Non parametric portmanteau tests for detecting non linearities in high dimensions

ABSTRACT

We propose two non parametric portmanteau test statistics for serial dependence in high dimensions using the correlation integral. One test depends on a cutoff threshold value, while the other test is freed of this dependence. Although these tests may each be viewed as variants of the classical Brock, Dechert, and Scheinkman (BDS) test statistic, they avoid some of the major weaknesses of this test. We establish consistency and asymptotic normality of both portmanteau tests. Using Monte Carlo simulations, we investigate the small sample properties of the tests for a variety of data generating processes with normally and uniformly distributed innovations. We show that asymptotic theory provides accurate inference in finite samples and for relatively high dimensions. This is followed by a power comparison with the BDS test, and with several rank-based extensions of the BDS tests that have recently been proposed in the literature. Two real data examples are provided to illustrate the use of the test procedure.     

蒙古语标准音四类基本句式语调比较研究

本文利用石锋教授提出的语调格局思路和语调起伏度的研究方法,在对蒙古语标准音自然焦点陈述句、祈使句、疑问句和感叹句的语调及其起伏度进行系统地定量和定性分析的基础上,探讨了用语句调域和语句内调群调域起伏度区别蒙古语四类基本句式的方法。结果表明,无论是从语句音高曲线的变化,还是从语调曲线的起伏度以及语句调域和调群调域的宽窄变化,都可以观察到不同语气和不同发音人之间的细微差别。     

打造白鹅潭中央商务区，促进现代服务产业发展

广州白鹅潭地区以白鹅潭经济圈和十三行商圈为核心载体,是广州实施城市发展“西联”及“中调”的战略重要地区。要加强城区建设管理,改善城区面貌,建设宜居城区,促进现代服务业发展,把白鹅潭地区打造成广佛之心,成为辐射珠三角、影响华南的广佛生态型高端中央商务区。     

中国城市居民的信任格局及社会资本影响——以广州为例

采用2009年中国大城市社会网与求职调查中的广州数据,把分析单位由通常的受访对象转换成受访对象—信任题项,运用定序Logistic回归模型分析信任的格局,发现个体对自然人的信任和对制度的信任均存在等级差异;个体对自然人的信任程度要低于对制度的信任。同时,拜年网社会资本对家人信任程度有正向作用,饭局网社会资本则更可能对制度信任产生负向影响,而职业网社会资本对制度信任有正向作用。     

内部治理、内部控制与债务契约治理——基于A股上市公司的经验证据

本文以A股上市公司为研究样本,考察了我国债务融资契约的治理效应.实证结果表明,目前我国上市公司的债务治理效应遭到严重扭曲,债务融资不能很好地发挥激励约束作用;本文还发现,在内部治理的各因素中,最终控制人性质、股权集中度、经理人激励程度对债务治理效应的发挥有显著的影响,董事会独立性与勤勉程度、监事会监督力度对债务治理效应发挥的影响不显著;内部控制对债务治理效应发挥的作用非常有限.根据本文的实证结果,笔者提出了强化我国上市公司债务治理效应的一些建议.     

企业的自制-外购决策:一个几何模型

能够影响企业的生产成本、组织成本、交易成本和中间品购买价格的一切因素,都可能对企业的自制-外购决策产生重要影响。因此,为强调某因素而把其它因素看成可忽略因素的一切已有的理论,都是难免被证伪的。在述评已有的几种主要理论的基础上,发展了一个几何模型去说明各种因素对企业自制-外购决策的影响,并讨论了其理论意义和应用前景。     

日本冲绳本岛临海民居风景防护林的构建及对中国新民居建设的启示

为加快推进中国农村新民居建设,完善相关配套建设措施,笔者借鉴日本在防灾减灾理论和方法方面处于世界前列,以法律的形式保证规划先行的经验,通过对冲绳本岛相关历史资料分析、民意调查和实地调查,以及福木起源的追溯,福木数量和防护林密度的测算等,论证了福木风景防护林映衬红瓦木造建筑为冲绳典型集落(即村庄、村落)特征.风景防护林的构建源自于村民抵御自然灾害的本能和政府保一方平安的责任意识,最后发展为保护村民生活环境、保障社会安定的基础.同时防护林使冲绳自然环境更显生态美观,促进了旅游业的兴旺,旅游已成为冲绳的支柱产业.     

大沽路“约辩”事件背后的教育利益博弈检视

大沽路约辩事件的背后是不同教育利益主体间的利益博弈。教育利益博弈局面的形成是由于当前中国的社会阶层固化、优质教育资源稀缺、户籍制度改革滞后以及教育的功利化等原因所造成的。要使教育利益博弈格局得以缓释和平衡,需要整合与协调各教育利益主体的利益需求,打破阶层固化以实现社会阶层之间的合理流动,以务实的精神和魄力实现一种宏阔的教育公平以及实现教育精神价值的回归和教育理想的再确认。     

Longitudinal data analysis using Bayesian-frequentist hybrid random effects model

The mixed random effect model is commonly used in longitudinal data analysis within either frequentist or Bayesian framework. Here we consider a case, in which we have prior knowledge on partial parameters, while no such information on the rest of the parameters. Thus, we use the hybrid approach on the random-effects model with partial parameters. The parameters are estimated via Bayesian procedure, and the rest of parameters by the frequentist maximum likelihood estimation (MLE), simultaneously on the same model. In practice, we often know partial prior information such as, covariates of age, gender, etc. These information can be used, and accurate estimations in mixed random-effects model can be obtained. A series of simulation studies were performed to compare the results with the commonly used random-effects model with and without partial prior information. The results in hybrid estimation (HYB) and MLE were very close to each other. The estimated θ values in with partial prior information model (HYB) were more closer to true θ values, and showed less variances than without partial prior information in MLE. To compare with true θ values, the mean square of errors are much less in HYB than in MLE. This advantage of HYB is very obvious in longitudinal data with a small sample size. The methods of HYB and MLE are applied to a real longitudinal data for illustration purposes.     

Some Statistical Properties of Efficiency Robust Tests with Applications to Genetic Association Studies

Although efficiency robust tests are preferred for genetic association studies when the genetic model is unknown, their statistical properties have been studied for different study designs separately under special situations. We study some statistical properties of the maximin efficiency robust test and a maximum‐type robust test (MAX3) under a general setting and obtain unified results. The results can also be applied to testing hypothesis with a constrained two‐dimensional parameter space. The results are applied to genetic association studies using case–parents trio data.