bluuebunny/crossref_metadata_2025 huggingface dataset:
Locally Optimal Tests against Periodic Autoregression: Parametric and Nonparametric Approaches
Authors: Bentarzi Mohamed , Hallin Marc
Published: March 2009

Locally asymptotically optimal tests are derived for the null hypothesis of traditional AR dependence, with unspecified AR coefficients and unspecified innovation densities, against an alternative of periodically correlated AR dependence. Parametric and nonparametric rank-based versions are proposed. Local powers and asymptotic relative efficiencies (with respect, e.g., to the corresponding Gaussian Lagrange multiplier tests proposed in Ghysels and Hall [1992, “Lagrange Multiplier Tests for Periodic Structures,” unpublished manuscript, CRDE, Montreal] and Liitkepohl [1991, Introduction to Multiple Time Series Analysis, Berlin: Springer-Verlag; 1991, pp. 243–264, in W.E. Griffiths, H. Liitkepohl, & M.E. Block (eds.), Readings in Econometric Theory and Practice, Amsterdam: North-Holland] are computed explicitly; a rank-based test of the van der Waerden type is proposed, for which this ARE is uniformly larger than 1. The main technical tool is Le Cam's local asymptotic normality property.
Asymptotic Theory of LAD Estimation in a Unit Root Process with Finite Variance Errors
Authors: Herce Miguel A.
Published: March 2009

In this paper we derive the asymptotic distribution of the least absolute deviations (LAD) estimator of the autoregressive parameter under the unit root hypothesis, when the errors are assumed to have finite variances, and present LAD-based unit root tests, which, under heavy-tailed errors, are expected to be more powerful than tests based on least squares. The limiting distribution of the LAD estimator is that of a functional of a bivariate Brownian motion, similar to those encountered in cointegrating regressions. By appropriately correcting for serial correlation and other distributional parameters, the test statistics introduced here are found to have either conditional or unconditional normal limiting distributions. The results of the paper complement similar ones obtained by Knight (1991, Canadian Journal of Statistics 17, 261-278) for infinite variance errors. A simulation study is conducted to investigate the finite sample properties of our tests.
Laws of Large Numbers for Hilbert Space-Valued Mixingales with Applications
Authors: Chen Xiaohong , White Halbert
Published: March 2009

To obtain consistency results for nonparametric estimators based on stochastic processes relevant in econometrics, we introduce the notions of Hilbert space-valuedLpmixingales and near-epoch dependent arrays, and we prove weak and strong laws of large numbers by using a new exponential inequality for Hilbert (H) space-valued martingale difference arrays. We follow Andrews (1988,Econometric Theory4, 458–467), Hansen (1991,Econometric Theory7, 213–221; 1992,Econometric Theory8, 421–422), Davidson (1993,Statistics and Probability Letters16,301–304), and de Jong (1995,Econometric Theory11, 347–358), extending results forH= R and improving memory conditions in certain instances. We give as examples consistency results for series and kernel estimators.
Markov Chain Monte Carlo Simulation Methods in Econometrics
Authors: Chib Siddhartha , Greenberg Edward
Published: March 2009

We present several Markov chain Monte Carlo simulation methods that have been widely used in recent years in econometrics and statistics. Among these is the Gibbs sampler, which has been of particular interest to econometricians. Although the paper summarizes some of the relevant theoretical literature, its emphasis is on the presentation and explanation of applications to important models that are studied in econometrics. We include a discussion of some implementation issues, the use of the methods in connection with the EM algorithm, and how the methods can be helpful in model specification questions. Many of the applications of these methods are of particular interest to Bayesians, but we also point out ways in which frequentist statisticians may find the techniques useful.
Exact Moments for Autor1egressive and Random walk Models for a Zero or Stationary Initial Value
Authors: Vinod H.D. , Shenton L.R.
Published: March 2009

For a first-order autoregressive AR(1) model with zero initial value, xi= axi−1,_, + ei, we provide the bias, mean squared error, skewness, and kurtosis of the maximum likelihood estimator â. Brownian motion approximations by Phillips (1977, Econometrica 45, 463–485; 1978, Biometrika 65, 91–98; 1987, Econometrica 55, 277–301), Phillips and Perron (1988, Biometrika 75, 335–346), and Perron (1991, Econometric Theory 7, 236–252; 1991, Econometrica 59, 211–236), among others, yield an elegant unified theory but do not yield convenient formulas for calibration of skewness and kurtosis. In addition to the usual stationary case |α| < 1, we include the unstable |α| = 1 case of the random walk model. For the |α| < 1 case, we give new exact results for White's (1961, Biometrika 48, 85–94) model B, where the initial value x0 is a normal random variable N(0,σ2/(l – α2)). Our expressions are exact for small samples computed by relatively reliable Gaussian quadrature methods, rather than approximate ones in powers of n−lor α2.
Identification, Estimation, and Testing in Parametric Empirical Models of Auctions within the Independent Private Values Paradigm
Authors: Donald Stephen G. , Paarsch Harry J.
Published: March 2009

