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1.
The finite-sample size properties of momentum-threshold autoregressive (MTAR) asymmetric unit root tests are examined in the presence of level shifts under the null hypothesis. The original MTAR test using a fixed threshold is found to exhibit severe size distortion when a break in level occurs early in the sample period, leading to an increased probability of an incorrect inference of asymmetric stationarity. For later breaks the test is also shown to suffer from undersizing. In contrast, the use of consistent-threshold estimation results in a test which is relatively robust to level shifts.  相似文献   

2.
A Markov chain Monte Carlo (MCMC) approach, called a reversible jump MCMC, is employed in model selection and parameter estimation for possibly non-stationary and non-linear time series data. The non-linear structure is modelled by the asymmetric momentum threshold autoregressive process (MTAR) of Enders & Granger (1998) or by the asymmetric self-exciting threshold autoregressive process (SETAR) of Tong (1990). The non-stationary and non-linear feature is represented by the MTAR (or SETAR) model in which one ( 𝜌 1 ) of the AR coefficients is greater than one, and the other ( 𝜌 2 ) is smaller than one. The other non-stationary and linear, stationary and nonlinear, and stationary and linear features, represented respectively by ( 𝜌 1 = 𝜌 2 = 1 ), ( 𝜌 1 p 𝜌 2 < 1 ) and ( 𝜌 1 = 𝜌 2 < 1 ), are also considered as possible models. The reversible jump MCMC provides estimates of posterior probabilities for these four different models as well as estimates of the AR coefficients 𝜌 1 and 𝜌 2 . The proposed method is illustrated by analysing six series of US interest rates in terms of model selection, parameter estimation, and forecasting.  相似文献   

3.
Vine copula provides a flexible tool to capture asymmetry in modeling multivariate distributions. Nevertheless, its flexibility is achieved at the expense of exponentially increasing complexity of the model. To alleviate this issue, the simplifying assumption (SA) is commonly adapted in specific applications of vine copula models. In this paper, generalized linear models (GLMs) are proposed for the parameters in conditional bivariate copulas to relax the SA. In the spirit of the principle of parsimony, a regularization methodology is developed to control the number of parameters, leading to sparse vine copula models. The conventional vine copula with the SA, the proposed GLM-based vine copula, and the sparse vine copula are applied to several financial datasets, and the results show that our proposed models outperform the one with SA significantly in terms of the Bayesian information criterion.  相似文献   

4.
High-frequency foreign exchange rate (HFFX) series are analyzed on an operational time scale using models of the ARCH class. Comparison of the estimated conditional variances focuses on the asymmetry and persistence issue. Estimation results for parametric models confirm standard results for HFFX series, namely high persistence and no significance of the asymmetry coefficient in an EGARCH model. To find out whether these results are robust against alternative specifications, nonparametric models are estimated. Local linear estimation techniques are applied to a nonparametric ARCH model of order one (CHARN). The results show significant asymmetry of the volatility function. To allow for both flexibility and persistence, a higher-order multiplicative model is fitted. The results show important asymmetries in volatility. In contrast to the EGARCH specification, the news impact curves have different shapes for different lags and tend to increase slower at the boundaries.  相似文献   

5.
It is well known that there exist multiple roots of the likelihood equations for finite normal mixture models. Selecting a consistent root for finite normal mixture models has long been a challenging problem. Simply using the root with the largest likelihood will not work because of the spurious roots. In addition, the likelihood of normal mixture models with unequal variance is unbounded and thus its maximum likelihood estimate (MLE) is not well defined. In this paper, we propose a simple root selection method for univariate normal mixture models by incorporating the idea of goodness of fit test. Our new method inherits both the consistency properties of distance estimators and the efficiency of the MLE. The new method is simple to use and its computation can be easily done using existing R packages for mixture models. In addition, the proposed root selection method is very general and can be also applied to other univariate mixture models. We demonstrate the effectiveness of the proposed method and compare it with some other existing methods through simulation studies and a real data application.  相似文献   

6.
A family of threshold nonlinear generalised autoregressive conditionally heteroscedastic models is considered, that allows smooth transitions between regimes, capturing size asymmetry via an exponential smooth transition function. A Bayesian approach is taken and an efficient adaptive sampling scheme is employed for inference, including a novel extension to a recently proposed prior for the smoothing parameter that solves a likelihood identification problem. A simulation study illustrates that the sampling scheme performs well, with the chosen prior kept close to uninformative, while successfully ensuring identification of model parameters and accurate inference for the smoothing parameter. An empirical study confirms the potential suitability of the model, highlighting the presence of both mean and volatility (size) asymmetry; while the model is favoured over modern, popular model competitors, including those with sign asymmetry, via the deviance information criterion.  相似文献   

