时变向量 ma()过程的渐近线

IF 1 4区经济学 Q3 ECONOMICS

Econometric Theory Pub Date : 2024-01-09 DOI:10.1017/s0266466623000397

Yayi Yan, Jiti Gao, Bin Peng

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引用次数: 0

摘要

本文介绍了一类新的无穷阶时变向量移动平均过程。这些过程有两个用途：（1）它们可以用来模拟时变依赖结构；（2）它们可以用来建立多变量时间序列模型的渐近理论。为了说明这两点，我们首先建立了一些基本的渐近性质，并用它们来推断矢量移动平均无穷大过程的趋势项。然后，我们研究一类时变 VARX 模型。最后，我们利用大量模拟和真实数据研究证明了理论结果的经验相关性。

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ASYMPTOTICS FOR TIME-VARYING VECTOR MA() PROCESSES

This paper introduces a new class of time-varying vector moving average processes of infinite order. These processes serve dual purposes: (1) they can be used to model time-varying dependence structures, and (2) they can be used to establish asymptotic theories for multivariate time series models. To illustrate these two points, we first establish some fundamental asymptotic properties and use them to infer the trending term of a vector moving average infinity process. We then investigate a class of time-varying VARX models. Finally, we demonstrate the empirical relevance of the theoretical results using extensive simulated and real data studies.

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来源期刊

Econometric Theory MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Since its inception, Econometric Theory has aimed to endow econometrics with an innovative journal dedicated to advance theoretical research in econometrics. It provides a centralized professional outlet for original theoretical contributions in all of the major areas of econometrics, and all fields of research in econometric theory fall within the scope of ET. In addition, ET fosters the multidisciplinary features of econometrics that extend beyond economics. Particularly welcome are articles that promote original econometric research in relation to mathematical finance, stochastic processes, statistics, and probability theory, as well as computationally intensive areas of economics such as modern industrial organization and dynamic macroeconomics.