Recent advances in the application of game theory to the study of auctions have spawned a growing empirical literature involving both experimental and field data. In this paper, we focus on four different mechanisms (the Dutch, English, first-price sealed-bid, and Vickrey auctions) within one of the most commonly used theoretical models (the independent private values paradigm) to investigate issues of identification, estimation, and testing in parametric structural econometric models of auctions.
Which Moments to Match?
Authors: Gallant A. Ronald , Tauchen George
Published: March 2009

We describe an intuitive, simple, and systematic approach to generating moment conditions for generalized method of moments (GMM) estimation of the parameters of a structural model. The idea is to use the score of a density that has an analytic expression to define the GMM criterion. The auxiliary model that generates the score should closely approximate the distribution' of the observed data but is not required to nest it. If the auxiliary model nests the structural model then the estimator is as efficient as maximum likelihood. The estimator is advantageous when expectations under a structural model can be computed by simulation, by quadrature, or by analytic expressions but the likelihood cannot be computed easily.
Near Observational Equivalence and Theoretical size Problems with Unit Root Tests
Authors: Faust Jon
Published: March 2009

Said and Dickey (1984,Biometrika71, 599–608) and Phillips and Perron (1988,Biometrika75, 335–346) have derived unit root tests that have asymptotic distributions free of nuisance parameters under very general maintained models. Under models as general as those assumed by these authors, the size of the unit root test procedures will converge to one, not the size under the asymptotic distribution. Solving this problem requires restricting attention to a model that is small, in a topological sense, relative to the original. Sufficient conditions for solving the asymptotic size problem yield some suggestions for improving finite-sample size performance of standard tests.
Sobolev Estimation of Approximate Regressions
Authors: Florens Jean-Pierre , Ivaldi Marc , Larribeau Sophie
Published: March 2009

This paper focuses on the estimation of an approximated function and its derivatives. Let us assume that the data-generating process can be described by a family of regression models , where a is a multi-index of differentiation such that Dαϕ(xi) is the αth derivative of ϕ(xi) with respect to xi. The estimated model is characterized by a family Dαf(Xi|θ), where Dαf(Xi|θ) is the αth derivative of f(xi,|θ) and θ is an unknown parameter. The model is in general misspecified; that is, there is no θ such that Dαf(Xi|6) is equal to Dαϕ(Xi). Three different problems are discussed. First, the asymptotic behavior of the seemingly unrelated regression estimator of θ is shown to achieve the best approximation, in the Sobolev norm sense, of ϕ by an element of (f(Xi|θ)|θ ε Θ). Second, in the case of polynomial approximations, the expected derivatives of the limit of the estimated regression and of the true regression are proved to be equal if and only if the set of explanatory variables has a normal distribution. Third, different sets of α are introduced, and the different limits of estimated regressions characterized by these sets are proved to be equal if and only if the explanatory variables have a normal distribution. This result leads to a specification test.
Conditional Quantile Estimation and Inference for Arch Models
Authors: Koenker Roger , Zhao Quanshui
Published: March 2009

Quantile regression methods are suggested for a class of ARCH models. Because conditional quantiles are readily interpretable in semiparametric ARCH models and are inherendy easier to estimate robustly than population moments, they offer some advantages over more familiar methods based on Gaussian likelihoods. Related inference methods, including the construction of prediction intervals, are also briefly discussed.
The Encompassing Principle and Hypothesis Testing
Authors: Lu Maozu , Mizon Grayham E.
Published: March 2009

The exponentially tilted family of densities is used to discuss the relationship between the encompassing principle and theM-test or conditional moment testing principle. It is shown that the two principles are capable of generating the same test statistics and in this sense equivalent. However, there are differences in motivation and emphasis underlying the principles that are important in econometric modeling. In addition, parsimonious encompassing interpretations for test statistics, including those of Cox (1961, inProceedings of the Fourth Berkeley Symposium on Mathematical Statistics and Probability I, pp. 105-123; 1962,Journal of the Royal Statistical Society, Series B24, 406-424) and Atkinson (1970,Journal of the Royal Statistical Society, Series B32, 323-344) are provided.
Optimal Rates of Convergence of Parameter Estimators in the Binary Response Model with Weak Distributional Assumptions
Authors: Horowitz Joel L.
Published: March 2009

The smoothed maximum score estimator of the coefficient vector of a binary response model is consistent and, after centering and suitable normalization, asymptotically normally distributed under weak assumptions [5]. Its rate of convergence in probability is N−h/(2h+1), where h ≥ 2 is an integer whose value depends on the strength of certain smoothness assumptions. This rate of convergence is faster than that of the maximum score estimator of Manski [11,12], which converges at the rate N−1/3 under assumptions that are somewhat weaker than those of the smoothed estimator. In this paper I prove that under the assumptions of smoothed maximum score estimation, N−h/(2h+1) is the fastest achievable rate of convergence of an estimator of the coefficient vector of a binary response model. Thus, the smoothed maximum score estimator has the fastest possible rate of convergence. The rate of convergence is defined in a minimax sense so as to exclude superefficient estimators.
Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable
Authors: Kiviet Jan F. , Phillips Garry D.A.
Published: March 2009

