Neglected Method of Separating Demand and Supply in Time Series Regression

This article argues that in many markets, quantity is demand determined in the short run but price is supply determined, and that the dynamic restrictions between price and quantity implied by the model have been widely neglected in empirical research. Two examples illustrate our point—the demand and supply relationships between inflation and unemployment and between the terms of trade and the trade balance. In both, specifying quantity as a function of lagged prices in demand and price as a function of lagged quantities in supply (rather than concentrating on exogenous shift determinants) is sufficient to separate demand and supply.     

具有区间灰色特征的多级供应链网络优化设计模型

考虑终端市场需求量和产品单价的区间灰色特征,以及需求的不确定性,研究战略层次上的供应链网络设计及其鲁棒优化问题,当供应链结构的参数发生变动时,供应链整体结构和性能保持鲁棒性。针对传统求解方法的局限性,文章通过引入控制变量,建立了具有灰色特征的供应链网络结构设计模型及其鲁棒优化模型,为验证模型的有效性和可行性,以生鲜农产品为实例分析对象,通过实地调查,运用混合整数非线性规划方法,使用Matlab7.0计算工具,研究了4种不同情景下模型的灵敏度,得出5种不同条件供应链网络的设计结构及整体收益,对比分析得出结论:运用混合整数线性规划方法,能有效解决具有区间灰色特征的供应链网络设计及其鲁棒优化问题;不同条件下供应链网络结构不同,且供应链整体收益值、总成本值和利润值也不相同;只要条件确定,供应链网络结构也是确定的,且该结构对问题的解具有鲁棒特征;控制变量的取值大小反映了决策者的决策特征。     

Selection of the splined variables and convergence rates in a partial spline model

A method based on the principle of unbiased risk estimation is used to select the splined variables in an exploratory partial spline model proposed by Wahba (1985). The probability of correct selection based on the proposed procedure is discussed under regularity conditions. Furthermore, the resulting estimate of the regression function achieves the optimal rates of convergence over a general class of smooth regression functions (Stone 1982) when its underlying smoothness condition is not known.     

中国货币供应适度区间的统计测度

随着市场经济的发展 ,经济货币化、货币商品化、资本货币化已成为现代经济发展的基本特征。货币已深入社会各个领域 ,人们日常生活离不开货币 ,社会经济发展需要货币。货币供应问题也越来越受到人们的关注。因为如果货币供应量过少 ,会引起商品供过于求 ,价格下降 ,产品积压 ,流通不畅 ,投资减少 ,经济衰退 :相反 ,如果货币供应量过多 ,会导致通货膨胀 ,物价持续上扬 ,货币迅速贬值 ,严重时还会引起人们纷纷挤兑存款 ,抢购商品 ,直至爆发金融危机 ,工厂、银行纷纷倒闭 ,债券、股票等金融商品变成废纸 ,失业人数剧增 ,人们生活水平明显下降。…     

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.     

货币需求、投机性交易与中国宏观经济波动

基于含实体与虚拟经济对货币供给影响机制的动态随机一般均衡(DSGE)模型,探析中国货币供给是内生的抑或是外生的,并重点研究了货币需求冲击和投机性冲击对整个宏观经济稳定的影响。研究结果表明:中国货币供给具有内生性;货币需求冲击和投机性冲击对货币供给波动有较大影响,进而对通货膨胀产生显著作用,因此加强公众预期的引导和管理,从而减弱货币需求冲击和投机性冲击的效应,对于中国防范和遏制通胀具有重要意义。     

The identification of distribution form II

The concept of distribution form developed in Brenner and Fraser (1980) is modified and extended to cover the more general context involving a class of distribution for form. This extension underlies the choice of a particular structural model for the three-parameter Weibull in Evans, Fraser and Massam (1982). The extended definition of distribution form is based on the requirement of objectivity in modelling (Fraser 1979). Three characterizations of this objectivity each require that the class of response presentations have closure under composition and thus be expressible in terms of a group. In particular, this implies that empirical support would not observationally be available for that generalization of a structural model called astructured model (Fraser 1972; the term functional model has been used inappropriately by Bunke, 1975 and Dawid and Stone, 1982).     

