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Some simple methods for the estimation of mixed multivariate autoregressive moving average time series models are introduced. The methods require the fitting of a long autoregression to the data and the computation of consistent initial estimates for the parameters of the model. After these preliminaries the estimators of the paper are obtained by applying weighted least squares to a multivariate auxiliary regression model. Two types of weight matrices are considered. Both of them yield estimators which are strongly consistent and asymptotically normally distributed. The first estimators are also asymptotically efficient while the second ones are not fully efficient but computationally simple. A simulation study is performed to illustrate the behaviour of the estimators in finite samples. 相似文献
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In this paper a specification strategy is proposed for the determination of the orders in ARMA models. The strategy is based on two newly defined concepts: the q-conditioned partial auto-regressive function and the p-conditioned partial moving average function. These concepts are similar to the generalized partial autocorrelation function which has been recently suggested for order determination. The main difference is that they are defined and employed in connection with an asymptotically efficient estimation method instead of the rather inefficient generalized Yule-Walker method. The specification is performed by using sequential Wald type tests. In contrast to the traditional testing of hypotheses, these tests use critical values which increase with the sample size at an appropriate rate 相似文献
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Abstract This study applied Karaseks demand-control model, using sense of coherence (SOC), social support and job control as moderators of effects of job demands on ensuing sickness absence spells in a 3-year follow-up of 856 municipal employees. Among men the results supported the active learning hypothesis. Passive jobs predicted a high number of sickness absence spells and active jobs predicted a low number of spells. for short spells (1-3 days), the demand-control interaction, however, depended on SOC. In active jobs SOC was negatively associated with sickness absence spells; in passive jobs no such association was found. For long spells (3 days), the demand-control interaction depended on occupational level; active jobs were predictive of low absence spells among blue collar men. Among women, the results supported the strain hypothesis. The demand-control interaction, however, depended on household size. In small households, high-strain jobs predicted a high number of spells, while no increase in spells was found in active versus low-strain jobs. In larger households, the number of spells correlated positively with increasing demands even when control was good. The demand-control interaction, however, depended on SOC and spouse support. With strong SOC or spouse support, absence spells in active jobs remained on a relatively low level, otherwise active jobs led to a high number of spells. This suggests that SOC and spouse support may act as protective factors against female role conflicts associated with active jobs 相似文献
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Type A behaviour and back pain 相似文献
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Durbin's (1959) efficient method for the estimation of univariate moving average models is generalized to the vector case. Strong consistency and asymptotic normality of the estimator is proved. A simulation experiment is performed to illustrate the behaviour of the method in finite samples. 相似文献
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Tests for the cointegrating rank of a vector autoregressive process are considered that allow for possible exogenous shifts in the mean of the data-generation process. The break points are assumed to be known a priori. It is proposed to estimate and remove the deterministic terms such as mean, linear-trend term, and a shift in a first step. Then systems cointegration tests are applied to the adjusted series. The resulting tests are shown to have known limiting null distributions that are free of nuisance parameters and do not depend on the break point. The tests are applied for analyzing the number of cointegrating relations in two German money-demand systems. 相似文献
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Pentti Saikkonen 《Econometric Reviews》2013,32(3):235-257
This paper develops test procedures for testing the validity of general linear identifying restrictions imposed on cointegrating vectors in the context of a vector autoregressive model. In addition to overidentifying restrictions the considered restrictions may also involve normalizing restrictions. Tests for both types of restrictions are developed and their asymptotic properties are obtained. Under the null hypothesis tests for normalizing restrictions have an asymptotic "multivariate unit root distribution", similar to that obtained for the likelihood ratio test for cointegration, while tests for overidentifying restrictions have a standard chi-square limiting distribution. Since these two types of tests are asymptotically independent they are easy to cotnbine to an overall test for the spccifed identifying restrictions. An overall test of this kind can consistently reveal the failure of the identifying restrictions in a wider class of cases than previous tests which only test for overidentifying restrictions. 相似文献
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Helmut Lütkepohl Pentti Saikkonen Carsten Trenkler 《Econometrica : journal of the Econometric Society》2004,72(2):647-662
A systems cointegration rank test is proposed that is applicable for vector autoregressive (VAR) processes with a structural shift at unknown time. The structural shift is modeled as a simple shift in the level of the process. It is proposed to estimate the break date first on the basis of a full unrestricted VAR model. Two alternative estimators are considered and their asymptotic properties are derived. In the next step the deterministic part of the process including the shift size is estimated and the series are adjusted by subtracting the estimated deterministic part. A Johansen type test for the cointegrating rank is applied to the adjusted series. The test statistic is shown to have a well‐known asymptotic null distribution that does not depend on the break date. The performance of the procedure in small samples is investigated by simulations. 相似文献
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In this article a macro-oriented conceptual framework of the conditions necessary for the advancement of sustainability within an economy and society is formulated and analysed. The theoretical framework presented is a set of logical identities, which define relationships between the total environmental stress (TES) and the basic indicators of economic, technological and social development. The framework, called the Total Environmental Stress Approach, provides necessary but not sufficient conditions for advancing sustainability. Scenario alternatives utilizing the TES approach with data from Finland are presented to evaluate the theoretical framework. 相似文献