The small sample bias of the least-squares coefficient estimator is examined in the dynamic multiple linear regression model with normally distributed whitenoise disturbances and an arbitrary number of regressors which are all exogenous except for the one-period lagged-dependent variable. We employ large sample (T → ∞) and small disturbance (σ → 0) asymptotic theory and derive and compare expressions to O(T−1) and to O(σ2), respectively, for the bias in the least-squares coefficient vector. In some simulations and for an empirical example, we examine the mean (squared) error of these expressions and of corrected estimation procedures that yield estimates that are unbiased to O(T−l) and to O(σ2), respectively. The large sample approach proves to be superior, easily applicable, and capable of generating more efficient and less biased estimators.
Ols Bias in a Nonstationary Autoregression
Authors: Abadir Karim M.
Published: March 2009

An analytical formula is derived to approximate the finite sample bias of the ordinary least-squares (OLS) estimator of the autoregressive parameter when the underlying process has a unit root. It is found that the bias is expressible in terms of parabolic cylinder functions which are easy to compute. Numerical evaluation of the formula reveals that the approximation is very accurate. The derived formula inspires a heuristic approximation, obtained by leastsquares fitting of the asymptotic bias. More importantly, the formula proves analytically that the bias declines at a rate which is slower than the consistency rate, thus explaining some previous simulation findings. A case where the bias increases with the sample size is also given.
Identification and Estimation of Continuous Time Dynamic Systems With Exogenous Variables Using Panel Data
Authors: Hamerle Alfred , Singer Hermann , Nagl Willi
Published: March 2009

This paper deals with the identification and maximum likelihood estimation of the parameters of a stochastic differential equation from discrete time sampling. Score function and maximum likelihood equations are derived explicitly. The stochastic differential equation system is extended to allow for random effects and the analysis of panel data. In addition, we investigate the identifiability of the continuous time parameters, in particular the impact of the inclusion of exogenous variables.
The VPRT: A Sequential Testing Procedure Dominating the SPRT
Authors: Cressie Noel , Morgan Peter B.
Published: March 2009

Under more general assumptions than those usually made in the sequential analysis literature, a variable-sample-size-sequential probability ratio test (VPRT) of two simple hypotheses is found that maximizes the expected net gain over all sequential decision procedures. In contrast, Wald and Wolfowitz [25] developed the sequential probability ratio test (SPRT) to minimize expected sample size, but their assumptions on the parameters of the decision problem were restrictive. In this article we show that the expected net-gain-maximizing VPRT also minimizes the expected (with respect to both data and prior) total sampling cost and that, under slightly more general conditions than those imposed by Wald and Wolfowitz, it reduces to the one-observation-at-a-time sequential probability ratio test (SPRT). The ways in which the size and power of the VPRT depend upon the parameters of the decision problem are also examined.
A Note on a Lagrange Multiplier Test for Testing an Autoregressive Unit Root
Authors: Saikkonen Pentti
Published: March 2009

It is shown that in a first-order mixed autoregressive moving average model, a Lagrange multiplier test for the autoregressive unit-root hypothesis can be inconsistent against stationary alternatives.
Adaptive Estimation in ARCH Models
Authors: Linton Oliver
Published: March 2009

We construct efficient estimators of the identifiable parameters in a regression model when the errors follow a stationary parametric ARCH(P) process. We do not assume a functional form for the conditional density of the errors, but do require that it be symmetric about zero. The estimators of the mean parameters are adaptive in the sense of Bickel [2]. The ARCH parameters are not jointly identifiable with the error density. We consider a reparameterization of the variance process and show that the identifiable parameters of this process are adaptively estimable.
Estimation in Dynamic Linear Regression Models with Infinite Variance Errors
Authors: Knight Keith
Published: March 2009

This paper considers the asymptotic behavior ofM-estimates in a dynamic linear regression model where the errors have infinite second moments but the exogenous regressors satisfy the standard assumptions. It is shown that under certain conditions, the estimates of the parameters corresponding to the exogenous regressors are asymptotically normal and converge to the true values at the standardn−½rate.
Asymptotically Optimal Tests Using Limited Information and Testing for Exogeneity
Authors: Smith Richard J.
Published: March 2009

By appropriately partitioning the joint hypothesis of weak exogeneity and the maintained overidentifying restrictions in the linear dynamic simultaneous equations model and showing that the component subhypotheses are separable, asymptotically optimal tests for the weak exogeneity hypothesis may be constructed using limited information statistics. A necessary and sufficient condition for the separability of parametric hypotheses of the mixed implicit function and constraint equation type is derived which generalizes conditions previously obtained in the literature. Consequently, limited and full information procedures for testing the weak exogeneity hypothesis are asymptotically equivalent. The impact of these results for testing strong exogeneity in the linear dynamic simultaneous equations model is also explored.
On the Limit Behavior of a Chi-Square Type Test if the Number of Conditional Moments Tested Approaches Infinity
Authors: de Jong R.M. , Bierens H.J.
Published: March 2009

