集成或固定噪声部件的多电平偏移测试

IF 2.3 3区 经济学 Q2 ECONOMICS
Josep Lluís Carrion-i-Silvestre, María Dolores Gadea
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引用次数: 0

摘要

本文分析了与时间序列的积分顺序无关的多电平漂移的检测和估计问题。我们表明,可以将Bai-Perron方法(1998)扩展到I(1)和NI(1)非平稳情况,以便设计一个统一的框架,以鲁棒的方式测试多水平移位的存在。提出的统计的有限样本性能进行,建立与文献中其他现有方法的比较。本文说明了使用时间序列对实际汇率进行统计的实现,这些时间序列要么覆盖很长一段时间,要么提供全球分析。多水平转移的稳健检测对于定义用于检验购买力平价假设的统计方法非常重要。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Testing for multiple level shifts with an integrated or stationary noise component

The paper analyzes the detection and estimation of multiple level shifts regardless of the order of integration of the time series. We show that it is possible to extend the Bai-Perron methodology (1998) to the I(1) and NI(1) nonstationary cases so that a unified framework to test for the presence of multiple level shifts in a robust way is designed. The finite sample performance of the proposed statistics is carried out, establishing a comparison with other existing approaches in the literature. The paper illustrates the implementation of the statistics focusing on the real exchange rate with time series that either cover a long time period or provide a worldwide analysis. Robust detection of multiple level shifts is of great importance to define the statistical approach that is used to test the purchasing power parity hypothesis.

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来源期刊
CiteScore
3.70
自引率
4.80%
发文量
63
期刊介绍: The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.
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