.1016/j.ecosta.2023.01.001

Etienne Theising, Dominik Wied

Monitoring statistics for structural changes in systems of cointegrating relationships are proposed. The approach is based on parameter estimation over a calibration period. In case of homogenous systems and cross-sectional independence the pooled fully modified OLS estimator takes into account the effects of error serial correlation and regressor endogeneity. Cross-sectional dependence is allowed by using the pooled fully modified GLS estimator for homogenous systems and the fully modified SUR estimator for inhomogenous systems. The detectors show decent behaviour under the null hypothesis with controlled rejection probabilities and power against two alternatives for different data generating processes. An empirical application investigates deviations from the arbitrage parity condition for exchange rate triplets including Bitcoin. The procedures detect breakpoints in May to August 2014 and in January to May 2015 indicating an instability in arbitrage parities. Following this, a promising portfolio trading strategy based on the breakdates is constructed.

提出了协整关系系统结构变化的监测统计。该方法基于校准周期内的参数估计。在同质系统和截面独立性的情况下，池式全修正OLS估计量考虑了误差序列相关和回归量内生性的影响。对于齐次系统使用池化的完全修正的GLS估计量，对于非齐次系统使用完全修正的SUR估计量，从而允许横截面依赖。检测器在零假设下表现出良好的行为，对不同数据生成过程的两个备选方案具有控制的拒绝概率和功率。一个实证应用研究了包括比特币在内的汇率三元组的套利平价条件的偏差。该程序检测2014年5月至8月和2015年1月至5月的断点，这些断点表明套利方存在不稳定性。在此基础上，构建了一个基于断点的有前途的投资组合交易策略。

引用次数: 0

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