协整回归中线性趋势的自归一化推断

IF 16.4 1区 化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research Pub Date : 2024-08-29 DOI:10.1111/jtsa.12771
Cheol‐Keun Cho
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引用次数: 0

摘要

本文针对随机回归因素具有确定线性趋势的情况,讨论了协整回归中趋势系数的统计检验。在综合修正普通最小二乘法(IMOLS)估计框架中,采用了自归一化(SN)方法来开发推论方法。在构建 SN 检验统计量时使用了两种不同的自归一化器:递归 IMOLS 估计数的函数和 IMOLS 残差的函数。这两个自归一化器产生了两个 SN 检验,分别用 和 表示。这两个检验都不需要使用异方差和自相关一致(HAC)估计器进行学生化。实施该检验必须选择一个微调参数,而该检验不需要任何微调参数。在模拟中,该检验在本文所研究的推断方法中表现出最小的规模失真。然而,这可能会带来一些功率损失,尤其是在小样本中。
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Self‐normalization inference for linear trends in cointegrating regressions
In this article, statistical tests concerning the trend coefficient in cointegrating regressions are addressed for the case when the stochastic regressors have deterministic linear trends. The self‐normalization (SN) approach is adopted for developing inferential methods in the integrated and modified ordinary least squares (IMOLS) estimation framework. Two different self‐normalizers are used to construct the SN test statistics: a functional of the recursive IMOLS estimators and a functional of the IMOLS residuals. These two self‐normalizers produce two SN tests, denoted by and respectively. Neither test requires studentization with a heteroskedasticity and autocorrelation consistent (HAC) estimator. A trimming parameter must be chosen to implement the test, whereas the test does not require any tuning parameter. In the simulation, the test exhibits the smallest size distortion among the inferential methods examined in this article. However, this may come with some loss of power, particularly in small samples.
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来源期刊
Accounts of Chemical Research
Accounts of Chemical Research 化学-化学综合
CiteScore
31.40
自引率
1.10%
发文量
312
审稿时长
2 months
期刊介绍: Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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