对一种处理非稳定过程的计量方法的研究

基于传统的经济计量方法只适用于处理稳定过程产生的数据,而当前许多经济指标,特别是宏观经济数据都显示出非稳定过程的特征,对于这类数据的处理,目前最常用的经济计量方法就是协整。本文针对于协整,较详细介绍了它的产生背景及其主要的检验方法。     

我国城乡收入差距对实际经济增长的阈值效应(英文)

鉴于我国的城乡二元结构,本文使用泰尔指数度量和刻画我国的城乡收入差距及其变化特征。同时,本文设定了非线性阈值协整模型,以揭示我国改革开放以来城乡收入差距与实际经济增长的长期非线性关系。结果表明,长期非线性闽值关系在泰尔指数为0．100（阈值）处发生机制转移：1978—1991年,我国城乡收入差距对实际增长的长期效应为正;1992—1999年,收入差距对实际增长的效应由正向负平滑转换;1999年后,我国城乡收入差距对实际经济增长产生阻滞作用,且负效应呈逐年增加趋势。     

基于双正交小波支持向量机的变结构非线性协整研究

基于双正交小波在非线性信号逼近方面的良好性能,构造了一类新的双正交小波核函数并证明了该核函数满足正定核的容许性条件.在此基础上构造了基于双正交小波支持向量机的非线性协整模型,并基于双正交小波支持向量机和最小拟合误差原则,提出针对向量时间序列的最优非线性变结构点检测的动态规划方法.最后,以美元指数和原油、黄金、铜、铝、锌、铅和锡等七种国际大宗商品期货价格为对象,进行变结构非线性协整的实证研究.结果表明,美元指数与七种国际大宗商品期货价格之间具有复杂的变结构非线性关系,双正交小波支持向量机和最优非线性变结构点检测方法在变结构非线性协整分析上是有效的.     

Time series analysis of fertility and female labor market behavior

Cointegration methods are employed to investigate relations among total fertility, female wages, labor force participation, educational attainment, and male relative cohort size. Two long run relations among the series are found, and these are identified as a fertility and a labor supply equation. All covariates enter into these relations with significant coefficients and theoretically plausible signs. Innovation analysis shows that both fertility and female labor force participation respond to changes in relative cohort size in directions consistent with the Easterlin hypothesis. Female labor force participation responds significantly to fertility shocks, but reverse effects are insignificant.All correspondence to Robert McNown. The authors wish to thank Cristobal Ridao-Cano, Kenneth Land, Alessandro Cigno, and an anonymous referee for comments on an earlier draft of this paper. Responsible editor: Alessandro Cigno.     

农村金融发展与农村经济增长关系的实证研究——基于陕西省的数据

鉴于中国不同地区农村金融发展与农村经济增长关系研究结论的不一致。选取陕西省1989—2008年的数据,运用协整检验和格兰杰因果检验进行实证研究,并通过VAR模型、脉冲响应和方差分解来揭示两者之间的动态关系。结果表明:陕西省农村金融发展与农村经济增长不存在长期均衡关系,其中农村金融发展对农村经济增长影响显著,而农村经济增长对金融发展影响较小,且短期作用为负,由此提出完善农村金融服务体系的措施以促进农村经济发展。     

基于协整方法的四川省消费增长的就业效应研究

利用四川省1978—2008年统计数据,采用协整方法估测了消费增长的就业效应。研究发现,从总量上看,当前和未来四川省消费增长的就业弹性分别为0.166和0.10,并且在统计意义上十分显著。Granger因果检验发现,从短期来看,就业和消费增长之间并不存在显著的因果关系;从长期来看,就业和消费增长之间互为因果关系。前述结论的政策含义在于:短期内,政府主导型投资应向拉动消费和推动就业的产业倾斜;长期内,扩大内需刺激消费的经济发展方式应从政府投资拉动型向居民消费拉动型转变。     

货运企业的伪超循环结构及其作用

由于很难将超循环理论模型直接应用于经济社会现象研究,本文提出＂伪超循环＂的概念,以期架设介于生物化学基本理论与经济社会实践现象之间的某种过渡。本文结合理论推导和实证分析,从伪超循环结构的发掘和伪超循环结构的作用两方面初步探讨了伪超循环。认为货运企业中存在一定数量的伪超循环结构,伪超循环结构有利于增强货运企业业务的稳定。研究表明,伪超循环可直接应用于经济社会实践现象的研究,建模和技术处理过程主要依靠计量经济学、统计数据分析等。     

Likelihood Analysis of the I(2) Model

The I (2) model is defined as a submodel of the general vector autoregressive model, by two reduced rank conditions. The model describes stochastic processes with stationary second difference. A parametrization is suggested which makes likelihood inference feasible. Consistency of the maximum likelihood estimator is proved, and the asymptotic distribution of the maximum likelihood estimator is given. It is shown that the asymptotic distribution is either Gaussian, mixed Gaussian or, in some cases, even more complicated.     

Threshold Cointegration and the PPP Hypothesis

Self-Exciting Threshold Autoregressive (SETAR) models are a non-linear variant of conventional linear Autoregressive (AR) models. One advantage of SETAR models over conventional AR models lies in its flexible nature in dealing with possible asymmetric behaviour of economic variables. The concept of threshold cointegration implies that the Error Correction Mechanism (ECM) at a particular interval is inactive as a result of adjustment costs, and active when deviations from equilibrium exceed certain thresholds. For instance, the presence of adjustment costs can, in many circumstances, justify the fact that economic agents intervene to recalibrate back to a tolerable limit, as in the case when the benefits of adjustment are superior to its costs. We introduce an approach that accounts for potential asymmetry and we investigate the presence of the relative version of the purchasing power parity (PPP) hypothesis for 14 countries. Based on a threshold cointegration adaptation of the unit root test procedure suggested by Caner & Hansen (2001), we find evidence of an asymmetric adjustment for the relative version of PPP for eight pairs of countries.     

农产品加工业规模对农民收入影响实证分析

运用1982年—2004年统计数据对农产品加工业规模与农民收入关系进行分析,结果表明,农产品加工业规模是农民收入的格兰杰原因,且二者存在协整关系,协整系数为0.2684。结论是在扩大农产品加工业规模的同时,逐步提高农产品加工层次和加工率,延长产业链条,实现农产品多次加工增值将有助于增加农民收入。