Toward Accurate Inference in Nonlinear Econometrics

这个奖项是为了继续支持一个研究重点计划， 非线性计量经济学方法。 该研究基于 假设一个经济计量规格是一个近似 底层数据生成机制。 根据这一 从这个角度来看，将制定各种方法， 随着更多的信息变得可用， 在模型演化的每个中间阶段进行可靠的推断。 的 这项研究的科学重要性来自于这样一个事实， 实证研究的目的是对一个经济问题作出推论， 命题本身，而不是一个经济命题纠缠在一个 可能错误指定或不正确的模型。 通过标准方法 对于规格测试，人们不能确定相关的估计 是准确的 这项研究的目的可以是 被视为一种模型选择策略的发展， 最终的估计是准确的。 这一目标将在一般性的水平上实现， 包含了大多数非线性的计量经济学推理程序。 的 基本思想是通过以下方式赋予过程非参数属性： 用截断级数展开替换结构模型，或 具有截断展开的误差密度，或两者。 通过让 截断点随样本大小自适应增长，最终收敛 对底层数据生成机制的支持。 应用 有条件的异质时间序列，如发生在金融和 将进行货币和宏观经济学研究。 贝叶斯方法将 也被调查。

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.