Functional-coefficient models under unit root behaviour

TED JUHL

首页> 外文期刊>The econometrics journal >Functional-coefficient models under unit root behaviour

【24h】

Functional-coefficient models under unit root behaviour

机译：单位根行为下的功能系数模型

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

We analyze the statistical properties of non-parametrically estimated functions in a functional-coefficient model if the data have a unit root. We show that the estimated function converges at a faster rate than under the stationary case. However, the estimator has a mixed normal distribution so that point-wise confidence intervals are calculated using the usual normal distribution theory rather than a Dickey-Fuller distribution. The results are used to show how one can discriminate between a unit root process and a non-linear functional-coefficient process. We illustrate the procedure using U.S. unemployment and interest rate data.

机译：如果数据具有单位根，我们将分析函数系数模型中非参数估计函数的统计属性。我们表明，估计函数的收敛速度比平稳情况下要快。但是，估算器具有混合的正态分布，因此使用常规的正态分布理论而不是Dickey-Fuller分布来计算逐点置信区间。结果用于说明如何区分单位根过程和非线性功能系数过程。我们使用美国的失业率和利率数据说明了这一程序。

著录项

来源
《The econometrics journal》 |2005年第2期|p.197-213|共17页
作者
TED JUHL;
展开▼
作者单位

Department of Economics, University of Kansas, 213 Summerfield, Lawrence, KS 66045;

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类 f;
关键词
unit root; nonparametric; mixed normal;

机译：单位根;非参数;混合正态;

相似文献

外文文献
中文文献
专利

1. Promoting Community Conversations About Research to End Suicide: learning and behavioural outcomes of a training-of-trainers model to facilitate grassroots community health education to address Indigenous youth suicide prevention [J] . Lisa Wexler, Lucas Trout, Suzanne Rataj, International Journal of Circumpolar Health . 2017,第1期

机译：促进有关自杀研究的社区对话：培训者模型的学习和行为成果，以促进基层社区健康教育解决土著青少年自杀的预防
2. An instrumental variable approach for tests of unit roots and seasonal unit roots in asymmetric time series models [J] . Dong Wan Shin, Oesook Lee Journal of Econometrics . 2003,第1期

机译：一种工具变量方法，用于测试非对称时间序列模型中的单位根和季节单位根
3. Nonlinear behaviour of the Chinese SSEC index with a unit root: Evidence from threshold unit root tests [J] . Qian XY, Song FT, Zhou WX Physica, A. Statistical mechanics and its applications . 2008,第2a3期

机译：具有单位根的中国SSEC指数的非线性行为：来自阈值单位根检验的证据
4. Chiral Potts model and the discrete Sine-Gordon model at roots of unity [C] . Vladimir V. Bazhanov International Conference "Exploration of New Structures and Natural Constructions in Mathematical Physics" . 2011

机译：手表Potts模型和统一根源的离散正弦模型
5. Local Spatial Quantile Estimation of Multivariate Functional-Coefficient Regression Models [D] . Zhou, Yetong. 2020

机译：多变量函数系数回归模型的局部空间定量估计
6. Promoting Community Conversations About Research to End Suicide: learning and behavioural outcomes of a training-of-trainers model to facilitate grassroots community health education to address Indigenous youth suicide prevention [O] . Lisa Wexler, Lucas Trout, Suzanne Rataj, 2017

机译：促进有关自杀研究的社区对话：培训者模型的学习和行为成果以促进基层社区健康教育以解决土著青年自杀预防问题
7. Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence [O] . Zongwu Cai, Ying Fang, Qiuhua Xu 2020

机译：使用具有横截面依赖性的功能系数面板数据模型测试资本资产定价模型

Functional-coefficient models under unit root behaviour

摘要

著录项

相似文献

相关主题

期刊订阅