基于金融高频数据的ACD模型非参数设定检验

 目前关于ACD的实证研究已经十分丰富，却很少有人把注意力放在ACD及其扩展模型设定的检验上，本文采用的D检验就是通过衡量残差密度函数的参数和非参数估计值之间的紧密程度，来检验模型设定的优劣。     

基于鞅转化的利率模型漂移函数的设定检验

基于切米雷泽(Khmaladze)鞅转化技术,利用标记的参数经验过程构造两种对利率模型漂移函数参数形式的设定检验方法,并给出该检验方法在原假设条件下的渐近性质与检验统计量的计算方法.所提出的利率模型漂移函数设定检验方法不依赖于利率模型的波动函数形式,即使对于复合假设检验问题也具有渐近分布无关性.蒙特卡洛模拟结果表明这些检验方法具有合理的检验水平(size)和检验功效(power).利用这些检验方法对我国的短期利率动态特征进行实证分析也能得到较好的检验效果.     

信息化条件下修订《会计基础工作规范》的思考

财政部1996年颁发的《会计基础工作规范》中,部分条款已严重滞后于信息化条件下会计基础工作实务的现状。文章从六个方面分析信息化条件下会计基础工作的主要变化,包括:财务集约化管理的要求;前端业务部门的职责;会计凭证与账簿数量大幅增加情况下的打印问题;一键式会计报表对关联交易处理的要求;会计监督的范围和方式;会计电子档案的管理等,并根据这些变化提出了修订《会计基础工作规范》的政策性建议。     

会展专业的特色创建与品牌塑造

当会展业面临着良好发展机遇的同时,会展专业人才的培养已成为眼下高等院校的当务之急。要树立会展专业自己的品牌,关键在于突破传统教育的模式,开发新的有特色的教学形式。本文提倡在教学中组建会展教学载体和平台,将理论与实践相结合,培养学生的会展素质,提倡学生学习的主动性、个性化,最终创立会展前沿操作模式,走产学研一体化的道路,塑造有特色的会展专业品牌。     

A nonparametric specification test for the volatility functions of diffusion processes

This paper develops a new test for the parametric volatility function of a diffusion model based on nonparametric estimation techniques. The proposed test imposes no restriction on the functional form of the drift function and has an asymptotically standard normal distribution under the null hypothesis of correct specification. It is consistent against any fixed alternatives and has nontrivial asymptotic power against a class of local alternatives with proper rates. Monte Carlo simulations show that the test performs well in finite samples and generally has better power performance than the nonparametric test of Li (2007 Li, F. (2007). Testing the parametric specification of the diffusion function in a diffusion process. Econometric Theory 23(2):221–250.[Crossref], [Web of Science ®] , [Google Scholar]) and the stochastic process-based tests of Dette and Podolskij (2008 Dette, H., Podolskij, M. (2008). Testing the parametric form of the volatility in continuous time diffusion models–a stochastic process approach. Journal of Econometrics 143(1):56–73.[Crossref], [Web of Science ®] , [Google Scholar]). When applying the test to high frequency data of EUR/USD exchange rate, the empirical results show that the commonly used volatility functions fit more poorly when the data frequency becomes higher, and the general volatility functions fit relatively better than the constant volatility function.     

面板数据模型的设定、统计检验和新进展

在介绍面板数据及其优势与局限的基础上,首先,从异质性、时变性和相关性的观点对静态面板数据计量模型的设定、动态面板数据模型的估计方法和Granger因果检验进行系统的讨论。其次,按照假设检验的零假设进行分类,系统阐述面板单位根检验和协整检验理论。最后,介绍面板数据计量经济学的一些新进展。     

计量经济学和统计学视角下的线性回归模型——再议线性回归模型的设定

从属性、构建方法及意义等方面,分析研究线性回归模型在计量经济学和统计学两学科视角下的差异,并根据这种差异进一步提出回归模型的基本设定思路。研究表明:识别这种差异是完成模型设定工作的基础性和必要性举措,有助于实现线性回归模型的正确设定。以经典例证对计量经济学和统计学回归模型在应用中的区别以及模型设定问题进行进一步展示和分析。     

Finite Sample Performances of the Model Selection Approach in Nonparametric Model Specification for Time Series

Nonparametric model specification for stationary time series involves selections of the smoothing parameter (bandwidth), the lag structure and the functional form (linear vs. nonlinear). In real life problems, none of these factors are known and the choices are interdependent. In this article, we recommend to accomplish these choices in one step via the model selection approach. Two procedures are considered; one based on the information criterion and the other based on the least squares cross validation. The Monte Carlo simulation results show that both procedures have good finite sample performances and are easy to implement compared to existing two-step probabilistic testing procedures.     

The probabilistic reduction approach to specifying multinomial logistic regression models in health outcomes research

The paper provides a novel application of the probabilistic reduction (PR) approach to the analysis of multi-categorical outcomes. The PR approach, which systematically takes account of heterogeneity and functional form concerns, can improve the specification of binary regression models. However, its utility for systematically enriching the specification of and inference from models of multi-categorical outcomes has not been examined, while multinomial logistic regression models are commonly used for inference and, increasingly, prediction. Following a theoretical derivation of the PR-based multinomial logistic model (MLM), we compare functional specification and marginal effects from a traditional specification and a PR-based specification in a model of post-stroke hospital discharge disposition and find that the traditional MLM is misspecified. Results suggest that the impact on the reliability of substantive inferences from a misspecified model may be significant, even when model fit statistics do not suggest a strong lack of fit compared with a properly specified model using the PR approach. We identify situations under which a PR-based MLM specification can be advantageous to the applied researcher.     

A Superstructure of Process Capability Indices for Circular Specification Region

Circular specification regions can be seen in processes like hitting a target (in ballistics), drilling a hole (in manufacturing industries) and so on. However, only a few process capability indices are available in the literature to address the problem. Most of these indices, in turn, make some assumptions like equality of variance and independence of the two axes of the circular tolerance region. Since, in most of the cases, these assumptions are not practically viable, in the present article, we have proposed a few of the process capability indices which do not need the above assumptions to be valid. Also, we propose a superstructure which unifies all the proposed indices. Some properties of these indices have been studied including the threshold value and the relationship of the proportion of non-conformance with the member indices of the superstructure. These strengthen the practical utility of the superstructure. Distributional properties like expectations and variances of the member indices of the superstructure are also studied to have a better insight about the indices. A real life example has been discussed to carry out a comparative study of the performance of the existing as well as the newly developed indices.