THE CHOICE BETWEEN SETS OF REGRESSORS

This paper examines the choice of critical values for testing both non-sequential and nested sequential sets of constraints in the standard linear regression model. Modest increases in (e.g.) t-ratio critical values relative to their one-off values are often sufficient to maintain proper size. A Bayesian decision-theoretic approach, highlighted by the Schwarz (1978) criterion, provides a framework for deriving consistency and asymptotic local power properties of both forms of testing (data mining) algorithms.     

学术论文的数量特征与文本趋势

结合文献计量与文本挖掘方法,以《统计研究》自1984-2013三十年载文为主要研究样本,探讨学术论文的数量特征与文本趋势。研究结果表明,（1）统计研究领域与知识结构的变迁大致经历了经济统计、实证方法与经济统计、模型化和经验数据实证方法等几个主题;（2）无论是作者、机构还是基金资助,发文量皆基本符合“二八原则”;（3）并非近十年左右,而是近三年的论文更频繁地被引;（4）声誉是一个长期概念,因此,作为测度学术声誉和影响力的重要指标,影响因子的趋势相比于某一年份的实际值更为紧要。     

空间外溢视角下的协同创新与区域产业升级

本文从空间维度廓清了协同创新对区域产业升级的空间外溢机制和外溢效应边界形成机理。采用中国分省区面板数据,利用地理距离和社会经济特征多种空间权重矩阵设定的空间杜宾(Durbin)模型实证检验了协同创新对产业升级的影响。结果表明：协同创新对产业升级既有区域内溢出效应,也有区域间溢出效应。空间外溢效应在很大程度上通过创新要素区际流动来实现,且呈现出地理距离衰减特征。进一步考虑地理区位特征差异发现：空间外溢对产业升级的带动效应在中部地区最强,西部地区次之,东部地区最弱。本研究结果有助于全面认识协同创新作用机制,对推动区域间良性互动,实现产业升级发展具有重要现实意义。     

评价的共识与共识评价的机制：基于子群的视角

本文针对群组评价中,忽视群组共识度高低程度而强行集成、忽视不同子群的潜在不可比而强行比较这两类问题,以共识度为主线,讨论子群评价的共识度测算方法、子群分类与构建、子群分歧的分解与识别等问题,并在此基础上,对如何提升群组评价共识程度的评价机制设计进行了思考,分别从事前、事后的角度给出了“信息反馈评价机制”、“加权修正评价机制”和“链式修正评价机制”的设计思路,为实现子群评价活动的合理开展提供了基本的研究框架。     

Adaptive testing in arch models

Specification tests for conditional heteroskedasticity that are derived under the assumption that the density of the innovation is Gaussian may not be powerful in light of the recent empirical results that the density is not Gaussian. We obtain specification tests for conditional heteroskedasticity under the assumption that the innovation density is a member of a general family of densities. Our test statistics maximize asymptotic local power and weighted average power criteria for the general family of densities. We establish both first-order and second-order theory for our procedures. Simulations indicate that asymptotic power gains are achievable in finite samples.     

人民币与国外主要货币的尾部相依和联动

文章选择1994年1月到2014年11月的人民币、美元、英镑、日元、欧元和港币等六种货币实际有效汇率的月度数据,首先采用AR-GARCH-t过程对收益率进行过滤,然后运用规则藤Copula函数对标准化残差序列进行建模,探讨人民币“第一次汇改”前后六种汇率之间的波动溢出效应,研究汇率之间的尾部相依和联动现象。研究发现：“第一次汇改”前后,人民币与其它五种货币实际有效汇率之间的相依结构发生了变化,且联动中的主导货币也由美元变为以人民币,但仍可用同一类型的规则藤Copula结构来描述;人民币与其它货币之间都存在对称的或非对称的尾部相依,其中人民币与日元之间存在对称的负尾部相依,而与欧元之间则存在负的上尾部相依。“第一次汇改”后,人民币与美元实际有效汇率之间正的尾部相依程度有所增加,且相依性最大,而港币与美元之间正的尾部相依性有较大幅度的下降。此外,人民币与日元之间负的尾部相依关系也有较大幅度的下降。     

Geostatistical Modelling Using Non‐Gaussian Matérn Fields

This work provides a class of non‐Gaussian spatial Matérn fields which are useful for analysing geostatistical data. The models are constructed as solutions to stochastic partial differential equations driven by generalized hyperbolic noise and are incorporated in a standard geostatistical setting with irregularly spaced observations, measurement errors and covariates. A maximum likelihood estimation technique based on the Monte Carlo expectation‐maximization algorithm is presented, and a Monte Carlo method for spatial prediction is derived. Finally, an application to precipitation data is presented, and the performance of the non‐Gaussian models is compared with standard Gaussian and transformed Gaussian models through cross‐validation.     