In this paper, a consistent model specification test is proposed. Some consistent model specification tests have been discussed in econometrics literature. Those tests are consistent by randomization, display a discontinuity in sample size, or have an asymptotic distribution that depends on the data-generating process and on the model, whereas our test does not have one of those disadvantages. Our test can be viewed upon as a conditional moment test as proposed by Newey but instead of a fixed number of conditional moments, an asymptotically infinite number of moment conditions is employed. The use of an asymptotically infinite number of conditional moments will make it possible to obtain a consistent test. Computation of the test statistic is particularly simple, since in finite samples our statistic is equivalent to a chi-square conditional moment test of a finite number of conditional moments.
Kernel Estimation of Partial Means and a General Variance Estimator
Authors: Newey Whitney K.
Published: March 2009

Econometric applications of kernel estimators are proliferating, suggesting the need for convenient variance estimates and conditions for asymptotic normality. This paper develops a general “delta-method” variance estimator for functionals of kernel estimators. Also, regularity conditions for asymptotic normality are given, along with a guide to verify them for particular estimators. The general results are applied to partial means, which are averages of kernel estimators over some of their arguments with other arguments held fixed. Partial means have econometric applications, such as consumer surplus estimation, and are useful for estimation of additive nonparametric models.
Autoregressive Errors in Singular Systems of Equations
Authors: Dhrymes Phoebus J.
Published: March 2009

We consider a system of m general linear models, where the system error vector has a singular covariance matrix owing to various “adding up” requirements and, in addition, the error vector obeys an autoregressive scheme. The paper reformulates the problem considered earlier by Berndt and Savin [8] (BS), as well as others before them; the solution, thus obtained, is far simpler, being the natural extension of a restricted least-squares-like procedure to a system of equations. This reformulation enables us to treat all parameters symmetrically, and discloses a set of conditions which is different from, and much less stringent than, that exhibited in the framework provided by BS.

Finally, various extensions are discussed to (a) the case where the errors obey a stable autoregression scheme of order r; (b) the case where the errors obey a moving average scheme of order r; (c) the case of “dynamic” vector distributed lag models, that is, the case where the model is formulated as autoregressive (in the dependent variables), and moving average (in the explanatory variables), and the errors are specified to be i.i.d.
On Modeling Heteroskedasticity: The Student's t and Elliptical Linear Regression Models
Authors: Spanos Aris
Published: March 2009

This paper proposes a new approach to modeling heteroskedastidty which enables the modeler to utilize information conveyed by data plots in making informed decisions on the form and structure of heteroskedasticity. It extends the well-known normal/linear/homoskedastic models to a family of non-normal/linear/heteroskedastic models. The non-normality is kept within the bounds of the elliptically symmetric family of multivariate distributions (and in particular the Student's t distribution) that lead to several forms of heteroskedasticity, including quadratic and exponential functions of the conditioning variables. The choice of the latter family is motivated by the fact that it enables us to model some of the main sources of heteroskedasticity: “thicktails,” individual heterogeneity, and nonlinear dependence. A common feature of the proposed class of regression models is that the weak exogeneity assumption is inappropriate. The estimation of these models, without the weak exogeneity assumption, is discussed, and the results are illustrated by using cross-section data on charitable contributions.
On the Shape of the Likelihood/Posterior in Cointegration Models
Authors: Kleibergen Frank , van Dijk Herman K.
Published: March 2009

A vector autoregressive (VAR) model is specified with equation system parameters, which directly reflect the possible cointegrating nature of the analyzed time series. By using a flat/diffuse prior, we show that the marginal posteriors of the parameters of interest (multipliers of the cointegrating vectors) may be nonintegrable and favor difference stationary models in an undesired way. To choose between stationary, cointegrated, and difference stationary models in a meaningful way, the Jeffreys prior principle is used. We investigate the sensitivity of the posterior results with respect to the construction of the Jeffreys prior. In this context, we also analyze the effect of fixed and stochastic initial values. The theoretical results are illustrated by using a VAR model for shortand long–term interest rates in the United States.
Bayesian Inference of Trend and Difference-Stationarity
Authors: McCulloch Robert E. , Tsay Ruey S.
Published: March 2009

This paper proposes a general Bayesian framework for distinguishing between trend- and difference-stationarity. Usually, in model selection, we assume that all of the data were generated by one of the models under consideration. In studying time series, however, we may be concerned that the process is changing over time, so that the preferred model changes over time as well. To handle this possibility, we compute the posterior probabilities of the competing modelsfor each observation. This way we can see if different segments of the series behave differently with respect to the competing models. The proposed method is a generalization of the usual odds ratio for model discrimination in Bayesian inference. In application, we employ the Gibbs sampler to overcome the computational difficulty. The procedure is illustrated by a real example.
Priors for Macroeconomic Time Series and Their Application
Authors: Geweke John
Published: March 2009