7.
Bootstrap forecast intervals are developed for volatilities having asymmetric features, which are accounted for by fitting EGARCH models. A Monte-Carlo simulation compares the proposed forecast intervals with those based on GARCH fittings which ignore asymmetry. The comparison reveals substantial advantage of addressing asymmetry through EGARCH fitting over ignoring it as the conventional GARCH forecast. The EGARCH forecast intervals have empirical coverage probabilities closer to the nominal level and/or have shorter average lengths than the GARCH forecast intervals. The finding is also supported by real dataset analysis of Dow–Jones index and financial times stock exchange (FTSE) 100 index.  相似文献   

8.
In order to robustify posterior inference, besides the use of large classes of priors, it is necessary to consider uncertainty about the sampling model. In this article we suggest that a convenient and simple way to incorporate model robustness is to consider a discrete set of competing sampling models, and combine it with a suitable large class of priors. This set reflects foreseeable departures of the base model, like thinner or heavier tails or asymmetry. We combine the models with different classes of priors that have been proposed in the vast literature on Bayesian robustness with respect to the prior. Also we explore links with the related literature of stable estimation and precise measurement theory, now with more than one model entertained. To these ends it will be necessary to introduce a procedure for model comparison that does not depend on an arbitrary constant or scale. We utilize a recent development on automatic Bayes factors with self-adjusted scale, the ‘intrinsic Bayes factor’ (Berger and Pericchi, Technical Report, 1993).  相似文献   

9.
This article conducts a Bayesian analysis for bivariate degradation models based on the inverse Gaussian (IG) process. Assume that a product has two quality characteristics (QCs) and each of the QCs is governed by an IG process. The dependence of the QCs is described by a copula function. A bivariate simple IG process model and three bivariate IG process models with random effects are investigated by using Bayesian method. In addition, a simulation example is given to illustrate the effectiveness of the proposed methods. Finally, an example about heavy machine tools is presented to validate the proposed models.  相似文献   

10.
In this paper we propose a series of goodness-of-fit tests for the family of skew-normal models when all parameters are unknown. As the null distributions of the considered test statistics depend only on asymmetry parameter, we used a default and proper prior on skewness parameter leading to the prior predictive p-value advocated by G. Box. Goodness-of-fit tests, here proposed, depend only on sample size and exhibit full agreement between nominal and actual size. They also have good power against local alternative models which also account for asymmetry in the data.  相似文献   

11.
This research examines the time series relationship between the Comal Springs flow rate and the water level in the Edwards Aquifer (Well J-17). The empirical methodology utilizes threshold autoregression (TAR) and momentum-TAR models that allow for asymmetry in responses and adjustments to a disequilibrium in the long-run cointegrating relationship. Based on the results, an asymmetric error-correction model (AECM) is proposed to characterize the short-run and long-run dynamic relationship between spring flow and water level. The results have implications for the management of water resources, water demand, and ecosystems.  相似文献   

12.
In this article, we consider the estimation of semiparametric panel data smooth coefficient models. We propose a class of local generalized method of moments (LGMM) estimators that are simple and easy to implement in practice. We show that the proposed LGMM estimators are consistent and asymptotically normal. Monte Carlo simulations suggest that our proposed estimator performs quite well in finite samples. An empirical application using a large panel of U.K. firms is also presented.  相似文献   

13.
信息不确定、信息不对称与债券信用利差   总被引:1,自引:0,他引:1  
  宏等 《统计研究》2014,31(5):66-72
在将债券市场中的信息不对称区分为一级市场上发债企业与投资者之间的信息不确定与二级市场上投资者之间的信息不对称基础上,本文以中国企业债券为样本,实证检验信息不确定、信息不对称与债券信用利差的关系。检验结果表明,在控制债券以及企业层面相关控制变量情况下,投资者在信息不确定与信息不对称两种情况下能获得显著的风险溢价。在控制了信用等级与事件日时长的情况下,该结果是稳健的。最后,信息不确定与信息不对称能够帮助信用风险结构模型解释债券信用利差。本文的研究结论表明,为了更好保护投资者,监管部门在加强企业债券信息披露监管的同时,也应该强化对投资者信息披露的监管。  相似文献   

14.
Estimation in logistic-normal models for correlated and overdispersed binomial data is complicated by the numerical evaluation of often intractable likelihood functions. Penalized quasilikelihood (PQL) estimators of fixed effects and variance components are known to be seriously biased for binary data. A simple correction procedure has been proposed to improve the performance of the PQL estimators. The proposed method is illustrated by analyzing infectious disease data. Its performance is compared, by means of simulations, with that of the Bayes approach using the Gibbs sampler.  相似文献   

