中国能源消费：基于产业结构调整的思考

不同的产业对能源的消费强度不同,为此对我国1978-2006年的能源消费和经济数据做了实证研究,表明我国能源消费与三次产业之间存在长期协整关系和单向Granger因果关系。     

含结构突变的城镇居民消费收入的长短期关系

考虑到改革开放以来的制度变迁因素,本文采用Gregory和Hansen等首先提出的考虑结构突变可能性的5种模型对1978-2007年我国城镇居民的消费收入进行了Gregory-Hansen协整检验,为了进一步验证检验结果的可靠性我们基于不同方法检验了变结构协整关系的存在性和协整向量的稳定性。实证结果表明：转轨时期我国城镇居民人均收入与消费之间确实存在着含时间趋势的水平项漂移的协整关系。在此基础上我们又建立了消费收入的误差修正模型,由此可以看出消费者会根据长期均衡关系很快调整消费,故刺激消费的短期政策从长远来看是无效的,要扩大消费只有依靠在提高居民可支配收入的同时建立完善的社会保障体制。     

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.     

宏观经济变量与股价指数的协整关系分析

文章主要运用协整方法研究中国股价指数与国内生产总值、利率和货币供应量等宏观经济变量的长期均衡关系,建立多因素的长期均衡模型,同时分析它们之间存在的因果关系,检验结果表明股价波动与经济增长相背离、股票市场阻碍了货币政策的传导效率。对检验结果出现的原因作了详尽的分析,提出了相关的政策建议。      

Separating trend and cyclical dynamics in state space models with exogenous inputs

In the present study we compare three state rotation methods in modelling the impact of the US economy on the Finnish economy, i.e. Schur decomposition, eigenvalue analysis and singular value decomposition. Singular value decomposition is seen to provide a robust approximation of the state rotation in most cases studied, irrespective of whether the characteristic roots of the state transition matrix are complex. Thus, singular value decomposition seems to be a viable computational device not only in estimating the system matrices of the state space model, but also in state rotation, as compared to the more involved techniques based on eigenvalue analysis or Schur decomposition.     

Quasi-likelihood ratio tests for cointegration,cobreaking, and cotrending

We consider a set of variables with two types of nonstationary features, stochastic trends and broken linear trends. We develop tests that can determine whether there is a linear combination of these variables under which the nonstationary features can be canceled out. The first test can determine whether stochastic trends can be eliminated and thus whether cointegration holds, regardless of whether structural breaks in linear trends are eliminated. The second test can determine whether both stochastic trends and breaks in linear trends are simultaneously removed and thus whether cointegration and cobreaking simultaneously hold. The third test can determine whether not only breaks in linear trends but also linear trends themselves are eliminated along with stochastic trends and thus whether both cointegration and cotrending hold.     

Estimation bias and bias correction in reduced rank autoregressions

This paper characterizes the finite-sample bias of the maximum likelihood estimator (MLE) in a reduced rank vector autoregression and suggests two simulation-based bias corrections. One is a simple bootstrap implementation that approximates the bias at the MLE. The other is an iterative root-finding algorithm implemented using stochastic approximation methods. Both algorithms are shown to be improvements over the MLE, measured in terms of mean square error and mean absolute deviation. An illustration to US macroeconomic time series is given.     

China’s first priority in post-war state building: A wealthy state,or a strong army?

This analysis examined causal links in China’s defence–growth nexus in 1960–2016. The results show that better growth significantly reduces military-civilian ratio and propels military reforms. The unidirectional threshold causality from growth to defence shows that the military impact on a positive change in China’s growth is little in the long term. Conversely, the growth impact of a positive change in defence has accelerated after it reaches the threshold year in 1987. This finding explains why Chinese economy stagnated when defence was prioritised and why China has risen dramatically in the Far East after three decades of fast economic growth.     

非线性协和模型：理论与方法

 本文系统梳理了十多年来非线性协和理论与方法的研究进展，从非线性协和概念的提出开始，对目前已给出的非线性协和的各种不同定义、具有非线性结构的时间序列的非平稳性检验、非线性协和关系的检验、非线性协和模型的参数与非参数估计方法、门限协和模型、以及非线性误差修正模型的研究状况进行了总结。     

Estimates of Money Demand Functions for Estonia

This paper examines the money demand function of Estonia in the period 1995–2006. Since Estonia has a currency board system, euro area interest rates are taken into account. We apply different cointegration procedures like the Engle–Granger, the dynamic OLS, and the Johansen procedure to estimate the long-run relationship among money, output, and interest rates. The results show that it is difficult to find a cointegrating relationship for the broad money aggregate M2. For the preferred relationship including euro area money market rate and euro area bond rate a dynamic equation is estimated. This dynamic equation is stable for the whole period. The change of the anchor curreny in the currency board and the accession to the European Union do not alter the relationship.