This paper takes up Bayesian inference in a general trend stationary model for macroeconomic time series with independent Student-tdisturbances. The model is linear in the data, but nonlinear in parameters. An informative but nonconjugate family of prior distributions for the parameters is introduced, indexed by a single parameter that can be readily elicited. The main technical contribution is the construction of posterior moments, densities, and odd ratios by using a six-step Gibbs sampler. Mappings from the index parameter of the family of prior distribution to posterior moments, densities, and odds ratios are developed for several of the Nelson–Plosser time series. These mappings show that the posterior distribution is not even approximately Gaussian, and they indicate the sensitivity of the posterior odds ratio in favor of difference stationarity to the choice of the prior distribution.
Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown
Authors: Elliott Graham , Stock James H.
Published: March 2009

The distribution of statistics testing restrictions on the coefficients in time series regressions can depend on the order of integration of the regressors. In practice, the order of integration is rarely known. We examine two conventional approaches to this problem — simply to ignore unit root problems or to use unit root pretests to determine the critical values for second-stage inference—and show that both exhibit substantial size distortions in empirically plausible situations. We then propose an alternative approach in which the second-stage critical values depend continuously on a first-stage statistic that is informative about the order of integration of the regressor. This procedure has the correct size asymptotically and good local asymptotic power.
Bayesian Encompassing Tests of a Unit Root Hypothesis
Authors: Florens Jean-Pierre , Larribeau Sophie , Mouchart Michel
Published: March 2009

The object of this paper is to report, for a simple testing problem of a unit root hypothesis, some experience regarding the numerical problems involved by using a Bayesian encompassing test, i.e., a Bayesian procedure that treats the null and the alternative hypotheses as different models, the null one and the alternative one, that share a same sample space but with different parameter spaces. Numerical procedures and efficient simulations are discussed briefly, and the numerical results so obtained are used to evaluate the meaning of the prior specification and of the empirical evidence about a unit root inference.
Testing a Parametric Model Against a Semiparametric Alternative
Authors: Horowitz Joel L. , Härdle Wolfgang
Published: March 2009

This paper describes a method for testing a parametric model of the mean of a random variable Y conditional on a vector of explanatory variables X against a semiparametric alternative. The test is motivated by a conditional moment test against a parametric alternative and amounts to replacing the parametric alternative model with a semiparametric model. The resulting semiparametric test is consistent against a larger set of alternatives than are parametric conditional moments tests based on finitely many moment conditions. The results of Monte Carlo experiments and an application illustrate the usefulness of the new test.
Testing for Unit Roots in Models with Structural Change
Authors: Park Joon Y. , Sung Jaewhan
Published: March 2009

This paper considers the unit root tests in models with structural change. Particular attention is given to their dependency on the limiting ratios of the subsample sizes between breaks. The dependency is analyzed in detail, and the invariant testing procedure based on a transformed model is developed. The required transformation is essentially identical to the generalized least-squares correction for heteroskedasticity. The limiting distributions of the new tests do not depend on the relative sizes of the subsamples and are shown to be simple mixtures of the limiting distributions of the corresponding tests from the independent unit root models without structural change.
Asymptotic Distributions of the Least-Squares Estimators and Test Statistics in the Near Unit Root Model with Non-Zero Initial Value and Local Drift and Trend
Authors: Nabeya Seiji , Sørensen Bent E.
Published: March 2009

This paper considers the distribution of the Dickey-Fuller test in a model with non-zero initial value and drift and trend. We show how stochastic integral representations for the limiting distribution can be derived either from the local to unity approach with local drift and trend or from the continuous record asymptotic results of Sørensen [29]. We also show how the stochastic integral representations can be utilized as the basis for finding the corresponding characteristic functions via the Fredholm approach of Nabeya and Tanaka [16,17], This “link” between those two approaches may be of general interest. We further tabulate the asymptotic distribution by inverting the characteristic function. Using the same methods, we also find the characteristic function for the asymptotic distribution for the Schmidt-Phillips [26] unit root test. Our results show very clearly the dependence of the various tests on the initial value of the time series.
The Asymptotic Distributions Of Some Test Statistics in Near-Integrated AR Processes
Authors: Larsson Rolf
Published: March 2009

Asymptotic distributions of some test statistics in near-integrated AR processes are studied. Some exact formulas for the distribution functions are given as well as approximative results obtained by saddlepoint approximation techniques.
Errata
Authors: Paruolo Paolo
Published: March 2009

In the solution to Problem 93.2.3 by Paolo Paruolo, γ* ≡ (β, ,Ik)′ should be replaced by γ* ≡ (βí,I*)′ throughout the text; the same change should be made for *; γ should be replaced by γ* in the second line and two lines before the references; “left-hand side” should be “right-hand side” in the second line after (4); “column” should be replaced by “row” in the last line before the references. Finally, reference \1] is Preprint 1992.2, Institute of Mathematical Statistics, University of Copenhagen; submitted to Econometric Theory.
Least Absolute Deviation Estimation of a Shift
Authors: Bai Jushan
Published: March 2009