15.
Arjun K. Gupta  J. Tang 《Statistics》2013,47(4):301-309
It is well known that many data, such as the financial or demographic data, exhibit asymmetric distributions. In recent years, researchers have concentrated their efforts to model this asymmetry. Skew normal model is one of such models that are skew and yet possess many properties of the normal model. In this paper, a new multivariate skew model is proposed, along with its statistical properties. It includes the multivariate normal distribution and multivariate skew normal distribution as special cases. The quadratic form of this random vector follows a χ2 distribution. The roles of the parameters in the model are investigated using contour plots of bivariate densities.  相似文献   

16.
For the analysis of square contingency tables with nominal categories, Tomizawa and coworkers have considered measures that represent the degree of departure from symmetry. This paper proposes a measure that represents the degree of asymmetry for square contingency tables with ordered categories (instead of those with nominal categories). The measure proposed is expressed using the Cressie–Read power-divergence or Patil–Taillie diversity index, defined for the cumulative probabilities that an observation falls in row (column) category i or below and column (row) category j (> i ) or above. The measure depends on the order of listing the categories. It should be useful for comparing the degree of asymmetry in several tables with ordered categories. The relationship between the measure and the normal distribution is shown.  相似文献   

17.
Likelihood-based, mixed-effects models for repeated measures (MMRMs) are occasionally used in primary analyses for group comparisons of incomplete continuous longitudinal data. Although MMRM analysis is generally valid under missing-at-random assumptions, it is invalid under not-missing-at-random (NMAR) assumptions. We consider the possibility of bias of estimated treatment effect using standard MMRM analysis in a motivational case, and propose simple and easily implementable pattern mixture models within the framework of mixed-effects modeling, to handle the NMAR data with differential missingness between treatment groups. The proposed models are a new form of pattern mixture model that employ a categorical time variable when modeling the outcome and a continuous time variable when modeling the missingness-data patterns. The models can directly provide an overall estimate of the treatment effect of interest using the average of the distribution of the missingness indicator and a categorical time variable in the same manner as MMRM analysis. Our simulation results indicate that the bias of the treatment effect for MMRM analysis was considerably larger than that for the pattern mixture model analysis under NMAR assumptions. In the case study, it would be dangerous to interpret only the results of the MMRM analysis, and the proposed pattern mixture model would be useful as a sensitivity analysis for treatment effect evaluation.  相似文献   

18.
In an earlier paper we suggested a method for the identification and estimation of linear transfer function models. The method was claimed to be especially suitable for polynomial transfer function models. In this paper we shall consider the case of rational transfer function models (distributed lag models) in more detail. A simple method for the estimation of the parameters of multiple input rational distributed lag models is suggested. The method is based on simple linear identities that the parameters always fulfill. The asymptotic distribution of the proposed estimator is derived. Two illustrative examples of the use of the new method are given.  相似文献   

19.
Persistence of shocks to economic time series may differ depending on the sign of the shock or on a threshold value. Threshold moving average (TMA) models, by explicitly taking into account threshold behavior, can help discriminate whether there exists persistence asymmetry. This article considers TMA models in which both contemporaneous and lagged asymmetric effects are both present and examines the properties of simulation-based efficient method of moments estimation using Monte Carlo simulation experiments. The model is applied to analyze the persistence properties of shocks to growth rates of gross domestic product and industrial production index in Turkish economy.  相似文献   

20.
ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS   总被引:2,自引:0,他引:2  
This paper proposes a test for threshold nonlinearity in a time series with generalized autore‐gressive conditional heteroscedasticity (GARCH) volatility dynamics. This test is used to examine whether financial returns on market indices exhibit asymmetric mean and volatility around a threshold value, using a double‐threshold GARCH model. The test adopts the reversible‐jump Markov chain Monte Carlo idea of Green, proposed in 1995, to calculate the posterior probabilities for a conventional GARCH model and a double‐threshold GARCH model. Posterior evidence favouring the threshold GARCH model indicates threshold nonlinearity with asymmetric behaviour of the mean and volatility. Simulation experiments demonstrate that the test works very well in distinguishing between the conventional GARCH and the double‐threshold GARCH models. In an application to eight international financial market indices, including the G‐7 countries, clear evidence supporting the hypothesis of threshold nonlinearity is discovered, simultaneously indicating an uneven mean‐reverting pattern and volatility asymmetry around a threshold return value.  相似文献   

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