农村住户调查县级样本代表性评估方法研究

 全国农村住户调查县级样本在1984年抽选后几未改变,在全国农村住户新一轮样本轮换中对其代表性进行评估非常必要,因此研究开发县级样本代表性评估方法有重要意义。本文利用第二次全国农业普查和县市统计数据,以甘肃省为例,通过分析调查县样本特性、考察调查县的收入分布和地域分布,探索调查县农民收入水平对所在省农民收入水平代表性的评估与调查县调整方法。     

地区与国家GDP核算总量数据衔接方法比较研究

 本文以国家数据为准,通过采用2005-2009年的数据为样本,从理论与实证上比较分析了地区与国家GDP数据衔接的三种方法即Geary和Stark的产出估算方法、线性调整法与辅助回归法,比较结果显示：（1）从理论上分析,三种方法都有其合理性,只是辅助回归法较另两种方法更具可取性。（2）从衔接效果上看,辅助回归法优于Geary和Stark的产出估算方法,Geary和Stark的产出估算方法又优于线性调整法。不过不同的方法皆有相应的适用场合与特点以及不同的衔接效果,因而只能说三种方法中有趋优的方法,但不能明确断定何种方法可以具体应用于实际数据衔接中并能达到良好的调整效果。     

基于极值Copula的投资组合集成风险度量方法

 应用极值的阈值与峰值模型来度量单个资产的风险价值,用两种不同的方法度量了基于Copula函数的沪深指数收益率的相关结构,比较了不同Copula函数下基于沪深指数的二元投资组合集成风险值,结果说明：Gauss Copula函数对沪深指数收益率的相关结构拟合较好,阈值模型的极值Copula能较好的度量投资组合的集成风险值,在高置信度下（0.99以上）,基于Gumble Copula函数的上尾（正收益）集成风险值、基于Clayton Copula函数的下尾（负收益）集成风险值与真实值最为接近。直接加权的方法会高估投资组合的风险,假设沪深指数的收益率服从二元正态分布会低估风险。峰值法的集成风险值误差较大。     

中国劳动报酬占比变动的统计测算与结构解析

只有厘清核算口径及相关的数据修订情况,才能测算出劳动报酬占比的真实数值,进而找准其变动的根本原因。本文首先依据资金流量表的最新修订资料,充分考虑劳动报酬指标核算口径的两次重大调整及与SNA推荐口径和真实意义口径的差异,重新测算了中国的劳动报酬占比,然后在纵向分析和横向比较的基础上,从正规与非正规部门结构视角解析给出中国劳动报酬变动的根本原因及相应的政策着眼点。     

半参数变系数回归模型的空间相关性检验

对半参数变系数回归模型,构造了新的空间相关性检验统计量,利用三阶矩 逼近方法导出了其检验 值的近似计算公式,蒙特卡罗模拟结果表明该统计量在检测空间相关性方面具有较高的准确性和可靠性。同时考察了误差项服从不同分布时的检验功效,体现出该检验方法的稳健性。进一步,我们还给出了检验统计量的Bootstrap方法以及检验水平的模拟效果。     

Method of Moments Estimation in Linear Regression with Errors in both Variables

Recently, in this journal, there has been revised attention on estimating the parameters of the errors in variables, linear structural model. For example, O’Driscoll and Ramirez (2011) used a geometric approach to give insight into the performance of various slope estimators for the linear structural model as introduced by the present author. This article aims to provide a unified method of moments approach for estimating the parameters in the linear structural model, concentrating attention on estimators using the higher moments, which to date has received only little attention in the literature.     

多方法改进视角下的中国核心通货膨胀测算和效果评价

本文在探析核心通货膨胀测算方法和评价方法原理的基础上,结合中国价格变动特点对部分方法进行适当改进,并将其应用于中国2001-2013年核心通货膨胀测算,然后采用无偏性检验、相关性检验、趋势追踪能力检验、未来预测能力检验四种准则对所有测算结果的货币政策应用效果做出评价。结果发现,没有任何一种方法是绝对最优的,相对而言,SVAR法、指数平滑法、不对称截尾平均法的效果较为优良。这一结论对中国的货币政策执行和核心通货膨胀测算方法研究具有重要的启示意义。     

Quantile regression in longitudinal studies with dropouts and measurement errors

ABSTRACT

Quantile regression models, as an important tool in practice, can describe effects of risk factors on the entire conditional distribution of the response variable with its estimates robust to outliers. However, there is few discussion on quantile regression for longitudinal data with both missing responses and measurement errors, which are commonly seen in practice. We develop a weighted and bias-corrected quantile loss function for the quantile regression with longitudinal data, which allows both missingness and measurement errors. Additionally, we establish the asymptotic properties of the proposed estimator. Simulation studies demonstrate the expected performance in correcting the bias resulted from missingness and measurement errors. Finally, we investigate the Lifestyle Education for Activity and Nutrition study and confirm the effective of intervention in producing weight loss after nine month at the high quantile.     

Estimating the probability of obtaining nonfeasible parameter estimates of the generalized pareto distribution

In this paper we consider the problem of estimating the parameters of the generalized Pareto distribution. Both the method of moments and probability-weighted moments do not guarantee that their respective estimates will be consistent with the observed data. We present simple programs to predict the probability of obtaining such nonfeasible estimates. Our estimation techniques are based on results from intensive simulations and the successful modelling of the lower tail of the distribution of the upper bound of the support. More simulations are performed to validate the new procedure.