Toward Accurate Inference in Nonlinear Econometrics

这一奖项是为了表彰对专注于非线性计量经济学方法的研究项目的持续支持。这项研究的前提是，计量经济学规范是对潜在数据生成机制的近似。为了与这一观点保持一致，将开发出随着更多信息的获得而改进近似值的方法，并允许在模型演变的每个中间阶段进行更可靠的推断。这项研究的科学重要性源于这样一个事实，即实证研究的目标是对一个经济命题本身做出推断，而不是关于一个与潜在错误或错误的模型纠缠在一起的经济命题。使用规范测试的标准方法，人们不能确保与推断相关的估计是准确的。这项研究的目的可以看作是发展一种模型选择策略，以确保最终估计是准确的。这一目标是在涵盖大多数非线性、计量经济学推理程序的一般性水平上实现的。其基本思想是通过将结构模型替换为截断级数展开，或将误差密度替换为截断展开，或两者兼而有之，从而赋予过程非参数性质。通过使截断点随样本大小自适应地增长，确保最终收敛到潜在的数据生成机制。将应用于有条件的非均匀时间序列，例如在金融和货币及宏观经济学中出现的时间序列。贝叶斯方法也将被研究。

This award is for continued support for a program of research focusing on nonlinear, econometric methods. The research is based on the premise that an econometric specification is an approximation to an underlying data generating mechanism. In keeping with this perspective, methodologies will be developed that improve the approximation as more information becomes available and permits more reliable inference at each intermediate stage of model evolution. The scientific importance of this research derives from the fact that the goal of empirical research is to make an inference about an economic proposition per se, not about an economic proposition entangled with a potentially misspecified or incorrect model. With standard approaches to specification tests, one cannot be sure that the estimate associated with an inference is accurate. The objective of this research can be viewed as the development of a model selection strategy that guarantees that the final estimate is accurate. This objective is to be accomplished at a level of generality that encompasses most nonlinear, econometric inference procedures. The basic idea is to endow a procedure with nonparametric properties by replacing the structural model with a truncated series expansion, or the error density with a truncated expansion, or both. By letting the truncation point grow adaptively with sample size, ultimate convergence to the underlying data generating mechanism is assured. Applications to conditionally heterogeneous time-series such as occur in finance and monetary and macro economics will be undertaken. Bayesian methods will also be investigated.