Monitoring correlation change in a sequence of random variables

We propose a monitoring procedure to test for the constancy of the correlation coefficient of a sequence of random variables. The idea of the method is that a historical sample is available and the goal is to monitor for changes in the correlation as new data become available. We introduce a detector which is based on the first hitting time of a CUSUM-type statistic over a suitably constructed threshold function. We derive the asymptotic distribution of the detector and show that the procedure detects a change with probability approaching unity as the length of the historical period increases. The method is illustrated by Monte Carlo experiments and the analysis of a real application with the log-returns of the Standard & Poor's 500 (S&P 500) and IBM stock assets.     

Evaluating the Effectiveness of State-Switching Time Series Models for U.S. Real Output

Two types of state-switching models for U.S. real output have been proposed: models that switch randomly between states and models that switch states deterministically, as in the threshold autoregressive model of Potter. These models have been justified primarily on how well they fit the sample data, yielding statistically significant estimates of the model coefficients. Here we propose a new approach to the evaluation of an estimated nonlinear time series model that provides a complement to existing methods based on in-sample fit or on out-of-sample forecasting. In this new approach, a battery of distinct nonlinearity tests is applied to the sample data, resulting in a set of p-values for rejecting the null hypothesis of a linear generating mechanism. This set of p-values is taken to be a “stylized fact” characterizing the nonlinear serial dependence in the generating mechanism of the time series. The effectiveness of an estimated nonlinear model for this time series is then evaluated in terms of the congruence between this stylized fact and a set of nonlinearity test results obtained from data simulated using the estimated model. In particular, we derive a portmanteau statistic based on this set of nonlinearity test p-values that allows us to test the proposition that a given model adequately captures the nonlinear serial dependence in the sample data. We apply the method to several estimated state-switching models of U.S. real output.     

随机效应半参数logit模型的惩罚似然估计研究

 在颇具争议的收入差距和健康关系研究中,为了降低可能存在的模型设定和遗漏变量偏误,本文提出了随机效应半参数logit模型,其中非参数的设定还可用于数据的初探性分析。随后本文提出了模型非参数和参数部分的估计方法。这里涉及的难点是随机效应的存在导致似然函数中的积分没有解析式,而非参数的存在更加大了估计难度。本文基于惩罚样条非参数估计方法和四阶Laplace近似方法建立了惩罚对数似然函数,其最大化采用了Newton_Raphson近似方法。文章还建立了惩罚样条中重要光滑参数的选取准则。模型在收入差距和健康实例中的估计结果表明数据支持收入差距弱假说,且非参数估计结果表明其具有U型形式,与实例估计结果的比较指出本文提出的估计方法是较准确的。     

中国货币政策产业非均衡效应实证研究

 本文采集中国1999—2011年季度数据,构建由不同产业GDP、外汇储备、CPI、不同货币政策中介目标组成的四元SVAR模型系列,测算出不同货币政策冲击对不同产业的具体效应。结果发现：（1）综合渠道冲击的作用力度最大,时滞最短;信贷渠道冲击的作用力度和时滞适中;利率渠道冲击的作用力度最小,时滞最长。（2）在信贷传导渠道乃至综合传导渠道中,第二产业的反应力度最大,第一产业次之,第三产业最小;而在利率传导渠道中,第二产业的反应力度最大,第三产业次之,第一产业最小。（3）不同产业对不同货币政策冲击反应时滞的长短差别较为一致。第三产业最短,第二产业次之,第一产业最长。上述结论对相关政策操作和管理具有重要的启发意义。     

Using the Reversible Jump MCMC Procedure for Identifying and Estimating Univariate TAR Models

One way that has been used for identifying and estimating threshold autoregressive (TAR) models for nonlinear time series follows the Markov chain Monte Carlo (MCMC) approach via the Gibbs sampler. This route has major computational difficulties, specifically, in getting convergence to the parameter distributions. In this article, a new procedure for identifying a TAR model and for estimating its parameters is developed by following the reversible jump MCMC procedure. It is found that the proposed procedure conveys a Markov chain with convergence properties.     

应对反倾销对策研究

中国连续16年成为世贸组织成员方反倾销行动最主要的目标国。反倾销的直接后果就是进口国通过征收反倾销税来削弱涉案产品的价格竞争力,继而产生出口市场转移效应和反倾销调查连锁效应。企业、行业协会和政府应三方联动,共同应对反倾销。企业应采取多元化出口和对外直接投资的策略;行业协议应建立长效的贸易摩擦预警体系;政府应积极参与规则的制定和修改;建立完善的信息披露制度。     

当代中国人的马基雅弗利主义:缘由、影响及对策

马基雅弗利主义是西方的厚黑学,在当代中国经济转轨、社会转型的大背景下,一度泛滥,马基雅弗利主义的盛行是道德钳制、媒体误导和制度失范共同作用的结果。马基雅弗利主义无助于事业成功,对于个人和社会都不是好事。要控制马基雅弗利主义,我们应当在宏观层面大力加强制度建设;在中观层面要匡正厚黑流弊,营造良好的社会氛围;在微观层面要完全肯定和保护个人正当利益与需求。     

口语测试对四、六级分层教学的积极反拨效应

笔者通过对四、六级分层教学提高班的测试模式调查发现,口语测试对提高班的英语教学有积极的反拨效应,主要表现在以下几方面：1）学生更重视口语练习;2）课堂上口语练习的形式、内容更丰富;3）口语训练观念的改变;4）学生课外口语练习主动性提高;5）口语测试结果为自我评价提供了依据。     

城市化的城乡差别效应和城乡协调发展

城市化作为人口和地域的乡 -城转化过程 ,必然会对城市和乡村两个方面产生各种差别效应。深入研究这种差别效应 ,对统筹城乡发展 ,具有重要意义。本文主要利用 2 0 0 0年人口普查省内迁移有关数据 ,分析乡 -城迁移体现于收入水平、年龄结构、生育水平、受教育程度、劳动就业、人口分布等特征的城乡差别效应。认为全面建设小康社会 ,必须充分注意城市化的差别效应对城乡协调发展的影响 ,实施城乡协调型的城市化战略 ,走城市化推动型的城乡协调发展道路。