Structural Changes, Level Shifts in Variance and the Frequency of Permanent Shocks

结构变化、方差水平变化和永久性冲击的频率

• 批准号: 0649350
• 负责人: Pierre Perron
• 金额: --
• 依托单位: Trustees of Boston University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2007
• 资助国家: 美国
• 起止时间: 2007-03-01 至 2011-02-28
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=0649350&HistoricalAwards=false
• 关键词: Structural; Changes; Level; Shifts; Variance

The common theme of this project is structural change in economic time series but some tools developed will be used beyond this topic. There are five main projects described, each of which can lead to several research papers to be published in leading journals.1) Testing for multiple structural changes in the variance of the errors in a linear regression model allowing for or testing concurrently for changes in the parameters of the conditional mean regression. This project provides methods based on a likelihood framework for a number of testing problems and for estimating the number of breaks in variance and in coefficients and to assess whether some are common.2) The time series properties of the variability of stock returns (proxied by absolute returns). This project considers a simple stochastic level shift model and propose a method of estimation based on a State Space model with a mixture of Normal distribution. It shows how the model can be extended to allow the probability of shifts to be a function of other variables and, hence, deliver improved forecasts.3) The frequency of permanent shocks. The project builds a stochastic model which can deliver estimates of the probability of a level shift or a slope change at any given period. The usual unit root model specifies the probability to be one, while for a trend-stationary process it is zero. This method allows a considerably broader picture, which can deliver useful practical implications.4) Assessing the importance of level shifts in non-trending economic and financial time series via the shape of their autocorrelation function.5) An alternative approach to evaluate the properties of structural change tests. This project uses the concept of Bahadur efficiency to compare the properties of tests for structural changes and show that it yields predictions in better agreement with the finite sample performance compared to the often used local asymptotic power analysis. It proposes deriving tests that are Bahadur optimal within a broad enough class.Broader Impact: The work proposed in this project will be valuable to applied researchers in various fields as well as to econometricians and statisticians. It not only provides new tools to answer economic (and other) questions of interest but also contains substantial empirical components that can shed new light on how to model economic variables, especially in the areas of macroeconomics and finance.

这个项目的共同主题是经济时间序列的结构变化，但开发的一些工具将用于这个主题之外。书中描述了五个主要项目，每一个项目都可能导致在主要期刊上发表几篇研究论文。1)检验允许或同时检验条件均值回归参数变化的线性回归模型中误差方差的多重结构变化。该项目为许多测试问题提供了基于可能性框架的方法，并用于估计方差和系数中的中断数量，并评估其中一些是否常见。2)股票收益变异性的时间序列性质（以绝对收益为代表）。本文考虑一个简单的随机水平漂移模型，提出了一种基于混合正态分布的状态空间模型的估计方法。它展示了如何扩展模型，以允许移位概率成为其他变量的函数，从而提供改进的预测。3)永久性冲击的频率。该项目建立了一个随机模型，可以提供在任何给定时期水平移动或坡度变化的概率估计。通常的单位根模型指定概率为1，而对于趋势平稳过程，它是零。这种方法可以提供相当广泛的图像，可以提供有用的实际含义。4)通过自相关函数的形状来评估非趋势经济和金融时间序列中水平变化的重要性。5)一种评估结构变化试验特性的替代方法。本项目使用Bahadur效率的概念来比较结构变化试验的性质，并表明与经常使用的局部渐近功率分析相比，它产生的预测与有限样本性能更一致。它建议在足够广泛的类中推导出Bahadur最优的测试。更广泛的影响：本项目提出的工作将对各个领域的应用研究人员以及计量经济学家和统计学家有价值。它不仅提供了新的工具来回答经济（和其他）感兴趣的问题，而且还包含了大量的经验成分，可以揭示如何对经济变量建模的新思路，特别是在宏观经济和金融领域。