A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION

This paper develops a time domain score statistic for testing fractional integration at zero and seasonal frequencies in quarterly time series models. Further, it introduces the notion of fractional cointegration at different frequencies between two seasonally integrated, I(1) series. In testing problems involving seasonal fractional cointegration, it is argued that the alternative hypothesis is one-sided for which the usual score test may not be appropriate. Therefore, based on ideas in Silvapulle and Silvapulle (1995), a one-sided score statistic is constructed. A simulation study finds that the score statistic generally has desirable size and power properties in moderately sized samples. The score test is applied to the quarterly Australian consumption function. The income and consumption series are found to be I(1) at zero and seasonal frequencies and these two series are not cointegrated at any frequency.     

THE POWER AND SIZE OF NONPARAMETRIC TESTS FOR COMMON DISTRIBUTIONAL CHARACTERISTICS

This paper considers the power and size properties of some well known nonparametric linear rank tests for location and scale as well as the Kolmogorov-Smirnov omnibus test and proposed alternatives to it. Independence between some classes of linear rank tests is established facilitating their joint application. Monte Carlo study confirms the asymptotic power properties of the linear rank tests but raises concerns about their application in more general and practically relevant circumstances. It also indicates that the new omnibus tests constitute viable alternatives with superior properties to the Kolmogorov-Smirnov test in certain circumstances.     

Rendite und Kapitalkosten

Zusammenfassung  Zur Bewertung von Investitionsprojekten mit mehrperiodigen Zahlungen werden die erwarteten Zahlungen mit geeigneten Kapitalkosten diskontiert. In dieser Arbeit wird gezeigt, dass die erwarteten einperiodigen Renditen nur unter bestimmten Annahmen die geeigneten Kapitalkosten darstellen. Wenn zwischen den einperiodigen Renditen Autokorrelation auftritt, ist ein zus?tzlicher Korrekturterm bei der Ermittlung der Kapitalkosten zu berücksichtigen. Im Falle unkorrelierter Renditen entspricht der stochastische Prozess der Renditen dem Prozess der Risikoaufl?sung.

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Summary  In this paper it is argued that the discount rates used for the computation of the present values of an investment project with cash-flows to be realized over several years have to be adjusted when the one-period returns of the investment project are autocorrelated. The formula of the correct discount rate is deduced. In the case of uncorrelated returns of the investment, the stochastic process of the returns and of the cost of capital are closely related to the process of the arrival of information over time.

Ich danke zwei anonymen Gutachtern für wertvolle Verbesserungsvorschl?ge an einer früheren Version des Aufsatzes sowie dem Verein zur F?rderung der Zusammenarbeit zwischen Lehre und Praxis am Finanzplatz Hannover e.V. für seine Unterstützung.     

新时代下物联网产业的发展困境与推进原则 —— 工信部《物联网“十二五”发展规划》解读

2012年2月14日,工业与信息化正式发布了《物联网“十二五”发展规划》,这是物联网首次国家层面上的产业整体发展规划。物联网产业是战略性新兴产业的重要一项,对于加快转变经济发展方式,推动相关产业转型升级具有重要作用。本规划的推出将会引导各级政府进行物联网产业发展布局,争取形成新一代信息技术产业发展的合力,推动我国经济在十二五阶段更快更稳发展。     

Breaking the Perverse Health-debt Cycle in Sri Lanka: Policy Options

This paper proposes a finite mixture model to examine how health adversities influence indebtedness of Sri Lankan households. After accounting for unobserved heterogeneity, our empirical analysis reveals that households headed by ill-health members and those with hospitalization are inevitably more vulnerable to indebtedness. The ill-health status of other working-age members also creates milder effects on household indebtedness. We confirm that the health-debt cycle is more severe for urban households, compared to their rural counterparts. The study is testimony to re-emphasizing the role of government in providing much-needed financial protection to vulnerable households and implementing differentiated-policy packages for urban and rural sectors in order to effectively break the health-debt cycle.     

Health-related disabilities and matching of spouses: Analysis of Swedish population data

Recent research concerning the incidence of reported work-limiting disabilities in the married population indicates a degree of interdependence between spouses' disabilities. This pattern is consistent with several hypotheses. Spouses tend to share many lifestyle traits that might lead to common health outcomes. Alternatively, their joint reports might reflect a shared preference for income benefits or workplace accommodations available to disabled individuals. Another possibility is that disabled individuals tend to be matched in the process of marital formation. This paper investigates the latter hypothesis. Taking advantage of a unique data set from the Swedish population, we select a sample of recently married couples and trace them back in time to their single years. Our analysis indicates nonrandom matching on the basis of disability status. After controlling for observed traits such as age and education, we find a residual correlation between future spouses that is positive and strongly significant. The magnitude of the correlation is within the range of residual correlations obtained from other studies that address marital matching in the contexts of education and earnings. The authors wish to thank anonymous referees and the editors of this journal for helpful comments and prompt reviews. Responsible editor: Christian Dustmann.     

Is the male marriage premium due to selection? The effect of shotgun weddings on the return to marriage

In standard cross-sectional wage regressions, married men appear to earn 10 to 20% more than comparable never married men. One proposed explanation for this male marriage premium is that men may be selected into marriage on the basis of characteristics valued by employers as well as by spouses or because they earn high wages. This paper examines the selection hypothesis by focusing on shotgun weddings, which may make marital status uncorrelated with earnings ability. We compare the estimated marriage premium between white men whose first marriages are soon followed by a birth and other married white men in the United States. The return to marriage differs little for married men with a premarital conception and other married men, and the results suggest that at most 10% of the estimated marriage premium is due to selection. Received: 19 June 1998/Accepted: 10 July 2000     

Semiparametric methods in nonlinear time series analysis: a selective review

Time series analysis is a tremendous research area in statistics and econometrics. In a previous review, the author was able to break down up 15 key areas of research interest in time series analysis. Nonetheless, the aim of the review in this current paper is not to cover a wide range of somewhat unrelated topics on the subject, but the key strategy of the review in this paper is to begin with a core the ‘curse of dimensionality’ in nonparametric time series analysis, and explore further in a metaphorical domino-effect fashion into other closely related areas in semiparametric methods in nonlinear time series analysis.     

“十二五”时期科学发展与加快转变经济发展方式的重点、难点和对策

"十二五"规划以科学发展为主题,以加快转变经济发展方式为主线。"十二五"时期,经济结构战略性调整、保障和改善民生、坚持改革和扩大开放是重点;如何促进消费、投资、出口并驾齐驱、如何保障现阶段收入分配差距不致过大、如何解决国民经济发展中的主要问题和矛盾是难点;进一步改造提升传统制造业、积极培育发展战略性新兴产业,就业优先、强农惠农,.坚持和完善基本经济制度、推进行政体制改革、深化金融体制改革是关键的应对之策。     

Recent developments in high dimensional covariance estimation and its related issues,a review

In this paper we review some of recent developments in high dimensional data analysis, especially in the estimation of covariance and precision matrix, asymptotic results on the eigenstructure in the principal components analysis, and some relevant issues such as test on the equality of two covariance matrices, determination of the number of principal components, and detection of hubs in a complex network.