Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

A number of recent papers have focused on the problem of testing for a unit root in the case where the driving shocks may be unconditionally heteroskedastic. These papers have, however, taken the lag length in the unit root test regression to be a deterministic function of the sample size, rather than data-determined, the latter being standard empirical practice. We investigate the finite sample impact of unconditional heteroskedasticity on conventional data-dependent lag selection methods in augmented Dickey–Fuller type regressions and propose new lag selection criteria which allow for unconditional heteroskedasticity. Standard lag selection methods are shown to have a tendency to over-fit the lag order under heteroskedasticity, resulting in significant power losses in the (wild bootstrap implementation of the) augmented Dickey–Fuller tests under the alternative. The proposed new lag selection criteria are shown to avoid this problem yet deliver unit root tests with almost identical finite sample properties as the corresponding tests based on conventional lag selection when the shocks are homoskedastic.     

我国近现代译论的演进与发展

本文针对我国近现代以来译学界在译论上的不同思潮进行了梳理，指出现已演进成各具特色，相互促进的四大译论流派。     

Forecast mean squared error reductionin the VAR(1) process

When VAR models are used to predict future outcomes, the forecast error can be substantial. Through imposition of restrictions on the off-diagonal elements of the parameter matrix, however, the information in the process may be condensed to the marginal processes. In particular, if the cross-autocorrelations in the system are small and only a small sample is available, then such a restriction may reduce the forecast mean squared error considerably.

In this paper, we propose three different techniques to decide whether to use the restricted or unrestricted model, i.e. the full VAR(1) model or only marginal AR(1) models. In a Monte Carlo simulation study, all three proposed tests have been found to behave quite differently depending on the parameter setting. One of the proposed tests stands out, however, as the preferred one and is shown to outperform other estimators for a wide range of parameter settings.     

Relevance of Risk Predictions Derived from a Chronic Species Sensitivity Distribution with Cadmium to Aquatic Populations and Ecosystems

Criteria to protect aquatic life are intended to protect diverse ecosystems, but in practice are usually developed from compilations of single‐species toxicity tests using standard test organisms that were tested in laboratory environments. Species sensitivity distributions (SSDs) developed from these compilations are extrapolated to set aquatic ecosystem criteria. The protectiveness of the approach was critically reviewed with a chronic SSD for cadmium comprising 27 species within 21 genera. Within the data set, one genus had lower cadmium effects concentrations than the SSD fifth percentile‐based criterion, so in theory this genus, the amphipod Hyalella, could be lost or at least allowed some level of harm by this criteria approach. However, population matrix modeling projected only slightly increased extinction risks for a temperate Hyalella population under scenarios similar to the SSD fifth percentile criterion. The criterion value was further compared to cadmium effects concentrations in ecosystem experiments and field studies. Generally, few adverse effects were inferred from ecosystem experiments at concentrations less than the SSD fifth percentile criterion. Exceptions were behavioral impairments in simplified food web studies. No adverse effects were apparent in field studies under conditions that seldom exceeded the criterion. At concentrations greater than the SSD fifth percentile, the magnitudes of adverse effects in the field studies were roughly proportional to the laboratory‐based fraction of species with adverse effects in the SSD. Overall, the modeling and field validation comparisons of the chronic criterion values generally supported the relevance and protectiveness of the SSD fifth percentile approach with cadmium.     

Model selection for Lévy measures in diffusion processes with jumps from discrete observations

We deal with parametric inference and selection problems for jump components in discretely observed diffusion processes with jumps. We prepare several competing parametric models for the Lévy measure that might be misspecified, and select the best model from the aspect of information criteria. We construct quasi-information criteria (QIC), which are approximations of the information criteria based on continuous observations.     

Ban Estimation for Chi-Square Test Criteria in Categorical Data

This expository paper describes some recent work that further develops the theory of BAN estimators and the related chi-scuare test statistics.The extensions are in several directions: (a) the class of regular estimators is broadened by permitting extraneous random elements; (b) more general models are permitted under the constraint equations specification; and (c) BAN estimators are defined for general models combining features of two types of specification.In particular, WLS estimators are shown to be BAN.     

社会科学理论体系的基本结构、评价标准与建构方法

社会科学理论体系是正确反映社会客体本质和规律的理性知识,它是由基本原理、经验知识和逻辑方法构成的整体系统,其基本评价标准包括客观实证、逻辑自洽、构造简单和理论预见四个方面。建立理论体系是社会科学基础研究的直接目的,为此所运用的最一般的建构方法主要是历史与逻辑相统一的方法、由抽象上升到具体的方法、公理化方法、原型移植方法和理想化方法等。     

中国户籍制度改革--基于价值层面的分析

从中国户籍制度的变迁轨迹入手,对其"以国家为主体和目的"的价值取向弊端和"方便管理者"的价值评价偏差进行了分析,提出未来中国户籍制度改革的核心是将价值观念转变到国家利益和法治原则下的"以人为主体和目的"上来.     

Prospect Theory and Limit Lines

Risk acceptance criteria in the form of limit lines are investigated in the context of prospect theory. This theory departs from utility theory in several respects, an important one being the use of weights other than probabilities in the evaluation of the expected impact of uncertain outcomes. Hypothetical functions reflecting certain attitudes toward consequences and rare events are developed and combined to produce several limit lines.     

关于中国古典戏曲中悲剧标准的探讨

中国古典戏曲中究竟有没有悲剧?这是一个争论了将近一个世纪的问题。一百年来,关于这个问题的观点差异较大,难有定论,其主要原因是判断悲剧的标准难于确定。"悲剧"作为一个美学范畴,有它的本质特征和标准。我们在对有关悲剧理论进行史的考察,对一些公认的悲剧作品进行分析后,才能抽绎出悲剧的本质特征。悲剧精神从美学本质上对悲剧进行定位,可作为判断悲剧的一个根本标准。