{"title":"协整回归中线性趋势的自归一化推断","authors":"Cheol‐Keun Cho","doi":"10.1111/jtsa.12771","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":49973,"journal":{"name":"Journal of Time Series Analysis","volume":"10 1","pages":""},"PeriodicalIF":1.2000,"publicationDate":"2024-08-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Self‐normalization inference for linear trends in cointegrating regressions\",\"authors\":\"Cheol‐Keun Cho\",\"doi\":\"10.1111/jtsa.12771\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":49973,\"journal\":{\"name\":\"Journal of Time Series Analysis\",\"volume\":\"10 1\",\"pages\":\"\"},\"PeriodicalIF\":1.2000,\"publicationDate\":\"2024-08-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Time Series Analysis\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1111/jtsa.12771\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Time Series Analysis","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1111/jtsa.12771","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS","Score":null,"Total":0}
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。
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.
期刊介绍:
During the last 30 years Time Series Analysis has become one of the most important and widely used branches of Mathematical Statistics. Its fields of application range from neurophysiology to astrophysics and it covers such well-known areas as economic forecasting, study of biological data, control systems, signal processing and communications and vibrations engineering.
The Journal of Time Series Analysis started in 1980, has since become the leading journal in its field, publishing papers on both fundamental theory and applications, as well as review papers dealing with recent advances in major areas of the subject and short communications on theoretical developments. The editorial board consists of many of the world''s leading experts in Time Series Analysis.