This paper develops the asymptotic theory for least absolute deviation estimation of a shift in linear regressions. Rates of convergence and asymptotic distributions for the estimated regression parameters and the estimated shift point are derived. The asymptotic theory is developed both for fixed magnitude of shift and for shift with magnitude converging to zero as the sample size increases. Asymptotic distributions are also obtained for trending regressors and for dependent disturbances. The analysis is carried out in the framework of partial structural change, allowing some parameters not to be influenced by the shift. Efficiency relative to least-squares estimation is also discussed. Monte Carlo analysis is performed to assess how informative the asymptotic distributions are.
The Effect of Model Selection on Confidence Regions and Prediction Regions
Authors: Kabaila Paul
Published: March 2009

Pötscher (1991, Econometric Theory7, 163–181) has recently considered the question of how the use of a model selection procedure affects the asymptotic distribution of parameter estimators and related statistics. An important potential application of such results is to the generation of confidence regions for the parameters of interest. It is demonstrated that a great deal of care must be exercised in any attempt at such an application. We also consider the effect of model selection on prediction regions. It is demonstrated that the use of asymptotic results for the construction of prediction regions requires the same sort of care as the use of such results for the construction of confidence regions.
Nonparametric Kernel Estimation for Semiparametric Models
Authors: Andrews Donald W.K.
Published: March 2009

This paper presents a number of consistency results for nonparametric kernel estimators of density and regression functions and their derivatives. These results are particularly useful in semiparametric estimation and testing problems that rely on preliminary nonparametric estimators, as in Andrews (1994, Econometrica 62, 43–72). The results allow for near-epoch dependent, nonidentically distributed random variables, data-dependent bandwidth sequences, preliminary estimation of parameters (e.g., nonparametric regression based on residuals), and nonparametric regression on index functions.
The Moving-Estimates Test for Parameter Stability
Authors: Chu Chia-Shang James , Hornik Kurt , Kuan Chung-Ming
Published: March 2009

In this paper a new class of tests for parameter stability, the moving-estimates (ME) test, is proposed. It is shown that in the standard situation the ME test asymptotically equivalent to the maximal likelihood ratio test under the alternative of a temporary parameter shift. It is also shown that the asymptotic null distribution of the ME test is determined by the increments of a vector Brownian bridge and that under a broad class of alternatives the ME test is consistent and has nontrivial local power in general. Our simulations also demonstrate that the proposed test has power superior to other competing tests when parameters are temporarily instable.
Analytical Score Function for Irregularly Sampled Continuous Time Stochastic Processes with Control Variables and Missing Values
Authors: Singer Hermann
Published: March 2009

The unknown structural parameters of a continuous/discrete state space model are estimated by maximum likelihood in the presence of irregular sampling, missing values, and cross-sections of time series (panel data). Exogenous (control) variables are included, and the sampling scheme and missing data pattern can be different for each variable and system. Furthermore, the derived non-linear optimization algorithm with analytical score function can be used for the discrete time case as well.
Trending Multiple Time Series: Editor's Introduction
Authors: Phillips Peter C.B.
Published: March 2009

One of the more obvious empirical characteristics of macroeconomic time series is their tendency to grow, or trend, over time. Dealing with this trendnonstationarity in models of multiple time series has been a major agenda of econometric research for much of the last decade and has produced an enormous literature. Equally, the goal of developing a general asymptotic theory of inference for stochastic processes has been a long-standing concern of probabilists and statisticians. Finally, understanding and modeling trend processes and cyclical activity lie at the nerve center of much of modern macroeconomics. As a consequence, research on nonstationary time series has brought statisticians, econometricians, and macroeconomists close together in productive ways that simply could not have been anticipated 10 years ago.

The focus of this symposium issue ofEconometric Theoryis inference from multiple time series data with trends, and the symposium brings together researchers with these diverse interests. The papers included in the issue were, with two exceptions, presented at a conference called “Trending Multiple Time Series,” held at Yale University in the fall of 1993 under the financial sponsorship of the National Science Foundation. All of the papers were written by conference participants. The conference was the fourth in a series of small conferences at Yale on the general theme of “Applications of Functional Limit Theory to Econometrics and Statistics.”
Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified
Authors: Horvath Michael T.K. , Watson Mark W.
Published: March 2009

