Time-varying dynamics in panel data sets with stochastic trends

具有随机趋势的面板数据集中的时变动态

• 批准号: 240888307
• 负责人: Professor Dr. Matei Demetrescu
• 金额: --
• 依托单位: Lehrstuhl Statistik und Ökonometrie
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2013
• 资助国家: 德国
• 起止时间: 2012-12-31 至 2018-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/240888307?language=en
• 关键词: Time; varying; dynamics; panel; data

Panel data have become pervasive in applied economics - for example, in form of multi-country or of firm-level data - and, compared to time series or cross-sectional data, may provide richer empirical evidence for questions such as the identification of the determinants of economic growth or of stock returns.The empirical analysis needs, as always, to take the stylized facts of the data into account. The initial proposal argued that the interaction of persistence and time-varying volatility in the presence of cross-sectional dependence may take researchers to misleading conclusions when applying standard tools, and set out to provide robust methods.While a large part of the initial project is completed (see Beschreibung_des_Vorhabens" for a detailed list of contributions), we realized during the first funding period that time-varying volatility is often paired with time-varying autocorrelations (dynamics). It is not clear at this time how such time-varying dynamics affect the properties of standard panel inference tools. In view of the experience with time-varying volatility, it is however to be expected that panel methods are particularly badly affected, since small unit-specific distortions typically cumulate over the panel.The extension of the project aims to quantify the distortions induced by time-varying dynamics and to discuss solutions and corrections to take this problem into account. Also, some of the initial research questions still need attention, the initial project having been planned for three years, only two of which were granted.First, we will complete some work already started, but not yet finished, e.g., the paper on panel predictability testing; it will be of particular interest to consider the aspect of time-varying dynamics in the predictor as well. The combination of tests approach shall also receive full attention. This was not possible to the desired extent so far due to time restrictions, not least because we identified and explored some additional fruitful topics within the scope of the project during the past 18 months.Second, we will discuss the monitoring of changes in volatility as well as dynamics. Most current procedures for detecting volatility or autocorrelation changes are applicable in an ex-post fashion only, while practitioners typically require real-time information. Third, we will discuss different approaches for dealing with time-varying dependence. While we strive to provide generic solutions whenever possible, this will not always be the case, and, often, specific solutions to specific problems fare better. Moreover, concrete comparisons are indispensable when both approaches are available.Fourth, we shall provide empirical analyses highlighting the relevance of the theoretical research. We plan to study, among others, the extent to which country-specific indicators of contemporaneous financial instability can be useful as leading indicators of future output and output volatility.

面板数据在应用经济学中已变得普遍- -例如以多国或公司一级数据的形式- -与时间序列或横断面数据相比，可以为诸如确定经济增长或股票收益的决定因素等问题提供更丰富的经验证据。实证分析需要一如既往地考虑到数据的风格化事实。最初的建议认为，在横截面依赖性存在的情况下，持久性和时变波动性的相互作用可能会使研究人员在应用标准工具时得出误导性的结论，并着手提供可靠的方法。虽然初始项目的很大一部分已经完成（请参阅Beschreibung_des_Vorhabens“获取贡献的详细列表），但我们在第一个资助期间意识到时变波动性通常与时变自相关性（动态）相匹配。目前尚不清楚这种时变动力学如何影响标准面板推理工具的特性。但是，鉴于时变波动率的经验，预期小组方法会受到特别严重的影响，因为特定单位的小扭曲通常会在小组中累积。该项目的扩展旨在量化由时变动力学引起的扭曲，并讨论解决方案和纠正措施，以考虑到这一问题。此外，一些初步研究问题仍然需要注意，初步项目已经计划了三年，其中只有两年获得批准。首先，我们将完成一些已经开始但尚未完成的工作，例如关于面板可预测性测试的论文；在预测器中考虑时变动力学方面也将是特别有趣的。综合试验方法也应得到充分重视。到目前为止，由于时间限制，这还没有达到预期的程度，尤其是因为我们在过去的18个月里在项目范围内确定并探索了一些额外的富有成效的主题。其次，我们将讨论波动性和动态变化的监测。目前大多数检测波动性或自相关变化的程序仅适用于事后方式，而从业者通常需要实时信息。第三，我们将讨论处理时变依赖性的不同方法。虽然我们努力尽可能提供通用的解决方案，但情况并非总是如此，而且，针对特定问题的特定解决方案往往效果更好。此外，当两种方法都可用时，具体的比较是必不可少的。第四，进行实证分析，突出理论研究的关联性。除其他外，我们计划研究，在多大程度上，具体国家的同期金融不稳定指标可以作为未来产出和产出波动的领先指标。

项目成果

Monitoring multivariate time series

• DOI: 10.1016/j.jmva.2016.12.003
• 发表时间: 2017-03-01
• 期刊: JOURNAL OF MULTIVARIATE ANALYSIS
• 影响因子: 1.6
• 作者: Hoga, Yannick

CHANGE POINT TESTS FOR THE TAIL INDEX OF β-MIXING RANDOM VARIABLES

β-混合随机变量尾部指数的变点检验

• DOI: 10.1017/s0266466616000189
• 发表时间: 2017
• 期刊: Econometric Theory
• 影响因子: 0.8

Multiple Testing for No Cointegration Under Nonstationary Volatility

非平稳波动下无协整的多重检验

• DOI: 10.1111/obes.12214
• 发表时间: 2018
• 期刊: ERN: Other Econometrics: Data Collection & Data Estimation Methodology (Topic)
• 作者: Demetrescu;C. Hanck
• 通讯作者: C. Hanck