Quantification of model risk that is caused by model misspecification

In this paper, we suggest a technique to quantify model risk, particularly model misspecification for binary response regression problems found in financial risk management, such as in credit risk modelling. We choose the probability of default model as one instance of many other credit risk models that may be misspecified in a financial institution. By way of illustrating the model misspecification for probability of default, we carry out quantification of two specific statistical predictive response techniques, namely the binary logistic regression and complementary log–log. The maximum likelihood estimation technique is employed for parameter estimation. The statistical inference, precisely the goodness of fit and model performance measurements, are assessed. Using the simulation dataset and Taiwan credit card default dataset, our finding reveals that with the same sample size and very small simulation iterations, the two techniques produce similar goodness-of-fit results but completely different performance measures. However, when the iterations increase, the binary logistic regression technique for balanced dataset reveals prominent goodness of fit and performance measures as opposed to the complementary log–log technique for both simulated and real datasets.     

茶叶供应者质量安全认知与行为分析——基于浙江500位茶叶供应者的问卷调查

茶叶质量安全问题制约了中国茶叶产业的可持续发展。通过构建茶叶供应质量控制主要环节结构体系,对各环节供应者质量安全认知与质量控制行为考察,利用TOPSIS模型对茶叶供应质量控制关键点进行分析,归纳出当下茶叶供应链质量控制关键环节、重要环节和普通环节。研究表明:茶叶种植者、加工者质量安全基本认知程度较低;供应者在产前环节、种植管理环节、加工环节、储运销售环节中的部分质量控制行为薄弱。茶叶供应者素质良莠不齐是质量安全认知层次不同的主要原因,因此,需对不同供应者有针对性地进行质量安全认知强化。     

DGM（1，1）模型的改进与高校毕业生的供求预测

一、序言高等教育人才总需求是指各部门、单位和厂商等对高等学校应届毕业生的总体需求。近年来我国大学毕业生就业问题凸现,引起了社会各方面的广泛关注,2005年大学毕业生的就业问题更为突出。事实上,社会对大学毕业生的需求所反映出的主要问题是高等教育办学规模和专业结构的     

Coming to TERMS with Electronic Resource Management: An Interview with Jill Emery,Graham Stone,and Peter McCracken

ABSTRACT

In this column of Serial Conversations, Elan May Rinck interviews Jill Emery, Graham Stone, and Peter McCracken, the editors of TERMS (Techniques in E-Resource Management) 2.0. Emery, Stone, and McCracken discuss developing best practices for electronic resource management and what lies ahead for TERMS 2.0.     

On a log-symmetric quantile tobit model applied to female labor supply data

The study of female labor supply has been a topic of relevance in the economic literature. Generally, the data are left-censored and the classic tobit model has been extensively used in the modeling strategy. This model, however, assumes normality for the error distribution and is not recommended for data with positive skewness, heavy-tails and heteroscedasticity, as is the case of female labor supply data. Moreover, it is well-known that the quantile regression approach accounts for the influences of different quantiles in the estimated coefficients. We take all these features into account and propose a parametric quantile tobit regression model based on quantile log-symmetric distributions. The proposed method allows one to model data with positive skewness (which is not suitable for the classic tobit model), to study the influence of the quantiles of interest, and to account for heteroscedasticity. The model parameters are estimated by maximum likelihood and a Monte Carlo experiment is performed to evaluate alternative estimators. The new method is applied to two distinct female labor supply data sets. The results indicate that the log-symmetric quantile tobit model fits better the data than the classic tobit model.     

Nonparametric M-regression with free knot splines

Many problems of practical interest can be formulated as the nonparametric estimation of a certain function such as a regression function, logistic or other generalized regression function, density function, conditional density function, hazard function, or conditional hazard function. Extended linear modeling provides a convenient theoretical framework for using polynomial splines and their selected tensor products in such function estimation problems and especially for obtaining rates of convergence of the resulting estimates in a unified manner. For a long time the theoretical results were restricted to fixed knot splines and to log-likelihood functions that were twice continuously differentiable. Recently, Stone and Huang extended the theory to handle free knot splines. In the present paper, the theory is further extended to handle contexts in which the log-likelihood function may not be differentiable. Specifically, we establish rates of convergence for estimation based on free knot splines in the context of nonparametric regression corresponding to M-estimates, which includes least absolute deviations (LAD) regression, quantile regression, and robust regression as special cases.     