Many economic models imply that ratios, simple differences, or “spreads” of variables are I(0). In these models, cointegrating vectors are composed of 1's, 0's, and —1's and contain no unknown parameters. In this paper, we develop tests for cointegration that can be applied when some of the cointegrating vectors are prespecified under the null or under the alternative hypotheses. These tests are constructed in a vector error correction model and are motivated as Wald tests from a Gaussian version of the model. When all of the cointegrating vectors are prespecified under the alternative, the tests correspond to the standard Wald tests for the inclusion of error correction terms in the VAR. Modifications of this basic test are developed when a subset of the cointegrating vectors contain unknown parameters. The asymptotic null distributions of the statistics are derived, critical values are determined, and the local power properties of the test are studied. Finally, the test is applied to data on foreign exchange future and spot prices to test the stability of the forward–spot premium.
Worldwide Rankings of Research Activity in Econometrics: 1980–1985
Authors: Hall A. D.
Published: March 2009

We provide rankings of academic institutions according to the publication record of their faculty members in the specialization of econometrics. The rankings are based on standardized page counts of articles published by faculty members in 14 journals over the period 1980 to 1985. Separate rankings of the 200 leading institutions are provided for their theoretical contributions, as well as their contributions in theory and applied work. The rankings are compared with a ranking in the general field of economics.
A Remark on Magdalinos's k-Class Instrumental Variable Estimator
Authors: Farebrother R. W.
Published: March 2009

In this paper we identify a restriction on the finite-sample application of Magdalinos's asymptotic expansions for the t statistic based on the k-class instrumental variable estimator.
Bias in Regressions With a Lagged Dependent Variable
Authors: Grubb David , Symons James
Published: March 2009

We give an expression to order O(T-1), whereTis the sample size, for bias to the estimated coefficient on a lagged dependent variable when all other regressors are exogenous. The general expression is a nonlinear function of the coefficient on the lagged dependent variable, the autoregressive structure of the exogenous variables, and the coefficients on the exogenous variables. The maximum bias that can arise is a linear function of the number of exogenous regressors in the estimating equation.
Income Differentials in Rural China
Authors: Vermeer E. B.
Published: March 2009

The communist revolution brought a fundamental change in income distribution in rural China. Wealth at the top of rural society and abject poverty at the bottom were both wiped out. The creation of new economic institutions combined the goals of production increase and greater income equality. Experience showed that it was difficult to attain both: land reform was followed by the emergence of new economic inequalities; the people's commune by economic disaster. After the consolidation of the collective production team as the basic economic accounting unit in 1962 the institutional framework underwent little change until 1980. However, an unprecedented growth of the rural population and the technical transformation of agriculture during this same period greatly transformed the economic conditions of China's peasantry.
Demographic Implications of Family Size Alternatives in the People's Republic of China
Authors: Chen Charles H. C. , Tyler Carl W.
Published: March 2009

According to an official Chinese report, the population of China has increased from 540 million in 1949 to 960 million in 1978, an average annual rate increase of about 20 per 1,000 population. In view of adverse socio-economic effects of the rapid population growth in the past the Chinese Government has recently begun encouraging the one-child family in an attempt to achieve the target of zero population growth by the turn of this century, as part of the effort to promote the Four Modernizations in the fields of agriculture, industry, science and technology, and defence.
Economic Policy-Making in China: Summer 1981
Authors: Oksenberg Michel
Published: March 2009

More than five years have passed since Mao's death and the arrest of his principal surviving supporters who helped launch and wage the Cultural Revolution. Since 1976 and particularly since late 1978, a major effort has been made to reform the Chinese policy process at the higher levels, especially in the economic realm. Drawing on impressions gained from interviews with Chinese officials in the summer of 1981, as well as a reading of the Chinese press, this article assesses the progress of the reforms. To what extent and in what direction has economic policy making evolved since 1976? What of the Maoist system remains? Further, what are the strengths and deficiencies of the new system? Does the policy process in the economic realm seem capable of directing the substantive economic reforms which the leaders have in mind? These are the questions explored in this article.
German Advice and Residual Warlordism in the Nanking Decade: Influences on Nationalist Military Training and Strategy
Authors: Sutton Donald S.
Published: March 2009

Some 150 Germans in all served as advisers to Generalissimo Chiang Kai-shek (Jiang Jieshi) in the decade between the Guomindang's Northern Expedition against the warlords (1927–28) and the end of the first year of Japan's full-scale invasion. Their importance to a government struggling to survive and modernize in the face of Japanese aggression and the threat of rural-based communism is recognized, and several studies describe the diplomacy and work of the unofficial mission at Nanking. But it is difficult in military as in civil reform to uncover how policies worked in practice. Chinese plans and pronouncements tended to gloss over contemporary realities, of which the most intractable were the persisting habits of warlordism within ex-warlord and even nominally Central armies. A cross-check of German, American, and British assessments with evidence from the Chinese side can indicate how genuine were the reform efforts, how influential the German officers, how intrusive warlord-style habits, and how impressive the results. I shall focus here on the neglected topics of German-directed officer education and troop training, and the much misunderstood German role in Chiang Kai-shek's strategy.
Lu Xun's Last Days and After
Authors: Jenner W. J. F.
Published: March 2009

