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.     

TESTS FOR SEASONAL DIFFERENCING WITH AN UNKNOWN BREAK-POINT

Some Lagrange multiplier tests for seasonal differencing are proposed; their main objective is to avoid over-differencing due to structural change. The null hypothesis is either the presence of both regular and seasonal unit roots or the presence of a seasonal unit root. Alternative hypotheses allow for stationarity around a possible structural change where the break-point is unknown. The location of the structural change is estimated using the proposed procedures, the asymptotic distribution of the test statistics under the null hypothesis is derived and some useful percentiles are tabulated. An illustrative example based on the Canadian Consumer Price Index is presented.     

The Message in Daily Exchange Rates: A Conditional-Variance Tale

Formal testing procedures confirm the presence of a unit root in the autoregressive polynomial of the univariate time series representation of daily exchange-rate data. The first differences of the logarithms of daily spot rates are approximately uncorrelated through time, and a generalized autoregressive conditional heteroscedasticity model with daily dummy variables and conditionally t-distributed errors is found to provide a good representation to the leptokurtosis and time-dependent conditional heteroscedasticity. The parameter estimates and characteristics of the models are found to be very similar for six different currencies. These apparent stylized facts carry over to weekly, fortnightly, and monthly data in which the degree of leptokurtosis and time-dependent heteroscedasticity is reduced as the length of the sampling interval increases.     

LR cointegration tests when some cointegrating relations are known

This paper considers the asymptotic analysis of the likelihood ratio (LR), cointegration (CI) rank test in vector autoregressive models (VAR) when some CI vectors are known and fixed. It is shown that the limit law is free of nuisance parameters. In the case of LR tests against the alternative of completely unrestricted CI space, the limit law can be expressed as the convolution of known distributions. This deconvolution is employed to approximate the quantiles of the distribution, without resorting to new simulations.     

ASYMPTOTIC DISTRIBUTIONS OF SEASONAL UNIT ROOT TESTS: A UNIFYING APPROACH

ABSTRACT

This paper adopts a unified approach to the derivation of the asymptotic distributions of various seasonal unit root tests. The procedures considered are those of Dickey et al. [DHF], Kunst, Hylleberg et al. [HEGY], Osborn et al. [OCSB], Ghysels et al. [GHL] and Franses. This unified approach shows that the asymptotic distributions of all these test statistics are functions of the same vector of Brownian motions. The Kunst test and the overall HEGY F-test are, indeed, equivalent both asymptotically and in finite samples, while the Franses and GHL tests are shown to have equivalent parameterizations. The OCSB and DHF test regressions are viewed as restricted forms of the Kunst-HEGY regressions, and these restrictions may have non-trivial asymptotic implications.     

他山之石 可以攻玉——法国学者沙加尔《上古汉语词根》读后

《上古汉语词根》(The Roots of Old Chinese)是法国学者沙加尔(Laurent Sagart)先生于1999年完成,并由我国学者龚群虎先生2004年译成汉文后在我国国内出版发行的关于我国上古汉语形态研究的重要著作。本文作者在文中通过对《上古汉语词根》一书的内容结构与理论方法的初步介绍和简单评析,指出了这一著作在当前和今后我国上古汉语乃至整个汉藏语系诸语言形态研究中的重要意义。     

随机系数代数方程平均实根个数的估计

考虑随机系数代数方程 F_n(w,t)= _0(w) _1(w)t … _(n-1)。(w)t~(n-1)=0,其中 _i(w)(i=0,1,…,n-1)为独立且服从标准正态分布的随机变量。令EN_F,(w)表示 F_n(w,t)的平均实根个数。本文证明了EN_F(w)<2/πln n-2/(nπ) 1.2372771。     

The virtue of courage: From historical European roots to current management studies

This article discusses the concept of courage – stemming from the ancient European traditions of this virtue – systematically analyzing 45 management studies that deepen the role of such virtue in business organizations. From the analysis, three major themes emerge: 1) the concept of courage in organizations, 2) the concept of moral courage in organizations, and 3) the concept of collective courage of organizations. Moreover, findings show that management research on the virtue of courage has progressed over the years and that – notwithstanding its strong European roots – the studies involved in the conversation are mainly not based in Europe. The contribution of this article is threefold. First, it sheds light on a still under-researched virtue, pointing out its relevance in business contexts. Second, it clearly highlights that a shift is occurring in scholars' interest, as an organizational and collective perspective of moral courage is slowly emerging. Finally, it shows that management scholars mainly embrace Aristotle's view of the virtue of courage, discarding the Christian approach introduced by Aquinas.     

罗茨转子的数字化加工装备及其工艺研究

通过将普通丝杠改造为滚珠丝杠,以及加装必要的数控电气系统,实现了普通刨床到数控刨床的改造.改造后的刨床在加工罗茨真空转子时,具有型线生成简便、修改灵活的特点,并且可以在一台刨床上完成罗茨转子的粗加工和精加工工艺.系统在Windows环境下工作,整个设备操作简单方便.     

Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests

We confirm that units root tests can exhibit substantial size distortion when breaks in mean are generated by a first-order Markov chain, but unlike previous literature, we find augmentation largely remedies this situation. However, considerable heterogeneity is evident in the size properties of the tests when faced with breaks in mean varying in duration, in number and in position within the sample. This heterogeneity will be hidden when a Markov chain is employed. For instance, when the transition probabilities generate single period outliers, rejection frequencies (RFs) rise substantially with the number of outliers, but augmentation results in approximately nominal RFs. Qualitatively similar results hold when a number of structural breaks are allocated randomly in the central section of the sample. Interestingly, very different behaviour is exposed by a design exploring the impact on the tests of two breaks imposed at a range of fixed intervals, RFs rising when break occur in the extremities of the sample, a situation unaffected by augmentation.