摘要翻译：
本文研究了具有高持久性预测器的二元回归问题中的半参数效率问题，其中新息的联合分布被看作是一个无限维的干扰参数。利用极限实验的一种结构表示，并利用其中的不变关系，构造了感兴趣回归系数的不变点最优检验。这种方法自然地产生了一个基于新息的组件序列的可行测试族，这些测试在非高斯新息分布下相对于现有测试可以获得相当大的幂，而在高斯分布下表现等价。当一个身份证明。假设创新适用于手头的数据，我们的测试利用了可能的效率增益。此外，我们通过模拟表明，在某些形式的条件异方差下，我们的检验仍然保持良好的行为。
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英文标题：
《Semiparametric Testing with Highly Persistent Predictors》
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作者：
Bas Werker and Bo Zhou
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最新提交年份：
2020
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分类信息：

一级分类：Economics        经济学
二级分类：Econometrics        计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
  We address the issue of semiparametric efficiency in the bivariate regression problem with a highly persistent predictor, where the joint distribution of the innovations is regarded an infinite-dimensional nuisance parameter. Using a structural representation of the limit experiment and exploiting invariance relationships therein, we construct invariant point-optimal tests for the regression coefficient of interest. This approach naturally leads to a family of feasible tests based on the component-wise ranks of the innovations that can gain considerable power relative to existing tests under non-Gaussian innovation distributions, while behaving equivalently under Gaussianity. When an i.i.d. assumption on the innovations is appropriate for the data at hand, our tests exploit the efficiency gains possible. Moreover, we show by simulation that our test remains well behaved under some forms of conditional heteroskedasticity.
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PDF链接：
https://arxiv.org/pdf/2009.08291