大数据时代统计学重构研究中的几个热点问题

随着新兴科学技术的迅猛发展,我们目前正面临大数据时代。大数据是“未来的新兴石油”,它必将对未来的科技与社会经济的发展产生深远影响。认识大数据这个崭新的概念是一个逐步深化的过程,有必要将对其研究上升为国家意志,因为大数据将深刻影响人类的决策模式和社会经济的运行模式,将发展成为一个极具潜力新兴产业,最终成为解决中国社会经济、政治转型期的重要手段。 迄今为止,能借助的国内外文献不多,虽然国内很多研究工作者希望尽早进入相关的大数据研究领域,却无从下手。为此,本文前瞻性地介绍当今大数据统计学理论研究中的几个热点问题,以期能有更多的他人后续研究。     

互联网技能会带来农村居民的消费升级吗?——基于CSS2015数据的实证分析

互联网正逐步与“三农”领域相互融合,重塑着农村居民的消费行为观念。为此,本文结合CSS2015数据,系统探究互联网与农村居民消费升级的关系。研究发现:①互联网技能会显著提高平均消费倾向与文娱消费倾向,降低恩格尔系数,在运用倾向得分匹配法纠正选择性偏误,运用处理效应模型和两阶段最小二乘法控制潜在的内生性偏误后,研究结论仍然稳健,即互联网技能可以释放农村居民的消费潜力、优化农村居民的消费结构,推动农村消费升级;②随着分位点提高,互联网技能对农村居民平均消费倾向的影响呈现倒U 型态势,对恩格尔系数的影响呈现U 型态势,相比之下,互联网技能只对高分位点文娱消费倾向有显著正向促进作用;③互联网技能会增加中部、西部及东北地区农村居民消费需求,优化东部地区的消费结构。以上结论有助于认清互联网对农村居民消费行为的深层影响。     

Testing for Equivalence of Means under Heteroskedasticity by an Approximate Solution of a Partial Differential Equation of Infinite Order

Abstract. A test for two‐sided equivalence of means has been developed under the assumption of normally distributed populations with heterogeneous variances. Its rejection region is limited by functions ± h that depend on the empirical variances. h is stated implicitly by a partial differential equation, an exact solution of which would provide a test that is exactly similar at the boundary of the null hypothesis of non‐equivalence. h is approximated by Taylor series up to third powers in the reciprocal number of degrees of freedom. This suffices to obtain error probabilities of the first kind that are very close to a nominal level of α = 0 . 05 at the boundary of the null hypothesis. For more than 10 data points in each group, they range between 0.04995 and 0.05005, and are thus much more precise than those obtained by other authors.     

关于修订全国科技进步监测指标体系的设想

本文针对全国科技进步统计监测指标体系,提出了进一步修订建议,如：增加教育投入强度和教育产出的指标,修改反映资本使用效率的指标,以及完善反映环境保护、社会生活信息化水平的指标等。     

An introduction to hypergeometric functions for economists

Hypergeometric functions are a generalization of exponential functions. They are explicit, computable functions that can also be manipulated analytically. The functions and series we use in quantitative economics are all special cases of them. In this paper, a unified approach to hypergeometric functions is given. As a result, some potentially useful general applications emerge in a number of areas such as in econometrics and economic theory. The greatest benefit from using these functions stems from the fact that they provide parsimonious explicit (and interpretable) solutions to a wide range of general problems.     

