Extreme Quantile Estimation for Autoregressive Models

ABSTRACT

A quantile autoregresive model is a useful extension of classical autoregresive models as it can capture the influences of conditioning variables on the location, scale, and shape of the response distribution. However, at the extreme tails, standard quantile autoregression estimator is often unstable due to data sparsity. In this article, assuming quantile autoregresive models, we develop a new estimator for extreme conditional quantiles of time series data based on extreme value theory. We build the connection between the second-order conditions for the autoregression coefficients and for the conditional quantile functions, and establish the asymptotic properties of the proposed estimator. The finite sample performance of the proposed method is illustrated through a simulation study and the analysis of U.S. retail gasoline price.     

Bayesian Proportional Hazard Analysis of the Timing of High School Dropout Decisions

In this paper, I study the timing of high school dropout decisions using data from High School and Beyond. I propose a Bayesian proportional hazard analysis framework that takes into account the specification of piecewise constant baseline hazard, the time-varying covariate of dropout eligibility, and individual, school, and state level random effects in the dropout hazard. I find that students who have reached their state compulsory school attendance ages are more likely to drop out of high school than those who have not reached compulsory school attendance ages. Regarding the school quality effects, a student is more likely to drop out of high school if the school she attends is associated with a higher pupil–teacher ratio or lower district expenditure per pupil. An interesting finding of the paper that comes along with the empirical results is that failure to account for the time-varying heterogeneity in the hazard, in this application, results in upward biases in the duration dependence estimates. Moreover, these upward biases are comparable in magnitude to the well-known downward biases in the duration dependence estimates when the modeling of the time-invariant heterogeneity in the hazard is absent.     

Bayesian Approaches to Nonparametric Estimation of Densities on the Unit Interval

This paper investigates nonparametric estimation of density on [0, 1]. The kernel estimator of density on [0, 1] has been found to be sensitive to both bandwidth and kernel. This paper proposes a unified Bayesian framework for choosing both the bandwidth and kernel function. In a simulation study, the Bayesian bandwidth estimator performed better than others, and kernel estimators were sensitive to the choice of the kernel and the shapes of the population densities on [0, 1]. The simulation and empirical results demonstrate that the methods proposed in this paper can improve the way the probability densities on [0, 1] are presently estimated.     

论统计泄露控制问题

一、背景统计泄露控制 (ＳｔａｔｉｓｔｉｃａｌＤｉｓｃｌｏｓｕｒｅＣｏｎｔｒｏｌ)是指统计部门在为社会提供的统计资料中 ,不泄露任一单个个体 (如住户 ,企业等 )的资料。这里有两层意思 ,一层是统计泄露的问题 ,另一层是控制方法的问题 ,两者是密不可分的。世界上有关统计泄露控制的研究已有 2 0多年的历史 ,有专门的人员、项目、机构来从事这个问题的研究。1 统计泄露控制的需求众所周知 ,统计部门对外公布的资料 ,基本上来说有两种 ,即汇总 (综合 )资料和微观资料 (调查单位原始资料 )。事实上 ,原始数据是汇总数据的原材料 ,在计算…     

士人与山川——从《容美纪游》看传统士人的山川观念

《容美纪游》是一本创作于清代康熙年间的游记作品,记录了作者顾彩在清康熙四十三年（1704年）前往湖北西部、今土家族分布区的容美土司地旅行五个多月的经历。顾彩心中的容美,既是野蛮地,又是桃花源,同时还是一个仙居地。顾彩对容美土司的三重印象,正是他应对自身所处时代的产物,寄托了他对理想社会的追求。顾彩的容美之旅,反映出以顾彩为代表的中国传统士人的一种山川观念。此类山川观念,实际是中国儒家士人中久存的一个传统。在＂士志于道＂的追寻中,山川之地成为了对自身社会的一个超越,成为一个＂求道＂之地。在现今鄂西地区的土家族历史或地方史研究中,《容美纪游》被视为唯一揭示清代改土归流之前鄂西地方政治、社会、地理历史面貌的史籍资料,因此有着极其重要的地位。     

“非遗”保护下花儿表演的实践调研——以第三届大通老爷山花儿会为例

花儿会作为一种特殊的民俗文化事项,它引起的社会群体联动效应日益彰显,尤其在当下"非遗"保护的大旗下,花儿会的作用为社会广泛关注,但是,花儿会生态的急剧变化已成为一种不容置疑的事实。本文以2012年6月青海大通举办的第三届老爷山花儿会为例,从政府作为、花儿生态的篡改、歌手和听众的关系、花儿群体的萎缩等方面,论述了"非遗"保护下花儿表演在当下的存活现状以及保护措施。     

我国部门间收入流量测算及特征分析

摘　　要:国民收入在部门间的分配流量及其比例,是宏观经济研究的重要内容。研究收入分配问题,不能不考虑部门间在收入分配中的相互关系,但我国目前官方只公布收入与部门交叉数据,还缺乏部门与部门交叉流量数据,且有3年的滞后期。本文采用了一种称为“双矩阵RAS法”的方法,首先利用官方公布的2003年收入与部门交叉数据对2005年收入与部门数据进行了测算,进而用“收入转移法”测算了2005年部门与部门交叉流量数据。分析了1997年至2005年我国部门间收入流量状况,总结出近年来我国部门间收入流量变化的六大特征,并提出了相应的建议。     

构建局队和谐关系才能促进统计事业发展

中央组建各级直属调查队是国务院加强统计工作的一项重大举措,其主要目的是增强国家统计的权威,提高统计的可信性,提高统计数据质量,提高统计工作抗干扰的能力。因为,在实际工作中,对统计的干扰是客观存在的。统计工作只对统计数据的真实性负责,而不能对项目的合法性和合理性负责。为了减少这种干扰,国务院决定把各地的三支国家调查队彻底独立升格,组建垂直国家管理的国家直属调查队,这是我国统计管理体制的重大改革,意义深远。随着时间推移,其作用和影响将会充分体现。一、正确认识局队的任务与职责国家统计局各级调查队既是国家统计局直属…     

Some preservation results of NBUC aging property with applications

This paper develops a new characterization of NBUC aging property, and investigates its preservation properties both under monotonic anti-star-shaped transformations and under the non-homogeneous Poisson shock models.     

局部平稳过程、稳定过程及GARCH模型的比较研究

本文在Granger（2005）[1]研究成果的基础上对局部平稳过程的大样本性质进行了深入探讨,发现了一些颇具实际价值的理论结果,弥补了Granger（2005）仅利用预测效果标准得到金融数据生成过程的不足,进一步给出了适合于实证分析的判断金融数据生成过程的标准,并在此基础上详细讨论了局部平稳过程、稳定过程及GARCH模型在大样本情况下的区别。本文运用研究得到的结果,在非平稳框架下对中国股票市场上证180指数进行了分析,发现上证180指数收益率具有明显的非平稳特性,并在此基础上进一步讨论了中国股票市场的市场有效性问题。