Because Lu Xun as a man, not just as a writer, loomed so large in the consciousness of his age, his death was both an event of great public importance and a bitter loss to many. Of the hundreds of millions of deaths in China during the 38 years of the Republic none made a bigger impact, with the possible exception of that of Sun Yatsen, which though perhaps less deeply felt had a more immediate political effect. To this day, educated Chinese who were old enough in October 1936 to be aware of what was happening in the world remember how and where they heard the news, just as Europeans of the same generation remember learning of the outbreak of the Second World War.
Chinese Kinship Reconsidered: Anthropological Perspectives On Historical Research
Authors: Watson James L.
Published: March 2009

Social historians and social anthropologists may differ in respect to methodology but they often study the same kinds of problems and ask similar questions of their data. This is particularly true in the field of Chinese studies. Anthropologists who work in Chinese villages, towns or cities cannot help but be aware of historical issues; if they are not their hosts will soon set them straight. Historians, in turn, must become anthropologists of sorts if they hope to understand the complexities of Chinese social institutions.
Politics in Yunnan Province in the Decade of Disorder: Elite Factional Strategies and Central-local Relations, 1967–1980
Authors: Solinger Dorothy J.
Published: March 2009

In the wake of the watershed events of 1967, most of the analysis of Chinese domestic politics has focused on the fallen “four,” subsequent purges of Leftists and their replacement by “pragmatists,” and the no longer guarded “reassessment” of the old Chairman's role in the Chinese revolution. This discussion has usually been directed at the personnel in the capital. This article will take a look at what has been happening in one part of the hinterland of late, as it elaborates a framework for interpreting central-local elite behaviour. It will develop this framework on the basis of a close reading of the events in one province, Yunnan, over the decade or so of the Cultural Revolution and its aftermath.
The Dismissal of Marshal P'eng Teh-huai
Authors: Charles David A.
Published: March 2009

There is little reason for thinking that the anti-rightist campaign of 1957–58, which closed the Hundred Flowers interlude, was undertaken in order to overcome an organised opposition in the central leadership of the Chinese Communist Party rather than to deal with a political situation that was clearly getting out of hand. The victims were either bourgeois intellectuals and members of the so-called “democratic parties” or communist officials of the second rank, for the most part provincial administrators. Their fate presumably strengthened the hand of the doctrinaires in the Party and weakened the will of the moderates to oppose the extravagances of the subsequent “great leap forward”; and there are doubtless many in China as well as the West who believe that Mao's personal involvement in the fiasco of liberalisation may have constituted the first stage in a process which would lead eighteen months later to his withdrawal from the chairmanship of the republic. The political repercussions were, however, long-term; the immediate effect of the change of line may have been to cement rather than undermine the solidarity of the leaders.
Five Years of the Sinkiang-Uighur Autonomous Region, 1955–60
Authors: Lo J. P.
Published: March 2009

Sinkiang, that vast, rugged land in Inner Asia, rich in undeveloped resources and peopled by farmers and nomads of many races and creeds with deeply-rooted differences in ways of life and long years of conflict over political aspirations, is today in the throes of a revolution of unprecedented magnitude and intensity aimed at the achievement of sweeping cultural, social and economic changes. This prodigious effort at transformation is the keynote of Chinese Communist rule of Sinkiang. Its groundwork was laid in the first years after the Chinese Communists took control in 1949.
Hai-lu-feng—The First Chinese Soviet Government (Part I)
Authors: Eto Shinkichi
Published: March 2009

Many of the books dealing with the history of the Chinese Communist movement have mentioned the Hai-lu-feng Soviet as the earliest Soviet in China but as yet, with the exception of several Communist articles from the Chinese mainland, there is no study that deals with the details of the history of this Soviet or its relation to the development of the Communist movement in China.
Liu Shao-ch'i: A Political Profile
Authors: Boorman Howard L.
Published: March 2009

On December 26, 1961, Mao Tse-tung, master and master-mind of the Communist Party of China for the past quarter century, reached the age of sixty-eight. Whileder Altein Peking still appears reasonably durable, he has nevertheless reached the stage in his career where the succession problem may soon pass from the sphere of speculation to that of political reality. Well aware of the intra-party struggle in Moscow following Stalin's death, Mao Tse-tung has already taken steps to avoid internecine strife in China. Practically speaking, he has made his selection.
The Roots of America's China Policy
Authors: Morgenthau Hans J.
Published: March 2009

In order to understand the policy of the United States towards China it is necessary to go back to die Chinese civil war. It is at this point that the confusion over ‘the real issue obscured the thinking and frustrated the policies of the United States. When it became obvious that the Nationalist régime was unable to cope with the revolutionary situation even if supported by American arms and advice, only two courses, which General Wedemeyer's report of 1947 clearly envisaged, were logically open to American policy. One was military intervention on such a scale as to be sufficient not only to crush the Communist armies but also to keep discontent permanently in check. Military intervention of this kind would have entailed military and political commitments of incalculable magnitude. This course of action was rejected by the framers of the United States' foreign policy on the advice, among others, of the then-Secretary of State, George Marshall.