我国居民消费季节调整和节日效应测算

Bayes季节调整方法因有坚实的理论基础,调整效果优于其它方法等,目前正日益受到广泛的重视与应用。本文将Bayes季节调整模型引入国内,同时在模型中补充贸易日和闰年的影响。用R软件的Timsac包中的Bayesian程序实现对社会消费品零售额的季节调整和环比增长率测算,表明长期我国社会消费品零售总额具有稳定的指数增长趋势和U型季节特征,得到的月环比增长率反应灵敏。通过季节指数抛物线拟合,得到“五一”和“十一”节日经济效应和比例。总体上“五一”的节日效应显著,“十一”仍有正面效应,但影响不显著。     

Combined multiple testing by censored empirical likelihood

We propose a new procedure for combining multiple tests in samples of right-censored observations. The new method is based on multiple constrained censored empirical likelihood where the constraints are formulated as linear functionals of the cumulative hazard functions. We prove a version of Wilks’ theorem for the multiple constrained censored empirical likelihood ratio, which provides a simple reference distribution for the test statistic of our proposed method. A useful application of the proposed method is, for example, examining the survival experience of different populations by combining different weighted log-rank tests. Real data examples are given using the log-rank and Gehan-Wilcoxon tests. In a simulation study of two sample survival data, we compare the proposed method of combining tests to previously developed procedures. The results demonstrate that, in addition to its computational simplicity, the combined test performs comparably to, and in some situations more reliably than previously developed procedures. Statistical software is available in the R package ‘emplik’.     

A skew factor analysis model based on the normal mean–variance mixture of Birnbaum–Saunders distribution

This paper presents a robust extension of factor analysis model by assuming the multivariate normal mean–variance mixture of Birnbaum–Saunders distribution for the unobservable factors and errors. A computationally analytical EM-based algorithm is developed to find maximum likelihood estimates of the parameters. The asymptotic standard errors of parameter estimates are derived under an information-based paradigm. Numerical merits of the proposed methodology are illustrated using both simulated and real datasets.     

Bayesian inference: Weibull Poisson model for censored data using the expectation–maximization algorithm and its application to bladder cancer data

This article focuses on the parameter estimation of experimental items/units from Weibull Poisson Model under progressive type-II censoring with binomial removals (PT-II CBRs). The expectation–maximization algorithm has been used for maximum likelihood estimators (MLEs). The MLEs and Bayes estimators have been obtained under symmetric and asymmetric loss functions. Performance of competitive estimators have been studied through their simulated risks. One sample Bayes prediction and expected experiment time have also been studied. Furthermore, through real bladder cancer data set, suitability of considered model and proposed methodology have been illustrated.     

The tube method for the moment index in projection pursuit

The projection pursuit index defined by a sum of squares of the third and the fourth sample cumulants is known as the moment index proposed by Jones and Sibson [1987. What is projection pursuit? J. Roy. Statist. Soc. Ser. A 150, 1–36]. The limiting distribution of the maximum of the moment index under the null hypothesis that the population is multivariate normal is shown to be the maximum of a Gaussian random field with a finite Karhunen–Loève expansion. An approximate formula for tail probability of the maximum, which corresponds to the p-value, is given by virtue of the tube method through determining Weyl's invariants of all degrees and the critical radius of the index manifold of the Gaussian random field.     

A new flexible generalized family for constructing many families of distributions

We propose a new flexible generalized family (NFGF) for constructing many families of distributions. The importance of the NFGF is that any baseline distribution can be chosen and it does not involve any additional parameters. Some useful statistical properties of the NFGF are determined such as a linear representation for the family density, analytical shapes of the density and hazard rate, random variable generation, moments and generating function. Further, the structural properties of a special model named the new flexible Kumaraswamy (NFKw) distribution, are investigated, and the model parameters are estimated by maximum-likelihood method. A simulation study is carried out to assess the performance of the estimates. The usefulness of the NFKw model is proved empirically by means of three real-life data sets. In fact, the two-parameter NFKw model performs better than three-parameter transmuted-Kumaraswamy, three-parameter exponentiated-Kumaraswamy and the well-known two-parameter Kumaraswamy models.     

市场结构、产权结构与R&D————中国制造业的实证分析

本文运用中国四位数制造产业数据实证检验了企业规模、市场力量和产权结构对R＆D投入的影响。研究发现,市场集中与R＆D投入之间不存在相关性,但企业规模对R＆D投入有显著的促进作用,从而为熊彼特假说提供了部分支持证据。研究还发现,不同性质的产权结构在R＆D投入上具有不同的激励效果,界定清晰的产权结构有利于增加R＆D投入。     

Laws of iterated logarithm for quasi-maximum likelihood estimator in generalized linear model

For the case that the expectation of the response variable Y   is correctly specified in the generalized linear model (GLM), under some regular assumptions, we obtain and prove the law of the iterated logarithm and Chung type law of the iterated logarithm for the quasi-maximum likelihood estimator (QMLE) _βn${\beta }_n$ in this model.