平稳、积分或近积分变量线性回归的统一估计与推理

IF 1.8 3区 经济学 Q2 BUSINESS, FINANCE Journal of Financial Econometrics Pub Date : 2023-10-31 DOI:10.1093/jjfinec/nbad030
Shaoxin Hong, Daniel J Henderson, Jiancheng Jiang, Qingshan Ni
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引用次数: 1

摘要

平稳变量和积分变量的最小二乘估计的极限分布存在差异。对于统计推断,必须事先决定应该使用哪个分布。这促使我们开发一种基于加权估计的统一推理程序。给出了所提估计量的渐近分布,并提出了随机加权自举法构造置信区域。在仿真中,该方法优于已有的时间常数或时变误差方差方法。我们进一步研究了在一些状态变量是内生的情况下资产收益的可预测性。
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Unifying Estimation and Inference for Linear Regression with Stationary and Integrated or Near-Integrated Variables
Abstract There is a discrepancy in the limiting distributions of least-squares estimators for stationary and integrated variables. For statistical inference, it must be decided which distribution should be used in advance. This motivates us to develop a unifying inference procedure based on weighted estimation. The asymptotic distributions of the proposed estimators are developed and a random weighting bootstrap method is proposed for constructing confidence regions. The proposed method outperforms existing methods (with time constant or time-varying error variance) in simulations. We further study the predictability of asset returns in a setting where some of our state variables are endogenous.
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来源期刊
CiteScore
5.60
自引率
8.00%
发文量
39
期刊介绍: "The Journal of Financial Econometrics is well situated to become the premier journal in its field. It has started with an excellent first year and I expect many more."
期刊最新文献
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