Penalized triograms: total variation regularization for bivariate smoothing

Summary.  Hansen, Kooperberg and Sardy introduced a family of continuous, piecewise linear functions defined over adaptively selected triangulations of the plane as a general approach to statistical modelling of bivariate densities and regression and hazard functions. These triograms enjoy a natural affine equivariance that offers distinct advantages over competing tensor product methods that are more commonly used in statistical applications. Triograms employ basis functions consisting of linear 'tent functions' defined with respect to a triangulation of a given planar domain. As in knot selection for univariate splines, Hansen and colleagues adopted the regression spline approach of Stone. Vertices of the triangulation are introduced or removed sequentially in an effort to balance fidelity to the data and parsimony. We explore a smoothing spline variant of the triogram model based on a roughness penalty adapted to the piecewise linear structure of the triogram model. We show that the roughness penalty proposed may be interpreted as a total variation penalty on the gradient of the fitted function. The methods are illustrated with real and artificial examples, including an application to estimated quantile surfaces of land value in the Chicago metropolitan area.     

Mervyn Stone

Why do governments treat their scientific advisers so badly? Mervyn Stone believes he knows – and he can point to the fiascos that result when research is abused. In the wake of the sacking of a leading scientific adviser to the government, he speaks to Julian Champkin.     

劳动力外出是否弱化了村级自筹公共投资

农民自筹资金或通过“集体劳动”的制度外公共产品供给方式在农村公共产品供给体系中一直充当重要角色,但农村劳动力大规模持续外出给这一模式带来了一定冲击。基于中国城乡劳动力流动调查数据,在引入工具变量法解决内生性问题后,文章检验了劳动力外出对村级自筹公共投资的影响。结果表明,劳动力外出对村级自筹公共投资产生显著负效应,采用面板估计、公共投资项目数和分类公共投资规模进行的稳健性检验也进一步支持了这一结论。而强化财政支持力度和鼓励公共产品的制度外供给可能是未来政策创新的重要方向。     

A Generalized View on Continuum Regression

ABSTRACT. We generalize the relationship between continuum regression (Stone & Brooks, 1990) and ridge regression, by showing that any optimization principle will yield a regressor proportional to a ridge regressor, provided only that the principle implies maximizing a function of the regressor's sample correlation coefficient and its sample variance. This relationship shows that continuum regression as defined via ridge regression ("least squares ridge regression") is a more generally valid methodology than previously realized, and also opens up for alternative choices of its second and subsequent factors.     

Estimation and identification considerations for the multiconsequence intervention model

A General Multiconsequence Intervention Model class that describes the simultaneous occurrence of a change in the process mean and covariance structure is introduced. When the covariance change is negligible, this model class reduces to intervention models described by Box and Tiao (1975). Maximum Likelihood Estimators for the parameters of the multiconsequence model class are developed for various important modeling situations that result from different a priori information about the form of the mean shift function form and the model parameters. As a consequence of these estimation results, an identification procedure for determining an appropriate dynamic mean shift form is suggested. The necessary hypothesis tests and corresponding confidence intervals.     

Modelling and research on manufacturer’s capacity of remanufacturing and recycling in closed-loop supply chain

This paper introduces and analyses the present situation of the electronic waste recycling at home and abroad. Involving manufacturers in the recycling process of supply chain as the dominant party and establishing the closed-loop supply chain system structure model of the waste electronic products recycling, the effects of remanufacturing capacity and recycling coefficient on the closed-loop supply chain recycling network are analysed by using system dynamics method. The simulation results show that, compared with the traditional supply chain, the total revenue of the supply chain under the recycling mode dominated by manufacturers has improved, that the increase of the remanufacturing capacity has promoted the growth of the electronic product's sales rate, which reaches a equilibrium when remanufacturing capacity is set as 0.36, and that the recycling efficiency of e-waste has improved significantly as the e-waste recycling coefficient constantly increased.     

我国货币供应与经济增长及物价水平关系研究

 本文采用协整、向量误差模型以及脉冲响应和方差分解的方法对中国货币供应、物价水平与经济增长的关系进行实证研究。研究表明,物价水平在长期中对经济增长的负影响明显,在短期内,也存在负面影响,但影响方向不明显;短期内物价水平与货币供应量之间相互影响,互相促进。货币供应对经济增长的影响具有促进效应,长期内货币非中性。此外,向量误差模型也表明经济增长、货币供应和物价水平都受到自身滞后期的影响,经济发展具有长期且趋于稳定的特性。